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1
Ma, Po-yee Pauline, e 馬寶兒. "The heteroscedastic structure of some Hong Kong price series". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1989. http://hub.hku.hk/bib/B31976062.
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2
Parmeter, Christopher F. "Two-tier frontier and generalized kernel estimation of hedonic price indexes". Diss., Online access via UMI:, 2006.
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3
TONINELLI, Daniele (ORCID:0000-0002-3158-1982). "Survey techniques : an application to prices data for the computation of price indexes". Doctoral thesis, Università degli studi di Bergamo, 2009. http://hdl.handle.net/10446/80.
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4
Ma, Po-yee Pauline. "The heteroscedastic structure of some Hong Kong price series". Click to view the E-thesis via HKUTO, 1989. http://sunzi.lib.hku.hk/hkuto/record/B31976062.
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5
Chan, Ka-lin Karen. "Forecasting models for Hong Kong's consumer price index". Hong Kong : University of Hong Kong, 1993. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13787202.
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6
Bryan, Robin L. "Hedonic price indices for military vehicles and trailers". Thesis, Virginia Polytechnic Institute and State University, 1987. http://hdl.handle.net/10919/104326.
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7
Rydén, Otto. "Statistical learning procedures for analysis of residential property price indexes". Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-207946.
Testo completoAbstract (sommario):
Residential Price Property Indexes (RPPIs) are used to study the price development of residential property over time. Modeling and analysing an RPPI is not straightforward due to residential property being a heterogeneous good. This thesis focuses on analysing the properties of the two most conventional hedonic index modeling approaches, the hedonic time dummy method and the hedonic imputation method. These two methods are analysed with statistical learning procedures from a regression perspective, specifically, ordinary least squares regression, and a number of more advanced regression approaches, Huber regression, lasso regression, ridge regression and principal component regression. The analysis is based on the data from 56 000 apartment transactions in Stockholm during the period 2013-2016 and results in several models of a RPPI. These suggested models are then validated using both qualitative and quantitative methods, specifically a bootstrap re-sampling to perform analyses of an empirical confidence interval for the index values and a mean squared errors analysis of the different index periods. Main results of this thesis show that the hedonic time dummy index methodology produces indexes with smaller variances and more robust indexes for smaller datasets. It is further shown that modeling of RPPIs with robust regression generally results in a more stable index that is less affected by outliers in the underlying transaction data. This type of robust regression strategy is therefore recommended for a commercial implementation of an RPPI.Bostadsprisindex används för att undersöka prisutvecklingen för bostäder över tid. Att modellera ett bostadsprisindex är inte alltid lätt då bostäder är en heterogen vara. Denna uppsats analyserar skillnaden mellan de tvåhuvudsakliga hedoniska indexmodelleringsmetoderna, som är, hedoniska tiddummyvariabelmetoden och den hedoniska imputeringsmetoden. Dessa metoder analyseras med en statistisk inlärningsprocedur gjord utifrån ett regressionsperspektiv, som inkluderar analys utav minsta kvadrats-regression, Huberregression, lassoregression, ridgeregression och principal componentregression. Denna analys är baserad på ca 56 000 lägenhetstransaktioner för lägenheter i Stockholm under perioden 2013-2016 och används för att modellera era versioner av ett bostadsprisindex. De modellerade bostadsprisindexen analyseras sedan med hjälp utav både kvalitativa och kvantitativa metoder inklusive en version av bootstrap för att räkna ut ett empiriskt konfidensintervall för bostadsprisindexen samt en medelfelsanalys av indexpunktskattningarna i varje tidsperiod. Denna analys visar att den hedoniska tid-dummyvariabelmetoden producerar bostadsprisindex med mindre varians och ger också robustare bostadsprisindex för en mindre datamängd. Denna uppsats visar också att användandet av robustare regressionsmetoder leder till stabilare bostadsprisindex som är mindre påverkade av extremvärden, därför rekommenderas robusta regressionsmetoder för en kommersiell implementering av ett bostadsprisindex.
8
Chan, Ka-lin Karen, e 陳家蓮. "Forecasting models for Hong Kong's consumer price index". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B3197725X.
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9
GATTINI, LUCA. "QUALITY MEASUREMENT AND QUALITY IN PRICES INDEXES". Doctoral thesis, Università Cattolica del Sacro Cuore, 2010. http://hdl.handle.net/10280/674.
Testo completoAbstract (sommario):
Rapid technical progress has increased the speed of quality change. Its impact has a large
scale effect on a broad set of variables and it has exacerbated a latent economic problem on
the measurement of true economic variables. For example, the reliability of the Consumer
Price Index (CPI) has been increasingly undermined since it has been argued that price
indexes suffer either an upward or a downward bias due to quality change in goods and
services. This paper is aimed to be a comprehensive survey on historical contributions to
modeling quality from a theoretical perspective. The fundamental contributions of several
economists are framed into a coherent building block. We construct a general framework
for quality adjustment in price index theory which helps to understand the importance of
economic theory for price index definitions. Supply and demand side models are analysed
and merged into Rosen (1974) model, the first well grounded attempt to construct a
general equilibrium explanation to quality choices. First, we address the issue of quality measures into price index theory. Then,
we present a survey of the relevant contributions to hedonic price modeling. We focus on
two main fields of applied analysis: (1) determining how the price of a unit of commodity
varies with the set of attributes; (2) estimating the demand and supply functions for the
attributes of products. The open issues on quality adjustment in consumer price indexes
will be analysed in the two applied papers, namely chapter 3 and chapter 4. They are two
applied original contributions to hedonic price literature. Chapter 3: In this paper we show that a real time measure of pure price change for different varieties
of non durable volatile and seasonal products is possible. Moreover, we introduce the idea
of unobservable elements captured by brand specific and by time specific dummies. In
order to compute a pure price index, a theoretically correct quality adjustment procedure
has been determined where quality is measured in terms of attributes (Griliches, 1971a,
1971b; Tauchen and Witte, 2001; Pakes, 2003; Ekeland et al. 2002, 2004; Triplett 2004)
and it is becomes a ’fundamental’ of the market. We have analyzed the prices of apples
and oranges traded in the General Milan Market for fruit and vegetables. We have used a
large amount of information from more than 8000 of observations collected between 2000
and 2004. We have found that quality is changed over time even if new goods/varieties
were not introduced. Price levels adjusted for qualitative levels, measured in terms of
the content of characteristics, are above the Laspeyres hedonic price index on average for
apples whilst the pure price index for oranges is close to the Laspeyres price index. Our
empirical analysis shows that a price index, which does not account for quality change, is
underepresiting inflation for apples and correctly measuring price changes for oranges. Chapter 4: The relevant literature dealing with the problem of quality measurement in passenger
cars (inter alias, Ohta and Griliches 1976, 1983; Lancaster (1966), Rosen (1974), Berry et
al. 1995; 2004) relies on general hedonic imputation methods for the assessment of the
quality adjusted price index. We deviate from this standard approach by computing a new
quality adjusted index for cars based on a weighted adjustment procedure which accounts
for attrition due to observable elements (Fitzgerald et al., 1998; Nevo, 2003; Horowitz and
Manski, 1998). By doing this, we are able to define a quality adjusted price index which
generates a more accurate identification of price index levels than the current state of the
art. We use data for the universe of new cars and their characteristics, sold between 2000
and 2007 in Italy, and we identify the basic reference unit. Based on this we study the
pricing behavior of the firms. We model a non random and non ignorable selection process
based on an entry/exit process of cars (Olly and Pakes, 1996) due to profit maximizing
firms in a differentiated product space. We find that the official index is overestimating
inflation since our results point to a mild deflation. However we show that traditional
hedonic techniques lead to an overestimation of quality improvement and consequently
they under-estimate inflation.
10
GATTINI, LUCA. "QUALITY MEASUREMENT AND QUALITY IN PRICES INDEXES". Doctoral thesis, Università Cattolica del Sacro Cuore, 2010. http://hdl.handle.net/10280/674.
