Portfolio allocations in the Middle East and North Africa

We examine the issue of possible portfolio diversification benefits into seven Middle-Eastern and North African (MENA) stock markets. We construct international portfolios in dollars and local currencies. We compute the ex-ante weights by plugging five optimization models and two risk measures into a rolling block-bootstrap methodology. This allows us to derive 48 monthly rebalanced ex-post portfolio returns. We analyze the out-of-sample performance based on Sharpe and Sortino ratios and the Jobson-Korkie statistic. Our results highlight outstanding diversification benefits in the MENA region, both in dollar and local currencies. Overall, we show that these under-estimated, under-investigated markets could attract more portfolio flows in the future.Portfolio Allocation, Emerging Markets, Middle East and North Africa.

Equity Markets and Economic Development: What Do We Know

The objective of this paper is to review the transmission mechanisms uniting equity market development and economic growth in developing countries. We find that the theoretical impact of equity markets is ambiguous. At the domestic level, the allocation function of equity markets appears conditioned by the extent of informational efficiency. Turning to international linkages, theoretical models suggest that equity market integration lowers the cost of capital, increases financial vulnerability and has a mixed impact on capital flows. Taking this into account, two conclusions arise. First, equity market development policies should focus on reaching and maintaining adequate levels of institutional transparency. Second, the optimal degree of international integration depends on the society’s preference between international accessibility and domestic stability.Equity Markets, Economic Development.

Stock Market Predictability in the MENA: Evidence from New Variance Ratio Tests and Technical Trade Analysis

The objective of this paper is to test for predictability in the Middle-Eastern North African (MENA) markets by investigating both the weak-form efficiency hypothesis (WFEMH) and the presence of abnormal returns. Starting with tests for the random-walk hypothesis, we use daily data returns and a battery of econometric tests including unit-root analysis, individual and multiple variance ratio, wild bootstrapping and non-parametric tests based on ranks. Our results suggest that only the region’s largest markets, Israel and Turkey, follow a random walk. Turning to technical trade analysis, our results reinforce the hypothesis of stock market predictability. Both variable moving average (VMA) and trade range breaking (TRB) trade rules yield significant abnormal returns. We complete the analysis with profit simulations based on the breakeven costs computation methodology and taking into account local transaction costs. Our findings highlight the presence of significant portfolio investment opportunities in the MENA.Emerging markets, stock market predictability, portfolio analysis.

Comment on "Long Time Evolution of Phase Oscillator Systems" [Chaos 19,023117 (2009), arXiv:0902.2773]

A previous paper (arXiv:0902.2773, henceforth referred to as I) considered a general class of problems involving the evolution of large systems of globally coupled phase oscillators. It was shown there that, in an appropriate sense, the solutions to these problems are time asymptotically attracted toward a reduced manifold of system states (denoted M). This result has considerable utility in the analysis of these systems, as has been amply demonstrated in recent papers. In this note, we show that the analysis of I can be modified in a simple way that establishes significant extensions of the range of validity of our previous result. In particular, we generalize I in the following ways: (1) attraction to M is now shown for a very general class of oscillator frequency distribution functions g(\omega), and (2) a previous restriction on the allowed class of initial conditions is now substantially relaxed

El Paso Housing Sector Econometric Forecast Accuracy

There is comparatively little empirical evidence regarding the accuracy of regional housing sector forecasts. Much of the recent analysis conducted for this topic is developed for housing starts and indicates a relatively poor track record. This study examines residential real estate forecasts previously published for El Paso, TX using a structural econometric model. Model coverage is much broader than just starts. Similar to earlier studies, the previously published econometric predictions frequently do not fare very well against the selected random walk benchmarks utilized for the various series under consideration.applied econometrics, metropolitan housing sector forecasts, Agribusiness, Community/Rural/Urban Development, Political Economy, C53, R15, R31,

Borderplex Economic Outlook: 2006 – 2008

A variety of measures such as real output, retail receipts, and personal incomes show how the borderplex economy continues to expand (Table 1). Although employment growth is expected to subside, local labor market strength will be sufficiently robust to hold the El Paso unemployment rate well below its 32-year average of greater than 10 percent. Similarly, even though residential construction activity is expected to moderate slightly, overall housing activity is projected to remain high by historical standards. Expansion at Fort Bliss is the source for much of the heightened business activity as the arrivals of new troops translate into greater demand for housing, retail, and other services. By 2008, more than 13 thousand businesses are expected to be registered in El Paso. Per capita personal income is projected to exceed $26,200 that year. Additional detail obtained from simulations of the UTEP Borderplex Econometric Forecasting Model is presented below for El Paso, Ciudad Juarez, Chihuahua City, and Las Cruces.U.S. - Mexico Border Region; Econometric Forecasts

Field Evaluation of Herbicides on Vegetables and Small Fruits 2004

Herbicide evaluation studies on vegetables and small fruits were conducted in 2004 at the Arkansas Agricultural Experiment Station at Fayetteville, AR, in an effort to evaluate new herbicides, herbicide mixtures, and their application timings for weed control efficacy and crop tolerance. Results of these studies, in part, provide useful information to producers, fellow researchers, the Crop Protection Industry, and the IR-4 Minor Crop Pest Management Program in the development of potential new herbicide uses in vegetable, and fruit

Doubly Heavy Baryons and Quark-Diquark Symmetry in Quenched and Partially Quenched Chiral Perturbation Theory

We extend the chiral Lagrangian with heavy quark-diquark symmetry to quenched and partially quenched theories. These theories are used to derive formulae for the chiral extrapolation of masses and hyperfine splittings of doubly heavy baryons in lattice QCD simulations. A quark-diquark symmetry prediction for the hyperfine splittings of heavy mesons and doubly heavy baryons is rather insensitive to chiral corrections in both quenched and partially quenched QCD. Extrapolation formulae for the doubly heavy baryon electromagnetic transition moments are also determined for the partially quenched theory.Comment: 19pp, Ref. adde

Spontaneous Emission in ultra-cold spin-polarised anisotropic Fermi Seas

We examine and explain the spatial emission patterns of ultracold excited fermions in anisotropic trapping potentials in the presence of a spin polarised Fermi sea of ground state atoms. Due to the Pauli principle, the Fermi sea modifies the available phase space for the recoiling atom and thereby modifies its decay rate and the probability of the emitted photon's direction. We show that the spatial anisotropies are due to an intricate interplay between Fermi energies and degeneracy values of specific energy levels and identify a regime in which the emission will become completely directional. Our results are relevant for recent advances in trapping and manipulating cold fermionic samples experimentally and give an example of a conceptually new idea for a directional photon source.Comment: 7 pages, 7 figure