do stock markets catch the flu we examine the impact of influenza on stock markets for the united states a higher incidence of flu is associated with decreased trading decreased volatility decreased returns and higher bid ask spreads consistent with the flu affecting institutional investors and market makers the decrease in trading activity and volatility is primarily driven by the incidence of influenza in the greater new york city area however the effect of the flu on bid ask spreads and returns is related to the incidence of flu nationally international data confirm our findings of a decrease in trading activity and returns when flu incidence is high

a multivariate cointegrated modelling approach in testing temporal causality between energy consumption real income and prices with an application to two asian ldcs unlike previous studies on the casual relationship between energy consumption and economic growth this paper illustrates how the finding of cointegration i e long term equilibrium relationship between these variables may be used in testing granger causality based on the most recent johansen s multiple cointegration tests preceded by various unit root or nonstationarity tests we test for cointegration between total energy consumption real income and price level of two asian ldcs thailand and sri lanka nonrejection of cointegration between variables rules out granger noncausality and implies at least one way of granger causality either unidirectional or bidirectional secondly by using a dynamic vector error correction model we then analyse the direction of granger causation and hence the within sample grangerexogeneity or endogeneity of each of the variables thirdly the relative strength of the causality is gauged through the dynamic variance decomposition technique by decomposing the total

does money matter in canada evidence from a vector error correction model this paper investigates the statistical properties of a set of canadian and u s economic time series and uses the data to address the question of the importance of monetary variables in canadian business cycle fluctuations the individual time series are found to contain unit roots but the data reveal the existence of several economically meaningful cointegrating vectors a multivariate vector error correction model is estimated and canadian velocity which appears as an error correction term is significant in the canadian output equation this supports the contention that monetary variables have predictive content for real output copyright 1989 by mit press

trying to explain home bias in equities and consumption investors hold a substantially larger proportion of their wealth portfolios in domestic assets than standard portfolio theory would suggest a phenomenon called equity home bias in the absence of this bias investors would optimally diversify domestic output risk using foreign equities therefore consumption growth rates would tend to co move across countries even when output growth rates do not empirically however consumption growth rates tend to have a lower correlation across countries than do output growth rates a phenomenon i call consumption home bias in this paper i discuss these two biases and their potential relationship as suggested by the literature

energy consumption real income and temporal causality results from a multi country study based on cointegration and error correction modelling techniques abstract unlike previous studies on the causal relationship between energy consumption and economic growth this paper illustrates how the finding of cointegration i e long term equilibrium relationship between these variables may be used in testing granger causality based on the most recent johansen s multivariate cointegration tests preceded by various unit root or non stationarity tests we test for cointegration between total energy consumption and real income of six asian economies india pakistan malaysia singapore indonesia and the philippines non rejection of cointegration between variables rules out granger non causality and imples at least one way of granger causality either unidirectional or bidirectionial secondly by using a dynamic vector error correction model we then analyse the direction of granger causation and hence the within sample granger exogeneity or endogeneity of each of the variables thirdly the relative strength of the causality is gauged through the dynamic variance decomposition technique by decomposing the total impact of an unanticipated shock to each of the variables beyond the sample period into proportions attributable to shocks in the other variables including its own in the bivariate system results based on these tools of methodology indicate that while all pair wise relationships shared common univariate integrational properties only relationships for three countries india pakistan and indonesia were cointegrated for these countries temporal causality results were mixed with unidirectional causality from energy to income for india exactly the reverse for indonesia and mutual causality for pakistan the vdcs were not inconsistent with these results and provided us with an additional insight as to the relatively more dominant direction of causation in pakistan simple bivariate vector autoregressive models for the three non cointegrated systems did not indicate any direction of causality significantly in either direction

temperature shocks and the cost of equity capital implications for climate change perceptions financial market information can provide an objective assessment of losses anticipated from temperature changes in an apt model in which temperature shocks are a systematic risk factor the risk premium is significantly negative loadings for most assets are negative and asset portfolios in more vulnerable industries have stronger negative loadings on a temperature shock factor weighted average increases in the cost of equity capital attributed to uncertainty about temperature changes are 0 22 percent implying a present value loss of 7 92 percent of wealth these costs represent a new channel that may contribute to cost of climate change assessment