Testo completoAbstract (sommario):
Rapid technical progress has increased the speed of quality change. Its impact has a large
scale effect on a broad set of variables and it has exacerbated a latent economic problem on
the measurement of true economic variables. For example, the reliability of the Consumer
Price Index (CPI) has been increasingly undermined since it has been argued that price
indexes suffer either an upward or a downward bias due to quality change in goods and
services. This paper is aimed to be a comprehensive survey on historical contributions to
modeling quality from a theoretical perspective. The fundamental contributions of several
economists are framed into a coherent building block. We construct a general framework
for quality adjustment in price index theory which helps to understand the importance of
economic theory for price index definitions. Supply and demand side models are analysed
and merged into Rosen (1974) model, the first well grounded attempt to construct a
general equilibrium explanation to quality choices. First, we address the issue of quality measures into price index theory. Then,
we present a survey of the relevant contributions to hedonic price modeling. We focus on
two main fields of applied analysis: (1) determining how the price of a unit of commodity
varies with the set of attributes; (2) estimating the demand and supply functions for the
attributes of products. The open issues on quality adjustment in consumer price indexes
will be analysed in the two applied papers, namely chapter 3 and chapter 4. They are two
applied original contributions to hedonic price literature. Chapter 3: In this paper we show that a real time measure of pure price change for different varieties
of non durable volatile and seasonal products is possible. Moreover, we introduce the idea
of unobservable elements captured by brand specific and by time specific dummies. In
order to compute a pure price index, a theoretically correct quality adjustment procedure
has been determined where quality is measured in terms of attributes (Griliches, 1971a,
1971b; Tauchen and Witte, 2001; Pakes, 2003; Ekeland et al. 2002, 2004; Triplett 2004)
and it is becomes a ’fundamental’ of the market. We have analyzed the prices of apples
and oranges traded in the General Milan Market for fruit and vegetables. We have used a
large amount of information from more than 8000 of observations collected between 2000
and 2004. We have found that quality is changed over time even if new goods/varieties
were not introduced. Price levels adjusted for qualitative levels, measured in terms of
the content of characteristics, are above the Laspeyres hedonic price index on average for
apples whilst the pure price index for oranges is close to the Laspeyres price index. Our
empirical analysis shows that a price index, which does not account for quality change, is
underepresiting inflation for apples and correctly measuring price changes for oranges. Chapter 4: The relevant literature dealing with the problem of quality measurement in passenger
cars (inter alias, Ohta and Griliches 1976, 1983; Lancaster (1966), Rosen (1974), Berry et
al. 1995; 2004) relies on general hedonic imputation methods for the assessment of the
quality adjusted price index. We deviate from this standard approach by computing a new
quality adjusted index for cars based on a weighted adjustment procedure which accounts
for attrition due to observable elements (Fitzgerald et al., 1998; Nevo, 2003; Horowitz and
Manski, 1998). By doing this, we are able to define a quality adjusted price index which
generates a more accurate identification of price index levels than the current state of the
art. We use data for the universe of new cars and their characteristics, sold between 2000
and 2007 in Italy, and we identify the basic reference unit. Based on this we study the
pricing behavior of the firms. We model a non random and non ignorable selection process
based on an entry/exit process of cars (Olly and Pakes, 1996) due to profit maximizing
firms in a differentiated product space. We find that the official index is overestimating
inflation since our results point to a mild deflation. However we show that traditional
hedonic techniques lead to an overestimation of quality improvement and consequently
they under-estimate inflation.
11
Yiu, Fu-keung. "Time series analysis of financial index /". Hong Kong : University of Hong Kong, 1996. http://sunzi.lib.hku.hk/hkuto/record.jsp?B18003047.
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12
Mazumdar, Tridib. "The effects of learning intentions and choice task orientations on buyers' knowledge of price: an experimental investigation". Diss., Virginia Polytechnic Institute and State University, 1987. http://hdl.handle.net/10919/53645.
Testo completoAbstract (sommario):
This dissertation examines the process by which buyers encode and store price information in their memories and how the information is retrieved when such a need arises. Using theories in human learning and memory, it has been argued that buyers’ learning of price information is primarily influenced by their learning plans and the criteria they use pin choice decisions. Because of the differences in learning and choice task orientations, buyers are postulated to encode and store the information differently and therefore, different memory tests are necessary to investigate the retrieval mechanisms and thereby making inferences about their knowledge of price. While it is recognized that buyers may encode and retrieve price information in many different ways, this research has examined the differential impact of learning and choice task orientations on their recall, recognition, and ranking performances.
The hypotheses developed in this research were tested in a laboratory experiment using ninety women shoppers as subjects. The two levels of learning (incidental and intentional) and the three levels of choice task orientations (non-price, mixed, and price) were fully crossed in a 2 x 3 full-factorial between-subjects design. Subjects, after being randomly assigned to one of the six experimental conditions took part in a simulated grocery shopping. Having made their selections, subjects responded to recall, recognition, and ranking memory tests involving prices of the items selected. Subjects also indicated their confidence about the accuracy of their responses. The accuracy and confidence ratings were used as dependent measures when testing the hypotheses. Since accuracy measures were dichotomous (correct or incorrect) in nature, loglinear modes were tested using maximum likelihood estimation procedure. For continuous dependent measure (e.g. confidence), ordinary least square estimations were carried out in a univariate ANOVA framework. In addition, several multiple comparison procedures were used to test differences between mean accuracy and confidence scores.
The data analysis supported fifteen out of sixteen hypothesized relationships. The results supported the argument that buyers’ learning of price information improves with greater use of price in their choice decisions and with greater need to remember the information for later use. Overall, recognition was found to be a more appropriate retrieval mechanism than recall. Need for remembering specific prices did not significantly improve buyers° ability to rank items in terms of their expensiveness.
The conceptualization and the research results are expected to make both theoretical and methodological contributions in pricing research. Particularly, the issues involving formation of reference prices and the manner in which the internal reference prices are retrieved and used in iii choice decisions are partially addressed using a consumer information processing perspective. Nonetheless, future research is needed to resolve additional issues in price perception research.Ph. D.
13
Wongbangpo, Praphan. "Dynamic analysis on ASEAN stock markets". access full-text online access from Digital dissertation consortium, 2000. http://libweb.cityu.edu.hk/cgi-bin/er/db/ddcdiss.pl?9982126.
Testo completo
14
Tyandela, Luvo. "The construction of All SADC stock market indices". Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52499.
Testo completoAbstract (sommario):
Thesis (MBA)--Stellenbosch University, 2001.This thesis presents a study on : (1) The construction of the SADC All Stock Market Indices, namely the SADIX (SADC Index Including South Africa) and the SADEX (SADC Index Excluding South Africa), which will serve as performance benchmarks for the region, and as indices for tracking the performance of the region excluding the JSE (2) Comparative analysis of the SADC bourses returns (3) Correlation Analysis between the SADC countries The SADC All Stock Market Indices, SADIX & SAD EX are market value, capitalization-weighted indices in which all components are weighted according to the total market value of their outstanding shares. They comprise all equity securities listed on the SADC region excluding Tanzania. Both series are calculated in local currencies and converted to US dollar terms, using end-af-week data with a base value of 1,000 as at 3rd September 1999. The dissertation presents a discussion on the regionalization of the African stock exchanges and how they this will impact the low liquidity levels which is endemic to most of the African Stock Exchanges. The results obtained indicate a significantly high correlation between the individual country indices with the SADe All Stock market Indices. Furthermore, observations are that the SADe stock exchanges show similar reactions to news flow and economic shocks. However, there are negative correlations, which will offer investors a fundamental basis for a diversification strategy in the region. Finally, the thesis concludes that despite the perception that African stock markets are in chaos, there are lucrative SADe markets, smaller in terms of size and market capitalization that will provide good returns.
15
Lee, Sang H. "Index inclusion effect growth vs. value /". Diss., Connect to the thesis, 2008. http://hdl.handle.net/10066/1451.
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16
Smith, Aaron D. "Stochastic permanent breaks /". Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1999. http://wwwlib.umi.com/cr/ucsd/fullcit?p9938588.
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17
Cooper, Douglas Neil. "An analysis of the agricultural input industries : demand, trade and hedonic price indexes for fertilisers and tractors". Thesis, University of Nottingham, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.334857.
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18
Karanfil, Salih. "Obtaining the membership function by using the neural network in Istanbul stock exchange to find the relation between the low and closing prices". Pontificia Universidad Católica del Perú, 2014. http://repositorio.pucp.edu.pe/index/handle/123456789/96007.
