Modeling long memory in the EU stock market: evidence from the STOXX 50 returns

This paper examines the persistence behaviour of STOXX 50 returns. To this end, we estimated the GARCH, IGARCH and FIGARCH models based on a data set comprising the daily returns from January 5th, 1987 to December 27th, 2013. The results show that the long-memory in the volatility returns constitutes an intrinsic and empirically significant characteristic of the data and are, therefore, in consonance with previous evidence on the subject. Moreover, our findings reveal that the FIGARCH is the best model to capture linear dependence in the conditional variance of the STOXX 50 returns as given by the information criteri

Cointegration and structural breaks in the PIIGS economies

Due to the economic recession which started in 2008, several members of the European Union became historically known as PIIGS. These states include Portugal, Italy, Ireland, Greece and Spain and if ombined together, they form the acronym PIIGS. The reason why these countries were grouped together is the substantial instability of their economies, which was an evident problem in 2009. The reason why the five countries gained popularity is a serious concern within the EU, with regard to their national debts, especially for Greece. The latter country was involved in a controversial affair after allegedly falsifying its public financial data. In the year 2010, it was evident that the five states were in need of corrective action in order to regain their former financial stability. Because of the dirty farm animal associated with the acronym, several country leaders from the financially troubled countries have voiced out disagreement with the use of the term. However, there are quite a number of reporters and columnists who still refer to it when talking about the widespread economic crisis within the European Union. Although some prominent politicians have criticized the practice, the use of the word is very hard to shake off

Globalization, regime-switching, and EU stock markets: the impact of the sovereign debt crises

The most recent models learn over time, making the necessary adjustments to a new level of peaks or troughs, which enables the more accurate prediction of turning points. The Smooth Regression Model may be regarded as having a linear and a nonlinear component and may over time determine whether there is only a linear or nonlinear component or, in some cases, both. The present study focuses on the impact effect analysis of the European markets contamination by sovereign debt (particularly in Portugal, Spain, France and Ireland). The smooth transition regression approach applied in this study has proved to be a viable alternative for the analysis of the historical behavioural adjustment between interest rates and stock market indices. We found evidence in the crisis regime, i.e., large negative returns, especially in the case of Portugal, where we obtained the greatest nonlinear threshold adjustment between interest rates and stock market returns

Cointegration and Structural Breaks in the EU Sovereign Debt Crisis

First signs of a sovereign debt crisis spread among financial players in the late 2009 as a result of the growing private and government debt levels worldwide. Late 2010, Trichet (then President of the ECB) stated that the sovereign debt crisis in Europe had become systemic. In an established crisis context, it was searched for evidence of structural breaks and cointegration between interest rates and stock market prices. A 13 year time-window was used in six European markets under stress. The results identified significant structural breaks at the end of 2010 and consistently rejected the null hypothesis of no cointegration.info:eu-repo/semantics/publishedVersio

Volatility spillover effect of pan-Asia’s property portfolio markets

This study assesses the spillover effect of the listed property companies that cover pan-Asian countries, namely Malaysia, Thailand, Indonesia, Singapore, Vietnam, South Korea, Japan, China, the Philippines, and Hong Kong. The impact of market integration will create a spillover effect to the countries’ economic performances, in particular the property market. As macroeconomic factors have high correlation with the performance of property security markets, it is therefore important to study the spillover effect by integrating the macroeconomic factors. This study has employed the exponential generalised autoregressive conditional heteroscedasticity (EGARCH) technique to develop the volatility spillover effect among pan-Asian countries. The results reveal high volatility of listed property companies recorded in Hong Kong and China, while Singapore, The Philippines and Japan have shown low volatility spillovers. In terms of macroeconomic factors, gross domestic product (GDP) and money supply (MS) are the most significant factors in influencing the volatility spillover effect among pan-Asian countries. From the standpoint of regional investors, the volatility spillover characteristics of pan-Asian countries will aid property stakeholders in the region in developing their own methods for making investment decisions in the property security market. Furthermore, in uncertain conditions of the financial market, this study will elevate the transparency of the pan-Asian property portfolio market by providing information on the property market volatility spillovers.info:eu-repo/semantics/publishedVersio

Organizational anomie, professional self-concept and organizational support perception: theoretical model evidences for management

Employees need reliability and predictability in the organization's moral order to properly engage in labor, which has become critical for organizations’ success. Its absence creates a rupture in the firm's capacity to thrive in the market, named anomie. With the aim of looking more deeply into this subject, we have studied the relationship between anomie and social support at work, as well as professional self-concept, to understand and measure the cause-and-effect process. For this purpose, a model has been created to test this hypothesis, which has been analyzed through Structural Equation Modeling. The scales used have already been validated by other researches. The results provide evidence that the proposed model is suitable to identify and measure the relationship between the studied variables, and showing the level of impact that occurs on the system, created by organizational anomie, on social support at work and professional self-concept, together with their component parts.info:eu-repo/semantics/publishedVersio

Desenvolvimento inicial de espécies nativas utilizadas na recuperação de paisagem alterada em Rondônia.

A taxa de sobrevivência de quatro espécies florestais: Colubrina glandulosa (Sobrasil), Hymenaea reticulata (Jatobá), Tabebuia sp. (Ipê amarelo) e Euterpe sp. (açaí) foi avaliada na fase de estabelecimento no campo experimental da Embrapa, em Presidente Médici, Rondônia. O plantio foi realizado em uma área com histórico de uso de pastagem de pelo menos cinco anos, coberta com capim braquiária, na qual foram plantadas as espécies mencionadas observando-se as características do grupo ecológico correspondente em diferentes densidades. Todos os indivíduos receberam numeração de campo. Observou-se que aos 18 meses Colubrina glandulosa apresentou maior taxa de sobrevivência e Hymenaea reticulata o menor ganho em diâmetro de colo, independente da localização no terreno. A média da sobrevivência, levando em conta todas as espécies, foi 71%.bitstream/item/24746/1/ct108-especiesflorestaisnativas.pd

Land use changes in the Douro Valley and carbon emissions

Deforestation for economic development and urbanisation or urban sprawl as a result of human population growth is a common feature of land-use change and is an important source of increased atmospheric CO2. At the global level, carbon emissions from burning fossil fuels are two to three times higher than carbon sequestration by land systems, mainly forests and woody vegetation. The work presented herein focuses on the identification of carbon balance shifts due to land use changes in a group of municipalities located in the Douro River Valley in northern Portugal, where the dominance of vineyards and forestry uses over urban occupation is the norm. However, when urban sprawl occurs through the replacement of forested areas by urban uses, the ability to sequester carbon dioxide is reduced while its production rates increase. A thorough study (Lourenço et al., 2008) of land uses evolution between 1990 and 2000 shows that urban uses have been growing near Vila Real as well as vineyard plantations. Forest fires and a complex topography are major causes for the growth of abandonment, which make these areas more prone to erosion and desertification.Portuguese Foundation for Science and Technology in the scope of the research project PTDC/ECM/73069/200

Recursos florestais não madeireiros: experiência e novos rumos em Rondônia.

Nesta publicação apresenta-se, de forma resumida, as principais pesquisas com Produtos Florestais Não Madeireiros (PFNM) realizadas pela Embrapa Rondônia e as novas tendências de aproveitamento da biodiversidade do Estado de Rondônia.bitstream/CPAF-RO-2010/14327/1/doc115-recursosflorestaisnaomadeireiros.pd