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Another classification is provided in the notable literature review by Gagnon and Karolyi (2006).
The burst in spillovers during crisis episodes is verified, which is important for investors as during
periods of turmoil diversification benefits are limited. The results for the Canadian market indicate
the rejection of the Null Hypothesis for 12 out of 16 cases (i.e. 75%), more specifically, for 7 cases at
1% significance level, for 4 cases at 5% significance level and for 1 case at 10% significance level.
Alternatively, futures returns are susceptible to the positive shocks transmitted from Canada and
USA, which means that an increase in return on American and Canadian futures can cause the
growth of futures returns in Korea. However, 14 channels of return transmission have been
considered due to the overlap in trading times between USA and India markets. Staff facilities have
been relocated to a new second floor level, which is a lightweight element set back from the facade
of the existing building. The marketing message for the university should stress on being one of the
oldest universities, and its being already offering approxiamately 500 courses and most of its ex-
students are well-settled. Similarly, the volatility of the futures markets of Japan can cause changes
in the volatility of these markets. For the emerging European markets of Russia and Hungary, the
identified causal linkages are similar to those established for Spain, despite both Russia and Hungary
not being susceptible to either positive or negative innovations of Taiwanese futures returns. For
Mexico, the results obtained for volatility are similar to those were for returns; here, the Null
Hypothesis has rejected for 14 out of 14 cases (i.e. 100%) supporting that conclusion that Mexico is
the main recipient of foreign information in the region. In reality, empirical evidence shows that the
relationship between futures and spot returns are often instable, especially during crisis periods, and
may vary among markets across the globe, due a country’s specific market regulations and different
degrees of economic development. This hypothesis is tested for every country in the sample, because
it can be rejected for one market and accepted for another market. Page 110. My first piece of advice
is to negotiate these types of requests through your Chairperson. However, for several cases it was
established that a previous best model could become the worst in the future and, conversely, the
previous worst could become the best. Yang and Gao (2014) analysed sentiment spillover effect and
sentiment aggregate effect in the context of the Chinese stock index futures market. Cappiello et al.
(2006), who proposed the asymmetric generalized dynamic conditional correlation (AG-DCC)
model, developed it based on the seminal work of the DCC-GARCH model (Engle, 2002). The
significance level for the majority of cases is 1% (for 10 out of 14 cases, i.e. 71.4%), with lower
significance for China-Mexico channels (5% for positive innovations and 10 % for negative
innovation), as well as for Hong Kong-Mexico (5% for negative innovations) and Taiwan-Mexico
(10% for positive innovations). Area, M. C. and Cheradame, H. (2011) Paper aging and degradation:
recent findings and research methods. Although this approach was originally used to test time-series
for Page 69. However, the evidence has been found only for causalities of positive innovations, while
the Null Hypothesis has been rejected at 5% significance level. In my experience, dissertations vary
too much to be pinned down like that. First, the statistics on results summarized by Table 7.2 are
discussed. The total number of models that demonstrated an MSFE ratio below unity (Theil’s U
statistics) is 60 out of 180 (i.e. 33%), therefore, for the majority of cases the individual ARDL
forecasts failed to outperform the AR benchmark forecasts. Preservation: a company that specializes
in prefabricated time capsules which can also be custom-. Keep on browsing if you are OK with that,
or find out how to manage cookies. Furthermore, similar to the evidence provided for returns, none
of the target markets from Europe and Africa are fully independent from external volatility shocks.
Table 6.6 The asymmetric causality test results for volatility, Europe and Africa. This set of research
hypotheses is general and tested for all markets by using different methodologies; therefore further
hypotheses regarding the particular econometric method employed can be further specified in the
empirical chapters. Ashurst,J.and Ashurst,N.(1988) Practical building conservation:English
heritagetechnical. The first is that existing literature and research provides ambiguous results based
on a variety of methodologies and employs data with different frequencies and time periods. These
findings do not allow any judgment of the content of information contained in the BA and the CB
forecasts, because both of them contain information useful for prediction of stock index futures
returns which is not contained in the other. Page 231.