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19
Heger, Levin, e Lisa Åkerman. "Momentum in ESG Indexes : A study on the passive capital flows effect on ESG stock prices". Thesis, Umeå universitet, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-185265.
Testo completoAbstract (sommario):
The aim with this thesis is to investigate whether increased capital flows to ESG screened indexes create higher price-to-earnings (P/E) ratios and momentum in the included stocks during the chosen time period of three years, from 2018 to 2020. The thesis will evaluate the capital flows to ESG indexes and compare both performance and P/E ratios between those and their corresponding Mother indexes. The study will also look at the development of capital flows, performance and P/E ratios separately in the four chosen geographical indexes; Global, Europe, US and Emerging Markets. The theoretical framework goes through four relevant subjects for this study; passive investing, ESG, momentum and the P/E ratio. The study has shown that the capital flows in all four ESG indexes increased during the chosen time period. Moreover, it could be proven that three out of four ESG indexes outperformed their Mother indexes, namely, Global, Europe and Emerging Markets. In the U.S. the Mother index outperformed the ESG index. Three out of four geographical indexes also had a higher increase in the average P/E ratio than their mother indexes. Here, the Global market stood out as the one that had a lower increase in P/E ratio than its Mother index. Lastly, regression analyses were made to see the relationship between the variables capital flows, average P/E ratios in the indexes and the performance of the indexes. The study showed significantly that capital flows is the explanatory variable for the increased P/E ratios on the European ESG index. However, for the other indexes no significant correlation could be proved. This led to an interesting discussion and conclusion, and also left us with a question mark. What is the reason behind this result on the European market, and why was it not possible to see any significant correlation on the other markets? Further research in this field is needed and some ideas are discussed in the last chapter of the thesis.
20
Hu, Haixin. "Sample selection and spatial models of housing price indexes and a disequilibrium analysis of the U.S. gasoline market using panel data /". Full text available from ProQuest UM Digital Dissertations, 2008. http://0-proquest.umi.com.umiss.lib.olemiss.edu/pqdweb?index=0&did=1850404651&SrchMode=1&sid=2&Fmt=2&VInst=PROD&VType=PQD&RQT=309&VName=PQD&TS=1277474405&clientId=22256.
Testo completoAbstract (sommario):
Thesis (Ph.D.)--University of Mississippi, 2008.Typescript. Vita. "August 2008." Committee chair : Walter Mayer Includes bibliographical references (leaves 82-83). Also available online via ProQuest to authorized users.
21
Motladiile, Bopelokgale. "Relationship between share index volatility, basis and open interest in futures contracts : the South African experience". Thesis, Stellenbosch : Stellenbosch University, 2003. http://hdl.handle.net/10019.1/53572.
Testo completoAbstract (sommario):
Study project (MBA)--University of Stellenbosch, 2003.ENGLISH ABSTRACT: In a rational efficiently functioning market, the price of the share index and share index futures contracts should be perfectly contemporaneously correlated. According to the cost of carry model, the futures price should equal its fair value at maturity. The basis should be equal to the cost of carry throughout the duration of the futures contract. However, in practice the cost of carry model is obscured and the basis varies and is normally not equal to the cost of carry. Reasons for this variability in basis include the mark-to-market requirement of the futures contract, the differential tax treatment of spot and futures contracts, as well as the transaction cost of entering into a contract. Transaction costs are lower for futures contracts than for spot contracts. This study uses the Chen, Cuny and Haugen (1995) model to examine the relationship between the basis and volatility of the underlying index and between the open interest of the futures contract and the volatility of the underlying index. Chen et al. (1995) predicted that the basis is negatively related to the volatility of the underlying index and that the open interest is positively related to the volatility of the underlying index. The study will also test the statement by Helmer and Longstaff (1991) that the basis has a negative concave relationship with the level of interest rate. The tests were performed on data from ALSI, FINI and INDI futures contracts. The sample period was from January 1998 to December 2001. The results correspond to those obtained by Chen et al. (1995) in that the basis is negatively related to the volatility of the underlying index. This is true for all the three indices. The other main prediction of the Chen, Cuny and Haugen (CCH) model (1995), which is also supported by the study, is that open interest is significantly related to the volatility of the underlying index. The study also supports the statement by Helmer and Longstaff (1991) that the there is a highly significant negative concave relationship between the basis and interest rate.
AFRIKAANSE OPSOMMING: In "n mark wat rasioneel funksioneer, behoort die prys van die aandele-indeks en aandele-indekstermynkontrakte perfek gekorreleer te wees in tyd. Volgens die drakostemodel behoort die termynkontrakprys op die vervaldatum gelyk te wees aan die billike waarde daarvan. Die basis behoort vir die looptyd van die termynkontrak gelyk te wees aan die drakoste. In die praktyk word die drakostemodel egter vertroebel en wissel die basis en is dit gewoonlik nie gelyk aan die drakoste nie. Redes vir hierdie veranderlikheid van die basis sluit in die waardasie teenoor markprys van die termynkontrak, die belasting van toepassing op loko- en termynkontrakte, asook die transaksiekoste by die aangaan van "n kontrak. transaksiekoste vir termynkontrakte is laer as vir lokokontrakte. Hierdie studie gebruik die model van Chen, Cuny en Haugen (1995) om die verwantskap tussen die basis en die volatiliteit van die onderliggende indeks en tussen die oop kontrakte van die termynkontrak en die volatiliteit van die onderliggende indeks te ondersoek. Chen et al. (1995) voer aan dat daar 'n negatiewe verwantskap is tussen die basis en die volatiliteit van die onderliggende indeks en dat daar "n positiewe verwantskap is tussen die oop rente en die volatiliteit van die onderliggende indeks. Die studie toets ook Helmer en Longstaff (1991) se hipotese dat daar 'n negatiewe, konkawe verhouding tussen die basis en die rentekoersvlak bestaan. Die toetse is uitgevoer op data van ALSI-, FINI- EN INDItermynkontrakte. Die steekproef was van Januarie 1998 tot Desember 2001. Die resultate stem ooreen met dié van Chen, Cuny en Haugen (1995) se model (CCH-model) in dié opsig dat daar "n negatiewe verband is tussen die basis en die volatiliteit van die onderliggende indeks. Dit geld vir al drie die indekse. Die ander hoofresultate van Chen et al. (1995), wat ook deur die studie ondersteun word, is dat daar "n beduidende verband tussen die oop kontrakte en die volatiliteit van die onderliggende indeks bestaan. Die studie ondersteun ook Helmer en Longstaff(1991) se siening dat daar 'n beduidende, negatiewe, konkawe verhouding tussen die basis en die rentekoers bestaan.
22
Batchelder, Walter Irving. "A study of the link-chain LIFO controversy". Diss., Virginia Polytechnic Institute and State University, 1988. http://hdl.handle.net/10919/53909.
Testo completoAbstract (sommario):
The accounting literature contains no evidence on the reliability of the link-chain variant of dollar-value LIFO as a method of inventory accounting as compared to the double-extension variant. The research produced the first evidence on the topic.
Process analyses of the two methods found both to be flawed, with the link-chain method seriously flawed. The link-chain method inappropriately incorporates the price-levels of periods when there is no annual layer to be restated. The resulting, and all subsequent, inventory valuations are misstated. The link-chain and double-extension methods can both produce misstated valuations in periods with layer erosion. The study identifies procedures to correct these errors.
Two quantitative experiments were conducted to evaluate the relationship of the inventory valuations produced by the two methods. The first experiment used a small amount real data; the second experiment used a large amount of synthesized data. The experimental results indicated the relationship of the valuations to be circumstantial. Based on the process analyses and the quantitative experiments, the link-chain LIFO method was determined to be an unreliable method of inventory accounting.
The quantitative experiments were also used to investigate related issues. The first experiment concluded that a dollar-value LIFO method based on Fisher’s "ideal" index methodology was practicable. The second experiment concluded that adopting the method used by the Bureau of Labor Statistics to assign base-date costs to new or changed items that enter the CPI market basket of goods and services to the double-extension LIFO method was practicable and would not diminish tax revenues. The study recommended that consideration be given to replacing the current double-extension and link-chain methods with a double-extension LIFO with the BLS method.