the canadian u s exchange rate evidence from a vector autoregression a vector autoregression is used to elicit the empirical facts co ncerning exchange rate movements the author finds 1 the exchange rate relati ve price levels and trade balances are closely related 2 most other lagged v ariables have no perceptible influence in theexchange rate equation 3 exchan ge rate innovations are negativelycorrelated with innovations in output and pri ces positively with innovations in the balance of trade and almost not at all with innovations in money and 4 impulses in money trade balances and govern ment spending are followed by opposing future movements in theexchange rate and the price level taken as a whole the evidence suggests that exchange rate cha nges may be associated with real rather than monetary shocks copyright 1986 by mit press

macroeconomic seasonality and the january effect many financial markets researchers have sought an explanation for the role of january in stock returns any explanation of this phenomenon that is consistent with rational pricing must specify a source of seasonality in expected returns the pervasive seasonality in the macroeconomy is an appealing possibility a multifactor model that links macroeconomic risk to expected return is found to show substantial seasonality in expected returns this model accounts for the seasonality in average returns while the capital asset pricing model cannot copyright 1994 by american finance association

conditional heteroscedasticity in time series of stock returns evidence and forecasts this article presents new evidence about the time series behavior of stock prices daily return series exhibit significant levels of second order dependence and they cannot be modeled as linear white noise processes a reasonable return generating process is empirically shown to be a first order autoregressive process with conditionally heteroskedastic innovations in particular generalized autoregressive conditional heteroskedastic garch 1 1 processes fit to data very satisfactorily various out of sample forecasts of monthly return variances are generated and compared statistically forecasts based on the garch model are found to be superior copyright 1989 by the university of chicago

does the sun shine on art prices this paper examines how variation in mood influences subjective risk and hence auction prices for art in london during the period 1990 2007 the private value of an object is closely related to taste and mood which is proxied for by the variation in weather using a unique data set that includes presale estimates for paintings sold through sotheby s and christie s auction houses as well as weather data for london from the british atmospheric data centre we find that the lower part of the price distribution is populated with paintings with a relative high private value whereas in the upper part prices are driven primarily by the common value characteristics our findings have important implications for collectors and investors in the art market

asset pricing with beliefs dependent risk aversion and learning abstract this paper studies equilibrium in a pure exchange economy with unobservable markov switching growth regimes and beliefs dependent risk aversion bdra risk aversion is stochastic and depends nonlinearly on consumption and beliefs equilibrium is obtained in closed form the market price of risk the interest rate and the stock return volatility acquire new components tied to fluctuations in beliefs a three regime specification is estimated using the generalized method of moments gmm model moments match their empirical counterparts for a variety of unconditional moments including the equity premium stock returns volatility and the correlations between stock returns and consumption and dividends dynamic features of the data such as the countercyclical behaviors of the equity premium and volatility are also captured model volatility provides a good fit for realized volatility a new factor the information risk premium is found to be a strong predictor of future excess returns these results are obtained with an estimated risk aversion fluctuating between 1 44 and 1 93

seasonal and size anomalies in the japanese stock market little attention has been paid by the academic community in the united states to the japanese stock market and its structure japan has the second largest economy in the western world and the tokyo stock exchange tse is second only to the new york stock exchange nyse in terms of aggregate market values and sales volume analysis of the japanese stock market is useful given its relative importance but in addition examination of the japanese market may offer insights into controversies surrounding u s markets this study focuses on two such current controversies the january and size anomalies

seasonal fluctuations in industrial production and stock market seasonals february and august peaks in the growth rates of the seasonally unadjusted industrial production index follow the stock market peaks documented by rozeff and kinney 1976 by one month coefficients on one month lead growth rates in industrial production for small firms are positive and significant in time series regressions even in the presence of the market factor moreover whereas returns on large firms stocks unidirectionally gran ger cause i e predict future growth rates in industrial production at least six months in advance returns on small firms stocks reflect one month lead as well as past growth rates in industrial production for these reasons we argue that seasonal real growth provides a partial explanation for the january stock seasonal among small firms

