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Advances in Panel Data Analysis in Applied Economic Research

Part of the Springer Proceedings in Business and Economics Book Series

Editors: Tsounis, Nicholas; Vlachvei, Aspasia

DOI: 10.1007/978-3-319-70055-7

ISBN: 978-3-319-70054-0

Publisher: Springer International Publishing - Springer Journals

Apr 18, 2018

1 - 10 of 48 Chapters

LitStream

Chapter 1Spatial Analysis of Research-Productivity Nexus: A Case of Thai Rice Sector

Suphannachart, Waleerat

Pages: 1 –12

[Location matters for agricultural production and for farmers’ decision on adopting new crop varieties. Similar outputs, inputs, and productivity tend to be observed in areas with close proximity suggesting the importance of neighbourhood influence. However, this spatial pattern has been ignored...
LitStream

Chapter 2Application of Thermodynamics Entropy Concept in Financial Markets

Prabakaran, Sellamuthu

Pages: 13 –28

[Entropy is a mathematically defined quantity that is generally used for characterizing the probability of outcomes in a system that is undergoing a process. It was originally introduced in thermodynamics by Rudolf Clausius (Philos Mag J Sci 40:122–127, 1870) to measure the ratio of transferred...
LitStream

Chapter 3Economic and Business Cycle of India: Evidence from ICT Sector

Chaiboonsri, Chukiat; Wannapan, Satawat; Saosaovaphak, Anuphak

Pages: 29 –43

[This paper aims to study the relationship between Indian ICT industries and GDP by applying Bayesian inference. Five yearly predominant indexes collected during 2000–2015, including Indian GDP, fixed phone usages, mobile phone distributions, Internet servers, and broadband suppliers, are...
LitStream

Chapter 4Patents and R&D Cartels

Karbowski, Adam; Prokop, Jacek

Pages: 45 –54

[The objective of this paper is to compare the impact of R&D competition and R&D cooperation under patent protection and under no patent protection on enterprise innovation and performance. For simplicity we focus on the case of duopoly. In particular, the impact of R&D competition and R&D...
LitStream

Chapter 5A Mean-Variance Analysis of the Global Minimum Variance Portfolio Constructed Using the CARBS Indices

Labuschagne, Coenraad C. A.; Oberholzer, Niel; Venter, Pierre J.

Pages: 55 –68

[The purpose of this paper is to construct a global minimum variance portfolio (GMVP) using the log returns of the CARBS (Canada, Australia, Russia, Brazil, South Africa) indices. The weights obtained indicate that most of the portfolio should be invested in Canadian equity. The returns series of...
LitStream

Chapter 6Univariate and Multivariate GARCH Models Applied to the CARBS Indices

Labuschagne, Coenraad C. A.; Oberholzer, Niel; Venter, Pierre J.

Pages: 69 –83

[The purpose of this paper is to estimate the calibrated parameters of different univariate and multivariate generalised autoregressive conditional heteroskedasticity (GARCH) family models. It is unrealistic to assume that volatility of financial returns is constant. In the empirical analysis,...
LitStream

Chapter 7Value-At-Risk Forecasting of the CARBS Indices

Labuschagne, Coenraad C. A.; Oberholzer, Niel; Venter, Pierre J.

Pages: 85 –94

[The purpose of this paper is to use calibrated univariate GARCH family models to forecast volatility and value at risk (VaR) of the CARBS indices and a global minimum variance portfolio (GMVP) constructed using the CARBS equity indices. The reliability of the different volatility forecasts is...
LitStream

Chapter 8A Vector Error Correction Model (VECM) of FTSE/JSE SA Listed Property Index and FTSE/JSE SA Capped Property Index

Labuschagne, Coenraad C. A.; Oberholzer, Niel; Venter, Pierre J.

Pages: 95 –111

[In this paper, the efficient market hypothesis (EMH) will be investigated from an empirical and theoretical basis. The closing (Closet), intraday high (Hight), intraday low (Lowt) and opening (Opent) values of the FTSE/JSE SA Listed Property Index (FTJ253) and the FTSE/JSE Capped Property Index...
LitStream

Chapter 9Liquidity Proxies Based on Intraday Data: The Case of the Polish Order-Driven Stock Market

Olbrys, Joanna; Mursztyn, Michal

Pages: 113 –128

[The objective of this paper is to estimate selected liquidity measures based on high-frequency intraday data and to examine their magnitude on the Warsaw Stock Exchange (WSE). We construct and analyze a panel of data which consists of daily proxies of five liquidity estimates for 53 WSE-traded...
LitStream

Chapter 10Measuring Dynamics of Financial Integration on the Euro Area Stock Markets, 2000–2016

Majewska, Elzbieta; Olbrys, Joanna

Pages: 129 –142

[The goal of this paper is to measure the dynamics of financial integration between the euro area stock markets over the long time period 2000–2016. The panel of data consists of monthly logarithmic returns of 19 major euro area stock market indexes. The evolution of the integration process is...

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