The second experiment also concluded that the IRS’s inventory "turnover" test is probably based on the IRS’s perception of what constitutes taxpayer practicality. The definition of practicality, however, is questioned and alternative definitions are suggested.
The study indicated that further research on the relationship of inventory valuations to the income taxation process is needed.Ph. D.
23
Fish, Therese. "The construction of African regional and all-Africa stock market indices". Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52498.
Testo completoAbstract (sommario):
Thesis (MBA) --Stellenbosch University, 2001.ENGLISH ABSTRACT: Africa's stock markets are considered by many emerging market specialists to have great potential for investors. Developing models which track share/financial indices provide a means of disseminating information about market performance. With the active move towards regional stock markets, regional indices will provide an important tool for performance of the region. Stock market indices provide information to investors and portfolio managers about the performance of various markets or groups of stocks. Investors can use the movement of indices as a way of assessing market trends and opportunities for investment. As economic integration increases in Africa, it will become increasingly important to have markers of regional market performance. This study project collected weekly market capitalisation data from the markets in the various regions, which were utilised to construct regional all-share indices for the year 2000. Regional indices for three of the four regions within Africa were constructed. The three indices are the EASDEX (for East Africa), the NADEX (for North Africa) and the WADEX (for West Africa). The weekly market capitalisation data were further utilised to construct an All-Africa index. The Johannesburg Stock Exchange (JSE) dominates the Southern African Development Community (SADC) regional market's total market capitalisation. Similarly the SAOG region dominates the total market capitalisation for Africa. The JSE contributes 59% to the total market capitalisation of Africa (January 2000). The All-Africa index moves together with the SADIX (SAOG regional index) confirming the high weighting of South Africa in the total market capitalisation of Africa. Encouraging economic growth throughout Africa and not just in Southern Africa will assist the continent as a whole to attract market capital. In the long term this should increase market growth in the other regions of Africa and enable investors to diversify into Africa. There are certainly opportunities for investors in Africa. The low correlation between Egypt and the other two North African markets allows for diversification within the North African Region. Nigeria has been the market that had the highest returns during 2000, one that outperformed many international markets. SADIX has low or negative correlation coefficients with the rest of the African individual as well as the regional market indices. Historically emerging markets are volatile and risky. The case for diversification into emerging markets originates from the high economic growth potential of emerging markets, together with low correlation with other developed markets. The development of All-Share indices, which track market performance on the African continent, will assist both potential institutional as well as individual investors.
AFRIKAANSE OPSOMMING: Afrika se effektemarkte word deur baie opkomende markspesialiste beskou as potensieel gunstig vir beleggers. Deur modelle wat aandele/finansiële indekse volg te ontwikkel, word 'n middel voorsien om informasie oor markprestasie te ontleed. Met die aktiewe beweging na streeksaandelemarkte, sal streeksindekse 'n belangrike maatstaf vir die prestasie van 'n area voorsien. Aandelemarkindekse voorsien informasie aan beleggers en portefeulje bestuurders oor die prestasie van verskeie markte of aandelegroepe. Beleggers kan die beweging van die indekse gebruik om marktendense te ontleed asook om geleenthede vir investering te identifiseer. Dit sal belangriker raak om maatstawwe van streeksmarkprestasie te hê soos ekonomiese integrasie in Afrika toeneem. Hierdie studieprojek het weeklikse markkapitalisasie data van die markte in die verskeie areas versamel, wat gebruik is om 'n streeksindeks van alle aandele vir die jaar 2000 saam te stel. Streeksindekse vir drie van die vier streke binne Afrika is saamgestel. Die drie indekse is die EASDEX (Oos Afrika), die NADEX (Noord Afrika) en die WADEX (Wes Afrika). Die weeklikse markkapitalisasie data is verder aangewend om 'n Alle- Afrika indeks saam te stel. Die Johannesburgse Effektebeurs (JEB) domineer die totale markkapitalisasie van die Suidelike Afrika Ontwikkelingsgemeenskap (SAOG) se streeksmark. Insgelyk domineer die SAOG streek die totale markkapitalisasie vir Afrika. Die JES dra 59% by tot die totale markkapitalisasie van Afrika (Januarie 2000). Die Alle-Afrika indeks beweeg saam met die SADIX (SAOG streeksindeks) wat die gewigtigheid van Suid Afrika in die totale markkapitalisasie van Afrika bevestig. Deur ekonomiese groei regdeur Afrika en nie bloot in Suider Afrika nie, aan te spoor, sal dit die vasteland as 'n geheel steun om markkapitaal aan te trek. Op die lange duur behoort dit groei te bevorder in die ander streke van Afrika en beleggers in staat te stel om binne Afrika te diversifiseer. Daar is ongetwyfeld geleenthede vir beleggers in Afrika. Die lae onderlinge afhanklikheid tussen Egipte en die ander twee Noord Afrika markte laat diversifikasie binne die Noord Afrika streek toe. Nigerië is die mark met die hoogste opbrengste tydens 2000 en het selfs baie internasionale markte oortref. SADIX het lae of negatiewe korrelasiekoeffisiënte met die res van die Afrika individuele-, sowel as die streeksmarkindekse. Histories is opkomende markte onstabiel en riskant. Partydigheid vir diversifikasie in opkomende markte ontstaan vanuit die hoë ekonomiese groeipotensiaal van hierdie markte tesame met lae onderlinge afhanklikheid met ander ontwikkelde lande. Deur indekse van alle aandele wat markprestasie op die Afrika-vasteland volg saam te stel, sal beide potensiële institusionele, sowel as individuele beleggers se besluite/ontledings ondersteun word.
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Heinze, Christian [Verfasser], Harry [Akademischer Betreuer] Haupt e Dietmar [Akademischer Betreuer] Bauer. "A framework for spatiotemporal prediction with small and heterogeneous data - and an application to consumer price indexes - / Christian Heinze ; Harry Haupt, Dietmar Bauer". Bielefeld : Universitätsbibliothek Bielefeld, 2016. http://d-nb.info/1119981298/34.
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Oliveira, Charles Wladimir de Almeida. "Predictive indices of construction: with an approach VAR models and applied to INCC SINAPI". Universidade Federal do CearÃ, 2011. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9275.
Testo completoAbstract (sommario):
nÃo hÃConsidering two of the main costs indicators in the civil construction sector, this study proposes models to estimate the costs trend in that sector in 2011. Forecasts from vector autoregressive models composed by INCC and SINAP index seasonally adjusted allow determining an upward trend for costs in the sector analyzed and that, as in periods of financial crisis, this should be the object of counter cyclical policy to contain the spread of movement of rising prices in the Brazilian economy.
Considerando dois dos principais indicadores de custos no setor da construÃÃo civil, o estudo propÃe modelos para estimar a tendÃncia dos custos no referido setor em 2011. PrevisÃes a partir de modelos vetoriais autorregressivos compostos pelo INCC e Ãndice SINAPI com ajuste sazonal permitem constatar uma tendÃncia ascendente para os custos no setor analisado e que, assim como nos perÃodos de crise financeira, este deve ser objeto de polÃtica anticÃclica visando conter a propagaÃÃo do movimento de elevaÃÃo de preÃos na economia brasileira.
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Castilhos, Nádia Cristina de. "O grau de investimento corporativo das empresas listadas no IBRX50 : análise do rating divulgado pelas certificadoras". reponame:Repositório Institucional da UCS, 2017. https://repositorio.ucs.br/handle/11338/3357.
