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In the empirical finance literature most frequently monthly returns are applied for measuring fund performance or testing market efficiency. We propose a new return calculation method, the daily recalculated monthly returns which has not been used in academic studies for asset pricing purposes. We argue that our method outperforms daily and monthly return calculations in the case of Hungarian mutual funds when only short time series are available. Daily recalculated monthly returns induce the best fitting property of the market model while the time series remain sufficiently long to derive asymptotic tests even when we work on a one-year-long time series. Using our method the estimated parameters and the R 2 s are very close to the results obtained when using monthly returns which are considered a good working approximation.
This paper analyses the pricing of sovereign risk and contagion during the crises in the Central and Eastern European countries. Panel data are used to estimate the determinants of government bond spreads in three different time periods: before the crisis, during the global financial crisis, and during the European debt crisis. The econometric model includes interactions between the explanatory variables and the crisis dummies. This specification enables the coefficients to change during the crises. The empirical analysis confirms a statistically significant relationship between sovereign risk and macroeconomic fundamental variables. Additionally, the results suggest an increase in the importance of macroeconomic fundamentals during the financial crisis. The analysis also supports that sovereign credit ratings and exchange rate risk have a significant impact on government bond spreads.
Abstract
The literature has not settled down on safe haven property of gold in the emerging and developing countries. Therefore, we revisit the international evidence on hedging and safe haven role of gold for 34 emerging and developing countries with a span of daily data covering January 2000–November 2018. We employ the GARCH-copula approach to estimate the lower-tail extreme dependencies of the joint distribution of gold and equity returns. We also introduce a new definition for the strong safe haven property of an asset. Our findings indicate that while gold serves as a hedging instrument for all countries in our sample, we got evidence of weak safe haven property for gold, for domestic investors, only in 20 countries, and a strong safe haven asset (SHA) only in 9 countries.
The case for taxing financial transactions merely to raise more revenues from the financial sector is not particularly strong. Better alternatives to tax the financial sector are likely to be available. However, a tax on financial transactions could be justified in order to limit socially undesirable transactions when more direct means of doing so are unavailable for political or practical reasons. Some financial transactions are indeed likely to do more harm than good, especially when they contribute to the systemic risk of the financial system. However, such a financial transaction tax should be very small, much smaller than the negative externalities in question, because it is a blunt instrument that also drives out socially useful transactions. There is a case for taxing over-the-counter derivative transactions at a somewhat higher rate than exchange-based derivative transactions. More targeted remedies to drive out socially undesirable transactions should be sought in parallel, which would allow, after their implementation, to reduce or even phase out financial transaction taxes.
Abstract
Islamic Finance receives more attention due to the growing need for financial services in countries with a Muslim population. However, the rules of Islam and its applications in daily life cause conflicts in today's conventional financial system. Since interest gains are prohibited in Islam according to the Quran, Islamic banks develop and use interest-free methods, unlike the conventional banking system. Islamic Finance introduced profit-sharing ratios to replace interest rates and to increase the participation of religious investors in the financial system. In this research, we compare interest rates with profit-sharing ratios in the Turkish banking market. We use wavelet and historical correlation analysis as a new methodology in evaluating the association between these two factors. Although it is presumed that Islamic banks operate as interest-free banks, our analysis confirms former studies and finds that profit-sharing ratios are highly correlated and coherent with interest rates in Turkey. We also find small differences among Islamic banks on how quickly profit-sharing ratios follow the market interest rate changes.
Öngyilkosság és antidepresszívumok, ökológiai vizsgálatok
Suicide and antidepressants, ecological studies
A szerzők az öngyilkosságok és az antidepresszív szerek forgalma közötti összefüggés problémáit vizsgálták az ökológiai vizsgálatok irodalmára koncentrálva. Több gyakorlati és elméleti problémát találtak, amelyek megkérdőjelezik az ún. antidepresszív teóriát, amely szerint egy adott populációban az antidepresszívumok (AD-k) emelkedő használata a csökkenő öngyilkossági ráták meghatározó oka lenne.