the dynamics of fertility family planning and female education in a developing economy unlike most empirical works on fertility analysis this study is the first attempt to analyse the dynamics of fertility and its determinants with a particular focus on the role played by female education and family planning programmes in the context of a traditional society the analysis is based on the application of the following dynamic time series techniques in a multivariate context cointegration vector error correction modelling and variance decompositions these dynamic tools are recently developed and hitherto untried in fertility analysis in the context of a poor developing economy such as india the results based on the above most recently developed methodology broadly indicate that in the complex dynamic interactions the importance of conventional structural hypothesis as a granger causal factor in bringing fertility down in the longer term cannot be denied however overall in the short to long term the findings appear to be more consistent with the recent ideational hypothesis

accounting for real and nominal exchange rate movements in the post bretton woods period abstract using the technique developed by blanchard and quah we decompose real and nominal exchange rate movements into the components induced by real and nominal factors nominal shocks have had a minor effect on the real and nominal bilateral exchange rates between the us and canada japan and germany there is little evidence of exchange rate overshooting real demand rather than supply shocks have been responsible for volatile exchange rate movements structural models of exchange rate determination need to consider such shocks as an important fundamental determinant

good day sunshine stock returns and the weather psychological evidence and casual intuition predict that sunny weather is associated with upbeat mood this paper examines the relationship between morning sunshine in the city of a country s leading stock exchange and daily market index returns across 26 countries from 1982 to 1997 sunshine is strongly significantly correlated with stock returns after controlling for sunshine rain and snow are unrelated to returns substantial use of weather based strategies was optimal for a trader with very low transactions costs however because these strategies involve frequent trades fairly modest costs eliminate the gains these findings are difficult to reconcile with fully rational price setting

the influence of serotonin deficiency on choice deferral and the compromise effect abstractpsychological and physiological states such as mood hunger stress and sleep deprivation are known to affect decision making processes and therefore crucially influence consumer behavior a possible biological mechanism underlying the observed variability of consumer behavior is the context sensitive variation in the levels of neuromodulators in the brain in a series of four experimental studies the authors pharmaceutically reduce the levels of the neurotransmitter serotonin in the brain to diminish the availability of subjects cognitive resources in doing so they study how serotonin brain levels influence 1 subjects tendency to avoid buying and 2 consumers preference for product options positioned as a compromise in a given choice set rather than for more extreme alternatives i e the compromise effect using realistic product choice scenarios in a binding decision framework they find that a reduction of brain serotonin levels leads to choice deferral and decreases the compromise

empirical models of the exchange rate separating the wheat from the chaff various popular exchange rate models a standard monetary model a portfolio balance model and sticky price models are estimated and evaluated using u s canadian data for the 1970s nonnested hypothesis tests demonstrate that none are correctly specified the data suggest 1 the exchange rate persistence observed is not fully explained by any of the models 2 the small durbin watson statistics indicate longer lags are required 3 the current account is a useful explanatory variable 4 the portfolio balance model fits the data well but has potentially serious problems measuring the stock of foreign assets this abstract was borrowed from another version of this item

sustainable development case study in the implementation of renewable energy in brazil abstract in response to demands by new clean renewable energy sources emerged in brazil in the last 10 years many investors interested in implementing wind farms thus arises the question of how the surrounding communities may be affected positively and or negatively by installing wind farms projects and other energy renewable sources the aim of this study is to propose a set of guidelines and best practices for public managers public authorities and owners of wind farms and other energy renewable sources about the perspective of the sustainable development of the surrounding communities the research was conducted in three phases literature review on sustainable development case study in major community a and minor communities b c and d where were implemented wind farms development of the best practice and guidelines through the brainstorming focus group current reality tree and creating shared value the results show the political dimension of sustainability as a root cause of underdevelopment of communities were proposed a set of 22 guidelines and best practices that contribute to the sustainable development of communities