Testo completoAbstract (sommario):
As empresas são constantemente avaliadas, no que tange a resultados financeiros e econômicos, bem como as suas estratégias. As demonstrações financeiras são relatórios importantes na avaliação do desempenho da evolução patrimonial das organizações, fornecendo uma visão global da organização. Este estudo tem como objetivo identificar a relação entre Grau de Investimento, definido pelo rating do método de Guth, com o das certificadoras Standard & Poor's, Moody's e Fitch Ratings, com base nos dados das empresas listadas no IBRX 50. O grau de investimento de uma empresa concede um selo de “bom pagador”, esta avaliação ocorre de forma quantitativa e qualitativa, permitindo uma visão ampla dos negócios da organização. Para analisar a aderência do método que utiliza apenas indicadores financeiros e o divulgado pelas principais certificadoras será realizada uma pesquisa pelo método quantitativo-descritivo, utilizando as empresas listadas no IBRX50. A pesquisa é classificada como aplicada, com abordagem quantitativa, sendo apurado o grau de investimento pelo método de Guth através das demonstrações contábeis das empresas listadas no IBRX50, no ano de 2016, comparando com o divulgado pelas agencias certificadoras. Quanto ao objetivo é descritiva, utilizando procedimentos documentais, baseada em relatórios contábeis financeiros para calcular o grau de investimentos e os pareceres divulgados pelas certificadoras para comparar o rating divulgado como o apurado a partir dos seguintes indicadores financeiros: liquidez, rentabilidade, lucratividade, , solvência, endividamento e giro do ativo. Como resultados verificou-se a existência de diferenças entre o rating divulgado pelas agências, empresas que não possuem classificação divulgada pelas três certificadoras concomitantemente. A lista do IBRX50 contempla empresas que não foram avaliadas pelas certificadoras.Submitted by Ana Guimarães Pereira (agpereir@ucs.br) on 2017-12-06T16:50:26Z No. of bitstreams: 1 Dissertacao Nadia Cristina de Castilhos.pdf: 1045174 bytes, checksum: 3baf5f6c86f3e49a4273a261fa6b1479 (MD5)
Made available in DSpace on 2017-12-06T16:50:26Z (GMT). No. of bitstreams: 1 Dissertacao Nadia Cristina de Castilhos.pdf: 1045174 bytes, checksum: 3baf5f6c86f3e49a4273a261fa6b1479 (MD5) Previous issue date: 2017-12-06
Companies are constantly evaluated in terms of financial and economic results as well as their strategies. The financial statements are important reports in assessing the performance of the organization's equity evolution, providing a global view of the organization. This study has as general objective to identify the relation between Investment Grade, defined by the rating of Guth’s Method, with the certifiers Standard & Poor's, Moody's and Fitch Ratings, based on the data of the companies listed in the IBRX 50. The degree of investment of a company grants it a "good payer" seal, this evaluation occurs quantitatively and qualitatively, allowing a broad view of the organization's business. In order to analyze the adherence of the method that uses only financial indicators and that disclosed by the main certifiers, a research based on a quantitative-descriptive method will be done, using the companies listed in the IBRX50, in 2016. The objective is descriptive, using documentary procedures, based on financial accounting reports to calculate the degree of investments and the opinions published by the certifiers to compare the rating disclosed as calculated from the financial indicators: Liquidity indebtedness, Immediate liquidity, Profitability of the asset, Profitability, Current liquidity, Dry liquidity, Solvency, Indebtedness of Liquid Equity, Return on Liquid Equity and Asset turnover. As results it was verified that there are differences between the ratings disclosed by the three agencies. The IBRX50 list includes companies that have not been evaluated by the certifiers.
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Potgieter, Damien. "An analysis of the turn-of-the-year effect in South African equity returns". Thesis, Rhodes University, 2007. http://hdl.handle.net/10962/d1007605.
Testo completoAbstract (sommario):
This study investigates FTSE/JSE All Share index monthly and daily equity returns for evidence of the January and TY effect. Four different measures of monthly return are analysed for the 1995-2006 period, whilst daily returns are analysed during the 1995-2005 period. In addition to this, analysis is conducted on monthly Fama-MacBeth risk premium estimates tor the FTSE/JSE All Share Index. Descriptive statistics are first analysed, followed by ANOV A or Kruskai-Wallis tests, the paired t-test and finally dummy variable regression analysis in investigating the seasonality of FTSE/JSE All Share Index returns and risk premia. Analysis on monthly returns reveals an absence of the January effect, however a positive slightly statistically significant December effect is found. Thus, investors earn abnormal returns on equity during the month of December. The results from the Fama-MacBeth risk premia estimates reveals highly statistically significant negative risk premia seasonal patterns during March, July and September. Thus, investors are in fact penalised for investing in equities during these months. In addition, the analysis reveals an absence of a December effect in risk premia, which contradicts the risk-return trade-off central to modem finance. The daily return analysis reveals a highly significant Turn-of-the-Year effect (TY), which suggests that investors earn abnormal returns on days at the turn of the year. Therefore, it is concluded that a December effect is apparent in South African equity monthly returns, whilst a March, July and September effect is apparent in South African equity risk premia contradicting the risk-return trade-off central to modem finance. In addition to this, a TY effect is present in South African equity daily returns.
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Gottschling, Andreas Peter. "Three essays in neural networks and financial prediction /". Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1997. http://wwwlib.umi.com/cr/ucsd/fullcit?p9728773.
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Chan, Kwei-sang, e 陳貴生. "Hongkong stock index future and portfolio management". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1989. http://hub.hku.hk/bib/B31264232.
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Bunger, R. C. (Robert Charles). "Derivation of Probability Density Functions for the Relative Differences in the Standard and Poor's 100 Stock Index Over Various Intervals of Time". Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc330882/.
Testo completoAbstract (sommario):
In this study a two-part mixed probability density function was derived which described the relative changes in the Standard and Poor's 100 Stock Index over various intervals of time. The density function is a mixture of two different halves of normal distributions. Optimal values for the standard deviations for the two halves and the mean are given. Also, a general form of the function is given which uses linear regression models to estimate the standard deviations and the means.
The density functions allow stock market participants trading index options and futures contracts on the S & P 100 Stock Index to determine probabilities of success or failure of trades involving price movements of certain magnitudes in given lengths of time.
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Посохов, Игорь Михайлович. "Государственное регулирование цен на продукцию социального значения". Thesis, Харьковский национальный университет им. В. Н. Каразина, 2009. http://repository.kpi.kharkov.ua/handle/KhPI-Press/30670.
Testo completoAbstract (sommario):
Диссертация на соискание научной степени кандидата экономических наук по специальности 08.00.03 – экономика и управление национальным хозяйством – Харьковский национальный университет имени В. Н. Каразина, Харьков, 2009.
В диссертации автором обоснованы теоретические, методические и практические вопросы совершенствования управления ценообразованием как направление развития социально-экономической стратегии формирования в Украине новой модели экономического развития. Разработки автора основаны на собственном исследовании государственного регулирования цен на социально значимую продукцию и анализе работы системы органов ценообразования. Исследуются сущность, цели, особенности и механизмы государственного регулирования цен. Теоретически обоснована необходимость влияния государства на ценовую политику на современном этапе развития экономики, теоретически направления и предложены научно-методические подходы к совершенствованию государственной ценовой политики. Получили дальнейшее развитие научно-теоретическое обоснование государственного регулирования цен на современном этапе развития Украины, классификация целей и методов государственного регулирования цен, исследование эффективности государственного регулирования цен на рынке социально значимых продовольственных товаров на примере рынка хлеба и подсолнечного масла, перспективы развития системы ценообразования в условиях вступления Украины в ВТО. В процессе исследования выполнена классификация целей и методов государственного регулирования цен. Классификация методов государственного регулирования цен, в соответствии принципам управления по дополнительному набору признаков, отражает использование методов государственного регулирования цен в Украине. Выделены характерные особенности государственного регулирования цен, современной социальной политики и предложены направления их оптимизации. Предлагаются рекомендации по совершенствованию социально значимого перечня товаров и услуг, согласно которому осуществляется регулирование цен в Украине. Предлагаются рекомендации по совершенствованию нормативной базы в области ценообразования, рекомендации по совершенствованию работы Государственной инспекции по контролю за ценами и системы ценообразования, предложены составляющие механизма управления тендерными закупками, как косвенного механизма государственного регулирования цен на социально значимые товары.The Dissertation on competition of a scientific degree of the candidate of economic sciences on a speciality 08.00.13 - Economics and Governance of a National Economy, Kharkiv National Karazina University, Kharkiv, 2009. The goal of this dissertation is to research the theoretical, methodical and practical questions of improvement of pricing management as development concept of "social and economic strategy of formation of the new economic development model in Ukraine". The dissertation offers recommendations on improvement of normative base in the field of pricing, recommendations on improvement of work of governmental price management inspection and the pricing system. Also the mechanism of tender purchases management, as the indirect mechanism of governmental price regulation for socially significant production is offered.
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Посохов, Ігор Михайлович. "Державне регулювання цін на продукцію соціального значення". Thesis, Харківський національний університет ім. В. Н. Каразіна, 2009. http://repository.kpi.kharkov.ua/handle/KhPI-Press/27923.
