2 research outputs found
Econometric Techniques to Examine Volatility in PEX Bulls and Bears and the Causal Relationship between PEX, ASE and TASE
This study is empirically aimed at conducting three tests; testing volatility persistent in PEX
bulls and bears, testing market efficiency for PEX, ASE, and TASE, and testing the causality
relationship between the three markets. That is, it attempts to explore whether stock market
volatility present a different behavior during PEX bulls and bears phases and explore whether
PEX, ASE, and TASE are efficient at weak level. For this purpose, long memory measure is used
to indicate volatility persistence and market efficiency. In order to define bull and bear phases,
we employed the 200-day moving average, already used by practioners and we found three
cycles including 3 bulls and 3 bears. Thus, the study employed Rescaled Range (R/S) to
calculate the values of difference parameter d to find evidence of long memory behavior for the
daily data observations from August, 1997 to March, 2012. In addition to a long memory
measure, the study used nonparametric ADF and PP tests to test market efficiency of PEX, ASE,
and TASE at weak level.
According to Jarque–Bera test, the closing values of Al-Quds Index of PEX in each bull
and bear don’t follow the normal probability distribution. So, the study used nonparametric tests
of ADF and PP to determine whether the time series are stationary. The time series are found to
be non stationary at level in each phase implying that PEX is efficient at weak level in each
phase. Further, according to R/S results, the study found that the estimates of parameter d are
above 0 and below 0.5 for bear phases, while the values are above 0.5 for the bull phases
implying long memory stationarity for the volatility process. This means that volatility is more
persistent in the PEX bears markets than in the PEX bull markets. Further, the PEX bears
markets are longer than PEX bulls markets. As a result, volatility persistent in PEX bears and
risk associated with it should be considered by investors. Added to this, the overall market-adjusted performance measurement indicates that PEX has average levels of returns and risk
more than ASE and TASE. To avoid that, investors and other decision makers should consider
both fundamental and technical analysis.
For market efficiency test, ADF and PP test are also used to find whether time series data
of Al-Quds index, ASE index and TA-100 index are stationarity. In the three cases, means and
variances seem to be not constant. This indicates that the three indices are found to be nonstationary
at level implying that the three markets are efficient at weak level. For further
investigation, R/S statistic is used to calculate the difference parameter to indicate market
efficiency. The estimates of d are above 0.5 for the PEX and TASE cases implying that time
series data are non-stationary, and there is no evidence of long memory behavior (long range
dependence) in the time series data. For ASE, the value of d is above 0 and below 0.5 implying
that the time series has long memory behavior. This indicates that ASE isn’t efficient at weak
level. So, we accept that PEX, and TASE are efficient at weak level but ASE isn’t. Therefore,
regulators and policy makers should support market efficiency.The study further investigates correlation and causality relationship among PEX, ASE
and TASE. It analyzes whether there is a long run linkage or interdependency between the three
markets. The data sample includes daily observations for the January, 2000-March, 2012 time
period. As mentioned before, the data are non-stationary at level, while the data are stationary at
first difference and therefore conducting Granger causality tests isn’t restricted. The correlation
matrix indicates that the three markets aren’t highly correlated. The correlation is verified for the
direction of influence by the Granger causality test between the three markets. However, the
study found that there is no significant causal relationship between the three markets except theunilateral causality relationship of ASE over PEX, and the relationship of TASE over ASE,
whereas reverse causality doesn’t hold true.
In general, the study finds that there is no multilateral causal relationship among the three
markets and they are being highly correlated. Therefore, Palestinian investors don’t have to
consider changes in TASE index, while changes in ASE index must be considered.This study is empirically aimed at conducting three tests; testing volatility persistent in PEX
bulls and bears, testing market efficiency for PEX, ASE, and TASE, and testing the causality
relationship between the three markets. That is, it attempts to explore whether stock market
volatility present a different behavior during PEX bulls and bears phases and explore whether
PEX, ASE, and TASE are efficient at weak level. For this purpose, long memory measure is used
to indicate volatility persistence and market efficiency. In order to define bull and bear phases,
we employed the 200-day moving average, already used by practioners and we found three
cycles including 3 bulls and 3 bears. Thus, the study employed Rescaled Range (R/S) to
calculate the values of difference parameter d to find evidence of long memory behavior for the
daily data observations from August, 1997 to March, 2012. In addition to a long memory
measure, the study used nonparametric ADF and PP tests to test market efficiency of PEX, ASE,
and TASE at weak level.
According to Jarque–Bera test, the closing values of Al-Quds Index of PEX in each bull
and bear don’t follow the normal probability distribution. So, the study used nonparametric tests
of ADF and PP to determine whether the time series are stationary. The time series are found to
be non stationary at level in each phase implying that PEX is efficient at weak level in each
phase. Further, according to R/S results, the study found that the estimates of parameter d are
above 0 and below 0.5 for bear phases, while the values are above 0.5 for the bull phases
implying long memory stationarity for the volatility process. This means that volatility is more
persistent in the PEX bears markets than in the PEX bull markets. Further, the PEX bears
markets are longer than PEX bulls markets. As a result, volatility persistent in PEX bears and
risk associated with it should be considered by investors. Added to this, the overall market-adjusted performance measurement indicates that PEX has average levels of returns and risk
more than ASE and TASE. To avoid that, investors and other decision makers should consider
both fundamental and technical analysis.