1. Az ökológiai vizsgálatokban nem ismert a populációban öngyilkossá vált depressziós személyeknél az antidepresszívum használatának ténye, ami könnyen az ún. ökológiai tévkövetkeztetés oka lehet, valótlan viszonyt jelezve.
2. Alapprobléma az ökológiai vizsgálatoknál, hogy a korreláció csak a két vizsgálandó jelenség közötti együttjárást jelzi, kauzalitást nem. A jelen esetben a helyzetet tovább bonyolítja az a tény is, hogy az AD-k nem az öngyilkosságra hatnak direkt módon, hanem egy pszichiátriai betegségre, amelynek egyik szövődménye lehet az öngyilkosság. Az antidepresszívumok tehát áttételes (indirekt), preventív hatást igyekeznek kifejteni nem ismert számú depressziós betegek ismeretlen hányadánál, nem kiszámítható hatásban és mértékben.
3. A szerzők nem találtak adatot az irodalomban a depressziós és nem-depressziós betegek által használt AD-mennyiség megoszlásáról. Egy hivatalos hazai adatbázis vizsgálatára volt módjuk. Az OEP 4 éves (2007–2010) ambuláns AD-forgalmában szétválogatták az egyes BNO kódokkal jelzett betegek csoportjait: F00-F03; F063; F25; F30-39; F40-48; F50 és Egyéb kategóriák szerint. Az analízis során kiderült, hogy az AD-k 53,93%-át használták csak a valóban magas öngyilkossági rizikót magukban hordozó (F25 és F 30-39) betegek, míg az AD-k közel másik felét (46,07%) minden más (magas rizikót nem hordozó) pszichiátriai vagy nem pszichiátriai kódot kapott betegek. Az AD-k gyógyszertári forgalma tehát nem lehet indikátora a valóban kezelt depressziós betegeknek, illetve kezeléseik számának.
4. A szerzők több olyan ökológiai vizsgálatot találtak, amelyek közül több nem tudta bizonyítani az AD-k használata és az öngyilkossági ráták közötti inverz kapcsolatot, vagy nem konzekvens, vegyes eredmények jelentkeztek.
Abstract
Proton-induced prompt gamma-ray emission (PIGE) analysis has been used for the determination of light elements in human dense bone samples. Li, B, N, O, F, Na, Mg, Al, P and Ca peaks were detected. Smoothed, freeze-dried samples were irradiated in vacuo by 2.4 MeV protons and the induced prompt gamma rays recorded with a 110 cm3 Ge(Li) detector. Absolute concentrations were calculated on the basis of both calibration standards and pure element gamma-ray yields. The mean (±1 S. D.) concentrations as ppm or weight % obtained for 15 dense bone samples were: B 8.0 (3.3)ppm, N 12.2 (0.8)%, O 34.8 (2.3)%, F 639 (417)ppm, Na 5763 (371)ppm, Mg 2078 (290)ppm, P 9.26 (0.50)% and Ca 20.4 (1.3)%. The detection limits obtained without any prior concentration of the bone samples were: 0.3 ppm for Li, 2.0 ppm for B, 1.0% for N, 1.0% for O, 1.0 ppm for F, 3.0 ppm for Na, 50 ppm for Mg, 22 ppm for Al, 600 ppm for P and 0.8% for Ca. Detection limits for other light elements (4≤Z≤21) have also been estimated.
the most pathogenic isolate F30 ( F. culmorum ). Statistically significant difference in DS, after point inoculation of central spikelets carried out to quantify FHB resistance, was obtained between AS and AB cultivars ( Table 1 ). The fraction of
blending sequences and times. a 1st blended, b 2nd blended, c 3rd blended, d 10 min blended, e 20 min blended, f 30 min blended, g 40 min blended Fig. 2 TG
a ). These sixteen single-spore derived cultures belonging to four main FHB species present in Syria, i.e. ( F. culmorum (F1, F2, F3, F28 and F30), F. solani (F7, F20, F26, F29, F31 and F35), F. verticillioides (synonym F . moniliforme ) (F15