Testo completoAbstract (sommario):
Дисертація на здобуття наукового ступеня кандидата економічних наук за спеціальністю 08.00.03 - економіка та управління національним господарством. Харківський національний університет імені В. Н. Каразіна, Харків, 2009.
У дисертації досліджуються теоретичні, методичні та практичні питання вдосконалення управління ціноутворенням як напрямок розвитку "Соціально-економічної стратегії формування в Україні нової моделі економічного розвитку". Пропонуються рекомендації з вдосконалення нормативної бази в області ціноутворення, рекомендації з вдосконалення роботи Державної інспекції контролю за цінами і системи ціноутворення, запропонований механізм управління тендерними закупівлями, як непрямий механізм державного регулювання цін на соціально значущі товари. Обґрунтовано існуючі джерела фінансування сучасної системи державного регулювання цін і запропоновані нові. Розроблено науково-методичні рекомендації подальшого розвитку системи ціноутворення та вдосконалення моніторингу цін Державної інспекції з контролю за цінами. Пропонується поширити моніторинг цін на приватних підприємців, в зв'язку з тим, що вони займають значну частину ринку соціально значущої продукції.The Dissertation on competition of a scientific degree of the candidate of economic sciences on a speciality 08.00.13 - Economics and Governance of a National Economy, Kharkiv National Karazina University, Kharkiv, 2009. The goal of this dissertation is to research the theoretical, methodical and practical questions of improvement of pricing management as development concept of "social and economic strategy of formation of the new economic development model in Ukraine". The dissertation offers recommendations on improvement of normative base in the field of pricing, recommendations on improvement of work of governmental price management inspection and the pricing system. Also the mechanism of tender purchases management, as the indirect mechanism of governmental price regulation for socially significant production is offered.
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Zimmermannová, Jarmila. "Dopady zdanění elektřiny, zemního plynu a pevných paliv na odvětví výroby a spotřeby v České republice". Doctoral thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-77221.
Testo completoAbstract (sommario):
The main target of the thesis is analysing of short-term indirect cross-sectoral impacts of taxation of electricity, solid fuels and natural gas on particular sectors of NACE in the Czech Republic, especially impacts on production prices. The key instrument for the analysis is the short-term price model for the Czech Republic, created as a component of the thesis. A secondary target is focused on the analysis of direct impacts, especially impacts on prices and expenditures of particular sectors of NACE. Within the scope of the main target, there are five different variants of taxation. For each of them the impact of taxation of particular commodities on changes in production prices of particular sectors of NACE is simulated. Than two different variants, both of them including taxation of all commodities, are compared. The thesis includes also two hypotheses, which are going to be confirmed or disproved on the basis of obtained results. For achieving the main target the methodology of Leontief input -- output analysis was chosen (Leontief, 1966). This is the key instrument for creating short-term price model for the Czech Republic. This method is suitable especially for analysing short-term cross-sectoral impacts, however under necessary condition of no changes in current technologies, agreements and cross-sectoral relations. This condition represents strict limitation for the price model created for the thesis. Regarding scientific contribution, the main asset of this thesis is creation of macroeconomic short-term price model for the Czech Republic, which is based on methodology of Leontief input -- output analysis. The additional contribution is calculation of the short-term impacts of new environmental taxation on production prices of particular sectors of NACE. Considering available information, environmental taxes in the Czech Republic have not been analysed by Leontief input - output methodology yet. There is not also sufficient analysis of environmental taxes impacts on particular sectors of NACE in the Czech Republic. The thesis is divided to seven chapters. The first chapter focuses on introduction to environmental tax regulation issue. The second chapter presents theories and concepts of taxation impact analysis. The third chapter focuses on models and empirical research in environmental taxation area. The fourth chapter is dealing with basic practical aspects of introduction of new energy taxation in the Czech republic and presents data useful for the following analysis. The fifth chapter consists of describing of applied methodology and describing of creation of the price model. The sixth chapter summarises results of simulation of direct impact of taxation on average prices for companies and on expenditures of particular sectors of NACE. The seventh chapter presents results of cross-sectoral analysis of indirect macroeconomic impacts for all variants; the chapter includes also testing of hypotheses and comments of final results.
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Zimmermannová, Ottová Jarmila. "Dopady zdanění elektřiny, zemního plynu a pevných paliv na odvětví výroby a spotřeby v České republice". Doctoral thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-161808.
Testo completoAbstract (sommario):
The main target of the thesis is analysing of short-term indirect cross-sectoral impacts of taxation of electricity, solid fuels and natural gas on particular sectors of NACE in the Czech Republic, especially impacts on production prices. The key instrument for the analysis is the short-term price model for the Czech Republic, created as a component of the thesis. A secondary target is focused on the analysis of direct impacts, especially impacts on prices and expenditures of particular sectors of NACE. Within the scope of the main target, there are five different variants of taxation. For each of them the impact of taxation of particular commodities on changes in production prices of particular sectors of NACE is simulated. Than two different variants, both of them including taxation of all commodities, are compared. The thesis includes also two hypotheses, which are going to be confirmed or disproved on the basis of obtained results. For achieving the main target the methodology of Leontief input – output analysis was chosen (Leontief, 1966). This is the key instrument for creating short-term price model for the Czech Republic. This method is suitable especially for analysing short-term cross-sectoral impacts, however under necessary condition of no changes in current technologies, agreements and cross-sectoral relations. This condition represents strict limitation for the price model created for the thesis. Regarding scientific contribution, the main asset of this thesis is creation of macroeconomic short-term price model for the Czech Republic, which is based on methodology of Leontief input – output analysis. The additional contribution is calculation of the short-term impacts of new environmental taxation on production prices of particular sectors of NACE. Considering available information, environmental taxes in the Czech Republic have not been analysed by Leontief input - output methodology yet. There is not also sufficient analysis of environmental taxes impacts on particular sectors of NACE in the Czech Republic. The thesis is divided to seven chapters. The first chapter focuses on introduction to environmental tax regulation issue. The second chapter presents theories and concepts of taxation impact analysis. The third chapter focuses on models and empirical research in environmental taxation area. The fourth chapter is dealing with basic practical aspects of introduction of new energy taxation in the Czech republic and presents data useful for the following analysis. The fifth chapter consists of describing of applied methodology and describing of creation of the price model. The sixth chapter summarises results of simulation of direct impact of taxation on average prices for companies and on expenditures of particular sectors of NACE. The seventh chapter presents results of cross-sectoral analysis of indirect macroeconomic impacts for all variants; the chapter includes also testing of hypotheses and comments of final results.
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Vašíčková, Dominika. "Analýza faktorů ovlivňujících obvyklou cenu bytových jednotek na Vsetínsku". Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2018. http://www.nusl.cz/ntk/nusl-377743.
Testo completoAbstract (sommario):
The thesis is focused on comparing the price of housing units in Vsetín region using different valuation methods. Theoretical part describes the basic concepts related to valuation, individual methods of valuation and description of the region. Practical part is focused on valuation of selected housing unit’s individual methods of valuation, which are the method of valid price provision, the direct comparison method and the yield method for determining the usual price. All these methods will be evaluated and compared in the conclusion of the thesis.
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謝濱宇. "The analysis of the relationship between commodity price index and macroeconomic price indexes". Thesis, 2011. http://ndltd.ncl.edu.tw/handle/47399914365895026898.
Testo completoAbstract (sommario):
碩士國立政治大學
金融研究所
99
This paper investigates the relationship between the commodity indexes and macroeconomic price indexes. Due to the sharp increase of food price in recent years, we add CRB index (Commodity Research Bureau), CCI index (Continuous Commodity Index), and CRB foodstuffs index in the research to see the magnitude of commodity price indexes to macroeconomic price indexes. This paper selects United State, Taiwan and China as samples and manages to find out the relationship of commodity indexes and macroeconomic price indexes by applying monthly data from October 2001 to March 2011. Macroeconomic price indexes are PPI (Producer Price Index), CPI( Consumer Price Index) and plus GDP Index. This paper tries to get the answer by applying Johansen Cointegration Test, Vector Autoregression Model(VAR), Vector Error Correction Model (VECM), Granger causality test and Impulse Response Analysis. The result does not show obvious long-term relationship between commodity price indexes and macroeconomic price indexes; and Granger causality test exhibits that CCI index takes the lead in the change of time. But we do not get consistent result between CRB index, CRB foodstuffs index and macroeconomic price indexes in Granger causality test which means commodity spot indexes do not necessarily lead in the change of time. This result implies that CCI index a better indicator in forecasting. According to Impulse Response Analysis, macroeconomic price indexes are influenced by commodity index only in a short period of time and this result tells us that the disequilibrium between commodity indexes and macroeconomic price indexes will not last long.