For market efficiency test, ADF and PP test are also used to find whether time series data
of Al-Quds index, ASE index and TA-100 index are stationarity. In the three cases, means and
variances seem to be not constant. This indicates that the three indices are found to be nonstationary
at level implying that the three markets are efficient at weak level. For further
investigation, R/S statistic is used to calculate the difference parameter to indicate market
efficiency. The estimates of d are above 0.5 for the PEX and TASE cases implying that time
series data are non-stationary, and there is no evidence of long memory behavior (long range
dependence) in the time series data. For ASE, the value of d is above 0 and below 0.5 implying
that the time series has long memory behavior. This indicates that ASE isn’t efficient at weak
level. So, we accept that PEX, and TASE are efficient at weak level but ASE isn’t. Therefore,
regulators and policy makers should support market efficiency.The study further investigates correlation and causality relationship among PEX, ASE
and TASE. It analyzes whether there is a long run linkage or interdependency between the three
markets. The data sample includes daily observations for the January, 2000-March, 2012 time
period. As mentioned before, the data are non-stationary at level, while the data are stationary at
first difference and therefore conducting Granger causality tests isn’t restricted. The correlation
matrix indicates that the three markets aren’t highly correlated. The correlation is verified for the
direction of influence by the Granger causality test between the three markets. However, the
study found that there is no significant causal relationship between the three markets except theunilateral causality relationship of ASE over PEX, and the relationship of TASE over ASE,
whereas reverse causality doesn’t hold true.
In general, the study finds that there is no multilateral causal relationship among the three
markets and they are being highly correlated. Therefore, Palestinian investors don’t have to
consider changes in TASE index, while changes in ASE index must be considered
Mortality from gastrointestinal congenital anomalies at 264 hospitals in 74 low-income, middle-income, and high-income countries: a multicentre, international, prospective cohort study
Summary
Background Congenital anomalies are the fifth leading cause of mortality in children younger than 5 years globally.
Many gastrointestinal congenital anomalies are fatal without timely access to neonatal surgical care, but few studies
have been done on these conditions in low-income and middle-income countries (LMICs). We compared outcomes of
the seven most common gastrointestinal congenital anomalies in low-income, middle-income, and high-income
countries globally, and identified factors associated with mortality.
Methods We did a multicentre, international prospective cohort study of patients younger than 16 years, presenting to
hospital for the first time with oesophageal atresia, congenital diaphragmatic hernia, intestinal atresia, gastroschisis,
exomphalos, anorectal malformation, and Hirschsprung’s disease. Recruitment was of consecutive patients for a
minimum of 1 month between October, 2018, and April, 2019. We collected data on patient demographics, clinical
status, interventions, and outcomes using the REDCap platform. Patients were followed up for 30 days after primary
intervention, or 30 days after admission if they did not receive an intervention. The primary outcome was all-cause,
in-hospital mortality for all conditions combined and each condition individually, stratified by country income status.
We did a complete case analysis.
Findings We included 3849 patients with 3975 study conditions (560 with oesophageal atresia, 448 with congenital
diaphragmatic hernia, 681 with intestinal atresia, 453 with gastroschisis, 325 with exomphalos, 991 with anorectal
malformation, and 517 with Hirschsprung’s disease) from 264 hospitals (89 in high-income countries, 166 in middleincome
countries, and nine in low-income countries) in 74 countries. Of the 3849 patients, 2231 (58·0%) were male.
Median gestational age at birth was 38 weeks (IQR 36–39) and median bodyweight at presentation was 2·8 kg (2·3–3·3).
Mortality among all patients was 37 (39·8%) of 93 in low-income countries, 583 (20·4%) of 2860 in middle-income
countries, and 50 (5·6%) of 896 in high-income countries (p<0·0001 between all country income groups).
Gastroschisis had the greatest difference in mortality between country income strata (nine [90·0%] of ten in lowincome
countries, 97 [31·9%] of 304 in middle-income countries, and two [1·4%] of 139 in high-income countries;
p≤0·0001 between all country income groups). Factors significantly associated with higher mortality for all patients
combined included country income status (low-income vs high-income countries, risk ratio 2·78 [95% CI 1·88–4·11],
p<0·0001; middle-income vs high-income countries, 2·11 [1·59–2·79], p<0·0001), sepsis at presentation (1·20
[1·04–1·40], p=0·016), higher American Society of Anesthesiologists (ASA) score at primary intervention
(ASA 4–5 vs ASA 1–2, 1·82 [1·40–2·35], p<0·0001; ASA 3 vs ASA 1–2, 1·58, [1·30–1·92], p<0·0001]), surgical safety
checklist not used (1·39 [1·02–1·90], p=0·035), and ventilation or parenteral nutrition unavailable when needed
(ventilation 1·96, [1·41–2·71], p=0·0001; parenteral nutrition 1·35, [1·05–1·74], p=0·018). Administration of
parenteral nutrition (0·61, [0·47–0·79], p=0·0002) and use of a peripherally inserted central catheter (0·65
[0·50–0·86], p=0·0024) or percutaneous central line (0·69 [0·48–1·00], p=0·049) were associated with lower mortality.
Interpretation Unacceptable differences in mortality exist for gastrointestinal congenital anomalies between lowincome,
middle-income, and high-income countries. Improving access to quality neonatal surgical care in LMICs will
be vital to achieve Sustainable Development Goal 3.2 of ending preventable deaths in neonates and children younger
than 5 years by 2030