Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test

This paper tests for the martingale (or random walk) hypothesis in the stock prices of a group of Asian countries. The selected countries represent well-developed markets (Hong Kong and Japan) as well as emerging markets (Korea, Taiwan and Thailand). This paper adopts a new joint variance ratio test which is a finite sample test based on the wild bootstrap method. It is different from the conventional variance ratio tests in that its sampling distribution is approximated by a resampling method, which has been found to exhibit better small sample properties than the asymptotic method. The test for the martingale hypothesis is conducted with moving-subsample windows, to control the sensitivity of the results to the particular sample periods. Overall, it is found that the stock prices of Japan, Korea, and Hong Kong are found to follow the martingale, indicating that their stock markets have been efficient.Martingale hypothesis, Stock Market Efficiency, Variance Ratio Test, Wild bootstrap,

High-gain AlGaAs/GaAs double heterojunction Darlington phototransistors for optical neural networks

High-gain MOCVD-grown (metal-organic chemical vapor deposition) AlGaAs/GaAs/AlGaAs n-p-n double heterojunction bipolar transistors (DHBTs) and Darlington phototransistor pairs are provided for use in optical neural networks and other optoelectronic integrated circuit applications. The reduced base doping level used results in effective blockage of Zn out-diffusion, enabling a current gain of 500, higher than most previously reported values for Zn-diffused-base DHBTs. Darlington phototransitor pairs of this material can achieve a current gain of over 6000, which satisfies the gain requirement for optical neural network designs, which advantageously may employ neurons comprising the Darlington phototransistor pairs in series with a light source

GaAs-based optoelectronic neurons

An integrated, optoelectronic, variable thresholding neuron implemented monolithically in GaAs integrated circuit and exhibiting high differential optical gain and low power consumption is presented. Two alternative embodiments each comprise an LED monolithically integrated with a detector and two transistors. One of the transistors is responsive to a bias voltage applied to its gate for varying the threshold of the neuron. One embodiment is implemented as an LED monolithically integrated with a double heterojunction bipolar phototransistor (detector) and two metal semiconductor field effect transistors (MESFET's) on a single GaAs substrate and another embodiment is implemented as an LED monolithically integrated with three MESFET's (one of which is an optical FET detector) on a single GaAs substrate. The first noted embodiment exhibits a differential optical gain of 6 and an optical switching energy of 10 pJ. The second embodiment has a differential optical gain of 80 and an optical switching energy of 38 pJ. Power consumption is 2.4 and 1.8 mW, respectively. Input 'light' power needed to turn on the LED is 2 micro-W and 54 nW, respectively. In both embodiments the detector is in series with a biasing MESFET and saturates the other MESFET upon detecting light above a threshold level. The saturated MESFET turns on the LED. Voltage applied to the biasing MESFET gate controls the threshold

Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects

Fluctuations in commodity prices are a major concern to many market participants. This paper uses realized volatility methods to calculate daily volatility and correlation estimates for three grain futures prices (corn, soybean and wheat). The realized volatility estimates exhibit the properties consistent with the stylized facts observed in earlier studies. According to the realized correlations and regression coefficients, the spot returns from the three grain futures are positively related. The realized estimates are then used to evaluate the degree of volatility transmissions across grain future prices. The impulse response analysis is conducted by fitting the vector autoregressive model to realized volatility and correlation estimates, using the bootstrap method for statistical inference. The results indicate that there exist rich dynamic interactions among the volatilities and correlations across the grain futures markets.Volatility Transmission, Vector Autoregressive Model, Impulse Response Analysis, Bootstrap

Real Interest Rate Linkages in the Pacific Basin Region

This paper examines the linkage of real interest rates of a group of Pacific-Basin countries with a focus on East Asia. We consider monthly real interest rates of the US, Japan, Korea, Singapore, and Thailand from 1980 and 2004. The impulse response analysis and half-life estimation are conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of statistical inference. It is found that the degree of capital market integration has increased after the Asian financial crisis in 1997. The evidence suggests that the crisis has substantially changed the nature of the short run interactions among the real interest rates. Before the crisis, both the US and Japanese capital markets dominated the region. However, after the crisis, the dominance of the Japanese market has completely disappeared, while the US remains as a sole dominant player.Financial crisis, Bias-correction, Bootstrapping, Capital market Integration, Half-life, Impulse response analysis, Vector autoregression.

International linkage of real interest rates: the case of East Asian countries

This paper examines linkage of real interest rates for a group of selected countries in East Asia. The countries under study include Japan, Korea, Singapore, Malaysia and Thailand. The long run relationship is tested and estimated using the conitegration analysis. We also have conducted the impulse response analysis based on unrestricted vector autoregression, using the bias-corrected wild bootstrap for statistical inference. Our results show that (1) there exists a long run equilibrium relationship, (2) there are interesting short run dynamic interactions, in which Singapore, Malaysia and Thailand play the role of equilibrating factorFinancial linkage; Real interest rate parity; Cointegration analysis; Wild bootstrap

Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility

Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors : the model used to forecast volatility, and the method of computing quantiles from the volatility forecasts. In this paper we calculate and evaluate quantile forecasts of the daily exchange rate returns of five currencies. The forecasting models that have been used in recent analyses of the predictability of daily realized volatility permit a comparison of the predictive power of different measures of intraday variation and intraday returns in forecasting exchange rate variability. The methods of computing quantile forecasts include making distributional assumptions for future daily returns as well as using the empirical distribution of predicted standardized returns with both rolling and recursive samples. Our main ?ndings are that the HAR model provides more accurate volatility and quantile forecasts for currencies which experience shifts in volatility, such as the Canadian dollar, and that the use of the empirical distribution to calculate quantiles can improve forecasts when there are shifts.realized volatility ; quantile forecasting ; MIDAS ; HAR ; exchange rates