37
Ivancic, Lorraine Economics Australian School of Business UNSW. "Scanner data and the construction of price indices". 2007. http://handle.unsw.edu.au/1959.4/40782.
Testo completoAbstract (sommario):
This thesis explores whether scanner data can be used to inform Consumer Price Index (CPI) construction, with particular reference to the issues of substitution bias and choice of aggregation dimensions. The potential costs and benefits of using scanner data are reviewed. Existing estimates of substitution bias are found to show considerable variation. An Australian scanner data set is used to estimate substitution bias for six different aggregation methods and for fixed base and superlative indexes. Direct and chained indexes are also calculated. Estimates of substitution bias are found to be highly sensitive to both the method of aggregation used and whether direct or chained indexes were used. The ILO (2004) recommends the use of dissimilarity indexes to determine the issue of when to chain. This thesis provides the first empirical study of dissimilarity indexes in this context. The results indicate that dissimilarity indexes may not be sufficient to resolve the issue. A Constant Elasticity of Substitution (CES) index provides an approximate estimate of substitution-bias-free price change, without the need for current period expenditure weights. However, an elasticity parameter is needed. Two methods, referred to as the algebraic and econometric methods, were used to estimate the elasticity parameter. The econometric approach involved the estimation of a system of equations proposed by Diewert (2002a). This system has not been estimated previously. The results show a relatively high level of substitution at the elementary aggregate level, which supports the use a Jevons index, rather than Carli or Dutot indexes, at this level. Elasticity parameter estimates were found to vary considerably across time, and statistical testing showed that elasticity parameter estimates were significantly different across estimation methods. Aggregation is an extremely important issue in the compilation of the CPI. However, little information exists about 'appropriate' aggregation methods. Aggregation is typically recommended over 'homogenous' units. An hedonic framework is used to test for item homogeneity across four supermarket chains and across all stores within each chain. This is a novel approach. The results show that treating the same good as homogenous across stores which belong to the same chain may be recommended.
38
Young, Patrick, e 楊宗憲. "The Research of Housing Price Indexes". Thesis, 1995. http://ndltd.ncl.edu.tw/handle/26271865093854312657.
Testo completo
39
White, Alan G. "Economic and financial indexes". Thesis, 1999. http://hdl.handle.net/2429/10137.
Testo completoAbstract (sommario):
This thesis examines the theoretical underpinnings and practical construction of select economic
and financial indexes. Such indexes are used for a variety of purposes, including the
measurement of inflation, portfolio return performance, and firm productivity.
Chapter 1 motivates interest in economic and financial indexes and introduces the principal
ideas in the thesis.
Chapter 2 focuses on one potential source of bias in the Canadian consumer price index
(CPI) that arises from the emergence of large discount/warehouse stores—the so-called outlet
substitution bias. Such outlets have gained market share in Canada in recent years, but
current CPI procedures fail to capture the declines in average prices that consumers enjoy
when they switch to such outlets. Unrepresentative sampling, and the fact that discount
stores often deliver lower rates of price increase can further bias the CPI. Bias estimates
for some elementary indexes are computed using data from Statistics Canada's CPI production
files for the province of Ontario. It is shown that the effect on the Canadian CPI of
inappropriately accounting for such discount outlets can be substantial.
Another area in which indexes are frequently used is the stock market. Several stock
market indexes exist, including those produced by Dow Jones and Company, Standard and
Poor's Corporation, Frank Russell and Company, among others. These indexes differ in two
fundamental respects: their composition and their method of computation—with important
implications for their usage and interpretation. Chapter 3 introduces the concept of a stock
index by asking what, in fact a stock market index is—this is tantamount to considering the
purpose for which the index is intended, since stock indexes should be constructed according
to their usage. Because stock indexes are most commonly used as measures of returns on
portfolios, the main considerations in constructing such return indexes are examined.
Chapter 4 uses the Dow Jones Industrial Average (DJIA) as a case study to examine
its properties as a return index. It is shown that the DJIA is not the return on a market
portfolio consisting of its thirty component stocks: in fact the DJIA measures the return
performance on a very particular (and unusual) investment strategy, a fact that is not well
understood by institutional investors. An examination of some other popular stock indexes
shows that they all differ in their computational formula and that each is consistent with a
particular investment strategy. Numerical calculations reveal that the return performance of
the DJIA can vary considerably with the choice of basic index number formula, particularly
over shorter time horizons.
Given the numerous ways of constructing stock market return indexes, the user is left to
determine which is 'best' in some sense. The choice of an appropriate (or 'best') formula for
a stock market index is formally addressed in chapter 5. The test or axiomatic approach to
standard bilateral index number theory as in Eichhorn & Voeller (1983), Diewert (1993a),
and Balk (1995) is adapted here. A number of a priori desirable properties (or axioms) are
proposed for a stock index whose purpose is to measure the gross return on a portfolio of
stocks. It is shown that satisfaction of a certain subset of axioms implies a definite functional
form for a stock market return index.
Chapter 6 evaluates the various stock indexes is use today in terms of their usefulness
as measures of gross returns on portfolios. To this end the axioms developed in chapter 5
are used to provide a common evaluative framework, in the sense that some of the indexes
satisfy certain axioms while others do not. It is shown that the shortcomings of the DJIA as
a measure of return arise from its failure to satisfy a number of the basic axioms proposed.
Notwithstanding this, each index corresponds to a different investment strategy. Thus, when
choosing an index for benchmarking purposes an investor should select one which closely
matches his/her investment strategy—a choice that cannot be made by appealing to axioms
alone.
40
Han, Kyoung Soo. "Durable Goods, Price Indexes, and Monetary Policy". 2008. http://hdl.handle.net/1969.1/ETD-TAMU-2930.
Testo completoAbstract (sommario):
The dissertation studies the relationship among durable goods, price indexes and
monetary policy in two sticky-price models with durable goods. One is a one-sector
model with only durable goods and the other is a two-sector model with durable and
non-durable goods.
In the models with durable goods, the COLI (Cost of Living Index) and the PPI
(Producer Price Index) identical to the CPI (Consumer Price Index) measured by the
acquisitions approach are distinguished, and the COLI/PPI ratio plays an important rule
in monetary policy transmission. The welfare function based on the household utility can
be represented by a quadratic function of the quasi-differenced durables-stock gaps and
the PPI inflation rates. In the one-sector model, the optimal policy maximizing welfare is
to keep the (acquisition) price and the output gap at a constant rate which does not
depend on the durability of consumption goods. In the two-sector model with sticky
prices, the central bank has only one policy instrument, so it cannot cope with distortions
in both sectors. Simulation results show that the PPI is an adequate price index for
monetary policy and that a policy of targeting core inflation constructed by putting more
weight on prices in the sector producing more durable goods is near optimal.
41
Duan, Hui. "Hedonic price indexes of computers : an empirical comparison". Thesis, 2006. http://hdl.handle.net/2429/17664.
Testo completoAbstract (sommario):
This thesis compares the price changes of different computer platforms (desktop computers, notebooks, servers and workstations) in the 1998-2002 period using several hedonic methods to calculate price indexes on quarterly basis. It then discusses the differences among hedonic price indexes and their properties in terms of bias, variance and resource. It further examines the effect of weight on certain price indexes. The findings should provide empirical insight into the hedonic quality-adjustment in price indexes, as well as the construction of CPI/PPI of ICT products for statistical agencies in OECD countries.Business, Sauder School of
Management Information Systems, Division of
Graduate
42
Guo, Bo-Yu, e 郭渤宇. "Information and Communication Technology Industry and Price Indexes". Thesis, 2007. http://ndltd.ncl.edu.tw/handle/27196433267435432716.