is it the weather we show that results in the recent strand of the literature which tries to explain stock returns by weather induced mood shifts of investors might be data driven inference more specifically we consider two recent studies kamstra mark j kramer lisa a levi maurice d 2003a winter blues a sad stock market cycle american economic review 93 1 324 343 cao melanie wei jason 2005 stock market returns a note on temperature anomaly journal of banking and finance 29 6 1559 1573 that claim that a seasonal anomaly in stock returns is caused by mood changes of investors due to lack of daylight and temperature variations respectively while we confirm earlier results in the literature that there is indeed a strong seasonal effect in stock returns in many countries stock market returns tend to be significantly lower during summer and fall months than during winter and spring months as documented by bouman and jacobsen bouman sven jacobsen ben 2002 the halloween indicator sell in may and go away another puzzle american economic review 92 5 1618 1635 there is little evidence in favor of a sad or temperature explanation in fact we find that a simple winter summer dummy best describes this seasonality our results suggest that without any further evidence the correlation between weather related variables and stock returns might be spurious and the conclusion that weather affects stock returns through mood changes of investors is premature

stock market seasonals and prespecified multifactor pricing relations despite nonstationarities in the factor betas and factor prices of the chen roll ross 1986 multifactor model investors are rewarded for bearing risks associated with the change in expected inflation and industrial production in non january months however variations in these factors have opposite influences on stock prices these findings may partially explain why several recent studies fail to detect a significant non january risk premium in the stock market but this evidence is only suggestive since theoretical and statistical difficulties prevent precise interpretations of specific pricing relations in the chen roll ross model

winter blues a sad stock market cycle and god said let there be light and there was light and god saw that the light was good genesis 1 3 depression has been linked with seasonal affective disorder sad a condition that affects many people during the seasons of relatively fewer hours of daylight experimental research in psychology has documented a clear link between depression and lowered risktaking behavior in a wide range of settings including those of a financial nature through the links between sad and depression and between depression and risk aversion seasonal variation in length of day can translate into seasonal variation in equity returns based on supportive evidence from psychology which suggests sad is linked closely with hours of daylight we consider stock market index data from countries at various latitudes and on both sides of the equator we model differences in the seasonal variation of daylight across coun

rain emotions and voting for the status quo abstract do emotions affect the decision between change and the status quo we exploit exogenous variation in emotions caused by rain and analyze data on more than 870 000 municipal vote outcomes in switzerland to address this question the empirical tests are based on administrative ballot outcomes and individual postvote survey data we find that rain decreases the share of votes for political change our robustness checks suggest that this finding is not driven by changes in the composition of the electorate and changes in information acquisition in addition we provide evidence that rain might have altered the outcome of several high stake votes we discuss the psychological mechanism and document that rain reduces the willingness to take risks a pattern that is consistent with the observed reduction in the support for change

risk and return abstract this paper examines the seasonality in the basic relationship between expected return and risk during 1935 82 the results reveal that the positive relationship between return and risk is unique to january the risk premiums during the remaining eleven months are not significantly different from zero

hourly volatility spillovers between international equity markets abstract this paper examines the timing of mean and volatility spillovers between new york and london equity markets using an arch model it is found that the evidence of volatility spillovers between these markets is minimal and have a duration which lasts only an hour or so the most significant effects surround the movement of share prices around the new york opening but these results are not strong several new arch models are estimated including an asymmetric or leverage model and a non linear model which allows big shocks to have a different impact from small shocks

money real interest rates and output a reinterpretation of postwar u s data this paper reexamines both monthly and quarterly u s postwar data to investigate if the observed comovements between money real interestrates prices and output are compatible with the money real interest output link suggested by existing monetary theories of output which include both keynesian and equilibrium models the major empirical findings are these 1 in both monthly and quarterly data we cannot reject the hypothesis that the ex ante real rate is exogenous or granger causally prior in the context of a four variable system which contains money prices nominal interest rates and industrial production 2 in quarterly data there is significantly more information con tained in either the levels of expected inflation or the innovationof this variable for predicting future output given current and lagged output than in any other variable examined money actualinflation nominal interest rates or ex ante real rates the effect of an inflation innovation on future output is unambiguously negative the first result casts strong doubt on the empirical importance of existing monetary theories of output which imply that money should have a causal role on the ex ante real rates the second result would appear incompatible with most demand driven models of output in light of these results we propose an alternative structural model which can account for the major dynamic interactions among the variables this model has two central features i output is unaffected by money supply and ii the money supply process is motivated by short run price stability this abstract was borrowed from another version of this item