In order to structure the analysis and to present empirical results in a clear way, each country in the
region has been considered as a recipient of information, as is presented by Table 6.2. Page 171. The
highest percentage point, i.e. the best relative forecasting performances, are highlighted in red. The
first explanation relies on the role of macroeconomic indicators in the prediction of the stock returns
and is provided by Rapach and Zhou (2013): Theoretically, asset returns are functions of the state
variables of the real economy, and the real economy itself displays significant business-cycle
fluctuations. Econometrica, 50(4), 987-1007. Engle, R. F. (1995). ARCH: Selected readings. On the
west facade a glazed extrusion provides a visible connection to the main road passing the university,
helping activate an otherwise largely blank facade and advertise the activities of the university. This
hypothesis is tested for every country in the sample, because it can be rejected for one market and
accepted for another market. For the European and South African futures returns, the Null
Hypothesis has been rejected for 32 out of 44 cases (i.e. 72.7%), which is higher than for the Asian
region (i.e. 47%). The evidence of causality was found for 28 out of 32 cases (i.e. 87.5%) at the 1%
Page 186. The simple ARCH (p) model by Engle (1982) provides parameterization to capture the
tendency for large (small) variance to be followed by other large (small) variance. Similar to Europe
and Africa, and contrary to Asia, none of the markets of Canada, USA, Mexico and Brazil are
isolated from external shocks and susceptible to the majority of Asian markets in the sample. Table
6.7 The asymmetric causality test results for returns, the Americas. Secondly, independence from
external shocks limits the opportunities to predict the volatility of those markets based on foreign
information transmission. Sailing for Sustainability: The Potential of Sail Technology as. Nuttall, P.
Sailing for Sustainability: The Potential of Sail Technology as. However, for other market pairs the
results vary for developed and emerging markets. Thickett,D.and Lee,L. R. (2004) Selection of
materialsfor the storageordisplay of museumobjects. These studies were based on the concept of
constructing a diversified portfolio by including stock from international markets with a low or
negative correlation with domestic markets. Ecclesiastical History of the English People Name:
Institution: Introduction St. For the majority of cases, both BA and PC, demonstrate better relative
forecasting performance than individual ARDL models, which justifies the usefulness of these
methods for the forecasting of returns. Product: In case of Northumbria University, the product is the
variety of Courses it offers to the world. Overall, for the Turkish market, the Null Hypothesis has
been rejected for 6 out of 14 cases (i.e. 42.8%). Similar to the return transmission, the strongest
linkages between the volatility of futures markets have been identified for the Japan-Turkey (the Null
Hypothesis is rejected at 1% significance level for both types of shocks) and Korea-Turkey pairs (the
Null Hypothesis is rejected for positive shocks at 5% significance level and for negative at 1%
significance level). These findings contribute to IPD literature since the decline in the degree of co-
movements is established. The one notable exception, to the best of our knowledge, is the paper by
Jordan et al. (2014) that analysed the ability of 13 foreign stock markets, i.e. India, Japan, Korea,
Malaysia, Singapore, Thailand, the UK, and the US to predict the returns on the stock market in
China. The study utilized data from 21 emerging and developed markets from four geographical
regions: Asia, the Americas, Europe and Africa. This version was downloaded from Northumbria
Research Link: Northumbria University has developed Northumbria Research Link (NRL) to enable
users to access the University’s research output. Similarly, the stabilising role of futures trading in
China is shown in a study by Zhou, Dong and Wang (2014). Kundu and Sarkar (2016) found strong
evidence of asymmetric spillover effects among international equity markets in both periods of
stability and crisis. This methodologically driven hypothesis assumes that the bagging model
encompasses the combining model for out-of-sample forecasts. Besides, Aggarwal et al. (2010, p.
643) shows that increased integration can also have the following implications: i) the more complete
the world’s capital markets are, the more robust the economies of individual states will be; ii)
household savings rates will consequently change over time. Following positivism research
paradigms, the list of research hypotheses has been developed in accord with each research question.
The basic Null Hypotheses of absence of causalities has been tested 416 times in Chapter 6 and the
results Page 235. The estimation process involves a two-step procedure. First, the empirical findings
suggest that the Chinese futures market, as an equity market, is in its infancy in terms of its
development, despite the fact that CSI 300 dropped immediately after the futures contracts had been
introduced.
