Showing papers by "Melvin J. Hinich published in 2009"

The weak-form efficiency of Chinese stock markets: thin trading, nonlinearity and episodic serial dependencies

Abstract: Motivated by the shortcomings of earlier Chinese efficiency studies, the present paper re-examines the weak-form efficiency of Shanghai and Shenzhen Stock Exchanges. Specifically, our adopted methodologies mitigate the confounding effect of thin trading on return autocorrelation, detect both linear and nonlinear serial dependencies in the adjusted returns series, and capture the persistence of dependency structures over time. The result shows that the adjusted returns series from both markets follow a random walk for long periods of time, only to be interspersed with brief periods of strong linear and/or nonlinear dependency structures. This suggests that there are certain time periods when new information is not fully reflected into stock prices. Another interesting finding is that the existence of serial dependencies in both the Shanghai and Shenzhen Stock Exchanges follows one another closely after October 1997. It indicates that both markets respond in a similar way to influences from political, econo...

Anticonvulsant serotonergic and deep brain stimulation in anterior thalamus

Abstract: SUMMARY Objective: Anterior thalamus (AN) has been shown to mediate seizures in both focal and generalized models. Specific regional increase in AN serotonergic activity was observed following AN-DBS in our pentylenetetrazol (PTZ) rodent model of acute seizures, and this increase may inhibit seizures and contribute to the mechanism of anticonvulsant DBS. Methods: Anesthetized rats with AN-directed dialysis cannula with scalp/depth EEG were infused with PTZ at 5.5 mg/(kg min) until an EEG seizure occurred. Eight experimental groups of AN-dialysis infusion were evaluated: controls (dialysate-only), 10 and 100 mM serotonin 5-HT7 agonist 5-carboxamidotryptamine (5-CT), 1, 10 and 100 mM serotonin antagonist methysergide (METH), AN-DBS, and 100 mM METH + AN-DBS. Results: Latency for seizures in control animals was 3120 770 s (S.D.); AN-DBS delayed onset to 5018 1100 (p < 0.01). AN-directed 5-CT increased latency in dose-dependent fashion: 3890 430 and 4247 528 (p < 0.05). Methysergide had an unexpected protective effect at low-dose (3908 550, p < 0.05) but not at 100 mM (2687 1079). The anticonvulsant action of AN-DBS was blocked by prior dialysis using 100 mM METH. Surface EEG burst count and nonlinear analysis (H-Statistic) noted significant (p < 0.05) increased pre-ictal epileptiform bursts in 5-CT, methysergide, but not DBS group compared to control. Conclusion: Increased serotonergic activity in AN raised PTZ seizure threshold, similar to DBS, but without preventing cortical bursting. 5-Carboxamidotryptamine, a 5-HT7 agonist, demonstrated dosedependent seizure inhibition. Methysergide proved to have an inverse, dose-dependent agonist property, antagonizing the action of AN-DBS at the highest dose. Anticonvulsant AN-DBS may in part act to selectively alter serotonin neurotransmission to raise seizure threshold.

Are nonlinear trading rules profitable in the chinese stock market

Abstract: The rise of China in the world economy has attracted a great deal of international attention. This paper investigates the performance of nonlinear self-exciting threshold autoregressive (SETAR) model-based trading rules in the Chinese stock market. We compare the performance of the SETAR model with the autoregressive (AR) model and the moving average (MA) trading rules. Our results indicate that trading rules are profitable in the B-share market, and that the nonlinear SETAR rule outperforms the other two linear rules in general.

Falsifying ARCH/GARCH Models Using Bispectral Based Tests

Abstract: This article shows that the Hinich (1982) bispectrum test for gaussianity and the Hinich and Rothman (1998) test for time reversibility can be used to falsify the null hypothesis that an autoregressive conditionally heteroskedastic model (ARCH) or its generalization (GARCH) generates nonlinear behavior in the variance of an observed time series. The term “falsify” means that the null hypothesis can be rejected with a given size using a nonparametric test based on the bispectrum where the data is trimmed to control the sizes. Rejecting the null hypothesis implies that the ARCH or GARCH model that is estimated from the data is not a complete statistical description of the dependence structure in the variance of the process.

The evolving role and definition of the federal funds rate in the conduct of U.S. monetary policy

Abstract: Over the past twenty years, the federal funds rate has evolved from being an intermediate target or indicator variable in discussions of monetary policy to the Federal Reserve’s (exogenous) policy instrument. How the funds rate is characterized has important implications for modeling, particularly in settings such as the popular Taylor Rule. Crucially, however, little investigation has been done to examine whether the funds rate meets the conditions one would require for an instrument of policy. This paper offers empirical evidence on the relationships among the federal funds rate, variables that might influence its behavior and variables of interest to monetary policy.

Randomly Modulated Periodicities in Relative Sunspot Numbers

Abstract: This paper presents a new spectral approach to the study of the periodic variation of relative sunspot cycles and the extent of the randomness in the amplitudes and phases of the harmonic components of the fundamental frequency of the cycles. The new method is called the signal coherence spectrum of a time series that has a randomly modulated periodicity. The data we use is the relative sunspot numbers beginning December 21, 1838 until June 30, 2008 as compiled by the Solar Influences Data Analysis Center (SIDC) at the Royal Observatory of Belgium using the FORTRAN 95 program developed by Hinich (2000). Deterministic sinusoids are often used to model cycles as a mathematical convenience. However, it is time to break away from this simplification in order to model the various periodic signals that are observed in fields ranging from biology, communications, acoustics, astronomy, and the various sciences. We detect a strong coherence at 3966 days (10.86 years) which is consistent with the reported 11-year sunspot cycle. Additionally, we find strongly coherent harmonics at about 20 days (0.8 coherence), 2.75 days (0.87 coherence), and 2.1 days (0.83 coherence). We have no physical

The evolving role and definition of the federal funds rate in the conduct of U.S. monetary policy

Abstract: Over the past twenty years, the federal funds rate has evolved from being an intermediate target or indicator variable in discussions of monetary policy to the Federal Reserve’s (exogenous) policy instrument. How the funds rate is characterized has important implications for modeling, particularly in settings such as the popular Taylor Rule. Crucially, however, little investigation has been done to examine whether the funds rate meets the conditions one would require for an instrument of policy. This paper offers empirical evidence on the relationships among the federal funds rate, variables that might influence its behavior and variables of interest to monetary policy.

Discrete fourier transform filters: Cycle extraction and Gibbs effect considerations

Abstract: The purpose of this note is to analyze the capability of bandpass filters to extract a known periodicity. The specific bandpass filters considered are a conventional discrete Fourier transform (DFT) filter and the filter recently proposed by Iacobucci and Noullez. We employ simulation methods to investigate cycle extraction properties. We also examine the implications arising from the Gibbs effect in practical settings that typically confront applied macroeconomists.