new evidence on the january effect before personal income taxes we examine the returns of stocks in cowles industrial index before and after the introduction of personal income taxes in 1917 this is distinct from earlier studies because we cross sectionally analyze the relationship between the returns of the individual stocks and measures of tax loss selling potential and size we find that excess returns at the turn of the year and for the month of january were not significant until after 1917 these results provide strong support for the tax loss selling hypothesis as an explanation for the january seasonal in the returns of small firms

exploitable predictable irrationality the fifa world cup effect on the u s stock market in a recently published paper edmans garcia and norli 2007 reveal a strong association between results of soccer games and local stock returns inspired by their work we propose a novel approach to exploit this effect on the aggregate international level with the following three unique features i the aggregate effect does not depend on the games results hence the effect is an exploitable predictable effect ii the aggregate effect is based on many games hence it is very large and highly significant we find that the average return on the u s market over the world cup s effect period is 2 58 compared to 1 21 for all days average returns over the same period length iii exploiting the aggregate effect is involved with trading in a single index for a relatively long period

impacts of rmb devaluation on china s trade balances a time varying svar approach in this article i empirically examine time varying effects of real renminbi rmb devaluation on china s trade balances to this end i estimate a time varying structural vector autoregression mod

current account and macroeconomic fluctuations the primary purpose of this study is to establish some stylized facts about current account and macroeconomic fluctuations in sweden another purpose is to propose a multivariate detrending technique which is based on a time series model with common stochastic trends this technique should be useful for establishing stylized facts about macroeconomic fluctuations in general the descriptive statistics in this analysis are thus confined to the transitory components of the time series in contrast with results obtained for other countries we find e g that the current account is procyclical

temporal causality and the dynamics of different categories of crime and their socioeconomic determinants evidence from australia hale and sabbagh 1991 failed to find cointegration i e a long term equilibrium relationship between crime and unemployment in the case of england and wales the present study basedon multiple cointegrationtests preceded by various unit root or non stationarity tests is the first attempt at putting the analysis of crime in a temporal granger causal framework in the australian case 1963 90 by binding the relationship between different categories of crime and their socioeconomic determinants within a multivariate cointegrated system the results based on the most recent methodology broadly indicate that although the relative importance of the determinants of crime varied by type of crime of all the determinants it is dwelling commencements a proxy for wealth that appears to impact more or less on all the categories of crime significantly followed by urbanization

hot and cold seasons in the housing market every year housing markets in the united kingdom and the united states experience systematic above trend increases in prices and transactions during the spring and summer hot season and below trend falls during the autumn and winter cold season house price seasonality poses a challenge to existing housing models we propose a search and matching model with thick market effects in thick markets the quality of matches increases rising buyers willingness to pay and sellers desire to transact a small deterministic driver of seasonality can be amplified and revealed as deterministic seasonality in transactions and prices quantitatively mimicking seasonal fluctuations in uk and us markets

time varying risk aversion abstract exploiting portfolio data and repeated surveys of an italian bank s clients we test whether investors risk aversion increases following the 2008 crisis we find that after the crisis both qualitative and quantitative measures of risk aversion increase substantially and that affected individuals divest more stock we investigate four explanations changes in wealth expected income perceived probabilities and emotion based changes of the utility function our data are inconsistent with the first two channels while they suggest that fear is a potential mechanism underlying financial decisions whether by increasing the curvature of the utility function or the salience of negative outcomes

sad or happy the effects of emotions on stated preferences for environmental goods a substantial literature in behavioural science and psychology shows that emotions affect human choices and values this paper investigates whether such emotional impacts are also present in stated choice experiments for environmental goods if this were so it would introduce an additional element of context dependence to the welfare measures derived from such methods and would be at odds with the rational choice model underlying welfare economics a laboratory experiment using three different emotion treatments was combined with a stated preference choice experiment concerned with changes in coastal water quality and fish populations in new zealand no statistically significant effects of changes in emotional state on estimated preference parameters willingness to pay or the randomness of choices were found the paper concludes by questioning why such a contrast exists with empirical findings in behavioural science