Chapter 5, 6 and 7 are three empirical chapters structured in accordance with the articulated aims and
objectives. Figure 1.1 illustrates the logical linkages between the empirical analysis carried out and
the aims of this research. Page 26. The distribution of cases when emerging or developed markets are
acting as contributors is 40-60, i.e. in 14 cases, the emerging market is the contributor of shock and
in 21 cases, and the developed market is acting as the contributor of shocks. Furthermore, a similar
definition of contagion has been used by Edwards (1998) and Eichengreen and Rose (1999). The
truth or falsehood of these statements can only be determined through the conducting of
experiments. Huang et al. (2000) demonstrated unidirectional Granger causality between the US and
Japan, Hong Kong and Taiwan, and provided limited evidence of causality between China and other
markets. In other words, this thesis assumes that spillover effect can appear across both returns
(returns spillovers) and volatility (volatility spillovers), and the intensity of the spillover effect
changes over time. RH: information that is needed to make valid decisions on preventive measures. It
appears that a dissertation in History will be much longer, on average, than one in Chemistry. It also
discusses the advantages of range volatility estimators over the classic volatility measure. Section 4.4
provides descriptive statistics for return and volatility time-series for the full sample and the sub-
sample estimation periods. Neither the BA, nor the median forecasts, contain any further useful
information other than that already contained in the other. Video Say more by seamlessly including
video within your publication. This ambiguity in financial research has resulted in debate over the
future direction of financial science and how new knowledge has to be created in order to be
accepted as valid and truthful. The positive value of skewness shows that time series are positively
skewed, which means that there are many small values and few large values in stock market returns,
i.e. the mean of the returns is greater than the median. Here, approximate time needed to finish the
project should be specified. School of Computing, Engineering, and Information Sciences. The
authors also point out that paper in stacks ages differently. The empirical results show the absence of
SD relationships between spot and futures markets in developed countries, providing evidence of the
efficiency of these markets. The findings for Asian markets, i.e. Japan, Hong Kong, Singapore,
South Korea, Taiwan and Malaysia show higher degrees of integration in the developed markets of
Japan and Hong Kong, and lower in those of Singapore and the emerging markets of Taiwan and
Malaysia. For example, a crisis occurring on the domestic market may cause a liquidity problem for a
large group of investors and cause them to sell the foreign assets from their portfolio, causing, in
turn, a fall in the price of securities in the foreign market. Figure 2 shows some of the newspapers in
a still folded state. Beneaththe. This corresponds to established causality between negative
innovation on Mexican market volatility and negative Page 214. If any of the BA or PC generates
greater reduction in MSFE criterion, H16 is accepted, alternatively, if not, H16 is rejected. The
empirical results are also important for policy makers and financial regulators because they provide a
global perspective on spillovers across financial markets from 2005 to 2014. Furthermore, the thesis
goes beyond the investigation of the intensity of spillovers during periods of turmoil and tranquillity
and also analyses the transmission of negative and positive returns and volatility shocks across
markets with non-overlapping trading hours, providing the evidence from stock index futures data.
For example, Black, Jensen, and Scholes (1972), as well as Friend and Blume (1970), indicated
failure of CAPM in the estimation of the cost of capital: for high beta securities the model’s forecasts
are too high compared with historical averages; for low beta securities they are too low. The
opportunity to augment existing knowledge by providing evidence on asymmetry in return Page 19.
These differences in magnitude in return and volatility spillovers are evident in all 21 markets in the
sample, but especially so for the emerging market of Taiwan, where the results in the row,
Contribution to Others, are 40.89% for return and only 1.0% for volatility. Similar significant
differences are evident in Korea and India. These findings indicate that opportunities to predict
futures markets returns by using foreign information transmission mechanisms can, potentially,
disrupt the EMH. This hypothesis is tested for every country in the sample, because it can be rejected
for one market and accepted for another market. Similarly, these markets are influenced by shocks
from markets from the Americas region, for example the USA and Brazil.

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