Testo completoAbstract (sommario):
碩士國立臺灣大學
經濟學研究所
95
Manufacturing industry has played an important role in the Taiwan’s economic development since the early labor-intensive industry to the information and communication technology industry nowadays. The improvement in technology since 1990 was tremendous. For example, the quality refinement of information and communication technology products, the abridgement of product life-cycle and the drop in price were all incredible, which gave a huge influence to the Taiwan’s economic development. First, we will talk about the result of ignoring the quality change by reviewing the reference in consumer price index measurement bias. Then we’ll discuss the theoretical method of welfare measurement, and discuss the influence of inflation rate on different groups of people with proven result. Next is the research in the structure of industry, import and export, using the economic analysis in 1991-2005 as background. Finally, we conclude the influence of technology industry on the economic development, including the aggravation in terms of trade and the improvement of quality change. Then discuss the use of price index, and the added discovery that though the whole price was stable, the price of information and communication technology products drop increasingly. And the consumption paths of different groups make the welfare from quality improvement became unequally distributed.
43
Liou, Yann Liang, e 劉彥良. "Taiwan OTC stock cointegration relationship of sector price indexes". Thesis, 1997. http://ndltd.ncl.edu.tw/handle/64056160368552205756.
Testo completo
44
Chu, Chin-Wen, e 朱錦雯. "The relationship of Consumer Classified Price Indexes in Taiwan". Thesis, 1997. http://ndltd.ncl.edu.tw/handle/67668938557470236130.
Testo completoAbstract (sommario):
碩士淡江大學
財務金融學系
85
This study uses Johansen(1988)Maximum Likelihood method, testing thelong-run co-integration relation of consumer classified price indexes from1978 to 1996, and then uses the Error Correction Model to discuss the co-effectwith observed time series. The conclusions are as follows:1. This study adopt unit-root statistical technique (ADF .PP .WS), we found that all classified prices are I(1) series.2. Co-integration relation does not exist in all two category price indexes, three category price indexes, four category price indexes. In the long-run, when the government adjust one of the classified prices, it may make the others classified prices change in different way.3. The negative relation between The Error Correction Term and independent variables.4. We do not confirm the relationship of consumer classified price indexes, but we believe that when the government adjust one of the classified prices, the others classified prices may rise or decline.5. The short-run dynamic relationship shows that, the classified price effect to itself last for one year.
45
Sha, Yi-Ming, e 沙益民. "The Cointegration of Taiwan Stock Exchange Sector Price Indexes". Thesis, 1996. http://ndltd.ncl.edu.tw/handle/39519395148123668321.
Testo completo
46
Chih-Hao, Yeh, e 葉至浩. "The Price Correlation between Indexes and Index Futures----Applying the Threshold VECM Model". Thesis, 2004. http://ndltd.ncl.edu.tw/handle/45056472368051947666.
Testo completoAbstract (sommario):
碩士銘傳大學
財務金融學系碩士班
92
There are many relative studies discuss the correlation between index and Index futures recently, not only because there is a linear relation between index and index futures theoretically but also index futures has been regarded as an important financial instrument since it provides investors a space for investing, speculating, and arbitrage. The reasons that cause the different results from those studies might be different market characteristics and different econometric methods. This paper applies the Threshold VECM model to discuss the price correlation between index and index futures. Our sample includes TAIEX, TAIEX futures, TSE Electronic Sector Index, TSE Electronic Sector Index Futures, TSE Banking and Insurance Sector Index, and TSE Banking and Insurance Sector Index Futures. We want to check whether if there is a non-linear correlation index and index futures, that is, if there are different price correlations between index and index futures under different circumstances. We find that the Threshold VECM model is more likely to unveil the non-linear price correlation between index and index futures；and further, there are different long-term equilibrium relations and short-term adjustments under different regimes.
47
CHO, LI-CHUN, e 卓立群. "The price impacts of Taiwan 50/100 indexes'' constituents adjustments". Thesis, 2008. http://ndltd.ncl.edu.tw/handle/88387437899101009048.
Testo completoAbstract (sommario):
碩士雲林科技大學
財務金融系碩士班
96
This study has examined the impact of Taiwan 50/100 indexes’ constituent stock adjustment on stock price. Specifically, whether there is abnormal return on the adjustment declaration date is the key motive of this paper. The sampling period covers from 2003 to 2007, with 178 stocks involved. We find no abnormal return on the event date, which is consistent with semi-strong information hypothesis. In addition, the return reverts back after event date, an evidence of price pressure phenomenon.
48
Wang, Wenjing. "Daily House Price Indexes: Volatility Dynamics and Longer-Run Predictions". Diss., 2014. http://hdl.handle.net/10161/8694.
Testo completoAbstract (sommario):
This dissertation presents the construction procedure of “high-frequency” daily measure of changes in housing valuations, and analyzes its return dynamics, as well as investigates its relationship to capital markets. The dissertation consists of three chapters. The first chapter introduces the house price index methodologies and housing transaction data, and reviews the related literature. The second chapter shows the construction and modeling of daily house price indexes and highlights the informational advantage of the daily indexes. The final chapter provides detailed empirical and theoretical investigations of housing index return volatilities.
Chapter 2 discusses the relationship of the housing market with the other markets, such as consumer good market and financial markets. Different housing price indexes and their construction methodologies are introduced, with emphases on the repeat sales model and S&P/Case Shiller Home Price Index. A detailed description of the housing transaction data I use in the dissertation is also provided in this chapter.
Chapter 3 is co-authored with Professor Tim Bollerslev and Professor Andrew Patton. We construct daily house price indexes for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the procedure used in the construction of the popular monthly Case-Shiller house price indexes. Our new daily house price indexes exhibit dynamic features similar to those of other daily asset prices, with mild autocorrelation and strong conditional heteroskedasticity. The correlations across house price index returns are low at the daily frequency, but rise monotonically with the return horizon, and are commensurate with existing empirical evidence for existing monthly and quarterly house price series. Timely and accurate measures of house prices are important in a variety of applications, and are particularly valuable during times of turbulence, such as the recent housing crisis. To quantify the informational advantage of our daily index, we show that a relatively simple multivariate time series model for the daily house price index returns, explicitly allowing for commonalities across cities and GARCH effects, produces forecasts of monthly house price changes that are superior to various alternative forecast procedures based on lower frequency data.
Chapter 4 investigates the properties of housing index return volatilities. Similar to stock market volatility, housing volatilities are found to respond asymmetrically to negative and positive returns. A direct test of volatility on changes in loan-to-value ratio suggests that the observed volatility asymmetry does not stem from changes in degree of housing financial leverage, but could result from the risk premium carried by housing volatility, which is supported by a consumption-based asset pricing model with housing. Moreover, housing and stock volatilities are found to be positively correlated from a set of predictive regressions based on realized variances of housing and stock markets, in which higher (lower) volatility in one market will be followed by higher (lower) volatility in the other. Finally, housing and stock cross-sectional return dispersions are shown to contain useful information in predicting both within-market and cross-market realized volatilities.
Dissertation
49
Hsiao, Su-miao, e 蕭夙妙. "The Cointegration of T.S.E Classified Price Indexes and Macroeconomic Variables". Thesis, 1997. http://ndltd.ncl.edu.tw/handle/99276008282779143248.
Testo completo
50
Hong, Yu-Chane, e 洪玉娟. "The Price Correlation between Indexes and Index Futures -Application of the Nonlinear Threshold Model-". Thesis, 2004. http://ndltd.ncl.edu.tw/handle/70808471378653613125.
Testo completoAbstract (sommario):
碩士淡江大學
經濟學系碩士班
94
In the paper the cost-of-carry model for futures contracts on the Taiwan Stock Exchange index is examined. In the investigation intraday one-minute data are used. Unlike previous studies based on linear VCEM or VAR models, we employ a multivariate TAR model based on Tsay(1998)’s paper to examine the dynamics between stock index and index-futures. The presence of transaction costs causes that mispricing series from non-arbitrage cost-of-carry relationships have a nonlinear form. Arbitrageurs will take a long or a short position only if the mispricing is greater in magnitude than a certain threshold and, as a result, their activity might not be observed for small values of the mispricing. This causes that the dynamics of the mispricing series might be effectively described by threshold autoregressive processes with 5 regimes. Such processes allow for a unit-root behaviour in a middle regime, while at the same time being globally second-order stationary.