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This paper analyzes the time-varying causality between government bond and oil returns of the United States over the monthly period of 1859:10 to 2019:03, that is, the longest possible span of historical data, starting from the beginning of the modern era of the petroleum industry. While the standard constant parameter causality test fails to pick up any evidence of causality, the time-varying framework shows evidence of bi-directional spillovers over the entire sample period. The results are robust to the inclusion of stock returns as a control variable in the model. We also detect evidence of time-varying causality-in-volatility between sovereign bond and oil markets, as well as spillovers in returns and volatility from the oil market to corporate bonds.

The purpose of this paper is to analyse the adaptive market efficiency in the price–volume (P–V) relationship of the stocks listed in the Mexican Stock Exchange. The period under study goes from 1982 to 2015. In order to detect causality and, thus, determine adaptive efficiency in the market, one linear and two non-linear tests are applied. There are few papers in the literature that study the P–V relationship in Latin American markets; as such, this paper may be of interest and importance to financial academics and practitioners alike.,The Diks and Panchenko (DP) non-parametric Granger causality and the Brooks and Hinich (BH) cross-bicorrelation tests are applied.,Derived from the DP test, the findings show that there exists bi-directional non-linear Granger causality in 25.71 per cent of the firms studied, compared to 8 per cent when applying the linear Granger causality test. Therefore, there is evidence of weak-form efficiency in the market. From the BH test, evidence is shown of the adaptive market efficiency, since 71.42 per cent of firms exhibited some form of non-linear dependence in certain periods of time. With these results, the information process should be better studied for a greater comprehension of regulatory policies in the market and better decision-making tools for the investors.,This paper complements studies on the P–V relationship and efficiency in a Latin American market.,Este documento analiza la eficiencia adaptativa del mercado para la relacion precio-volumen de las empresas que cotizan en la Bolsa Mexicana de Valores. El periodo bajo estudio es de 1982 a 2015. Para detectar causalidad y determinar la eficiencia adaptativa del mercado, se aplico una prueba lineal y dos no-lineales. Existen pocos documentos en la literatura que estudien la relacion precio-volumen en mercados latinoamericanos. Como tal, este documento puede ser de interes e importancia tanto para academicos como para profesionales de las finanzas.,Se aplico la prueba de causalidad no-parametrica de Diks y Panchenko y la prueba de bicorrelacion cruzada de Brooks y Hinich.,Derivado de la prueba DP, los hallazgos muestran que existe causalidad no-lineal bidireccional en 25.71% de las empresas bajo estudio, comparado a un 8% cuando se aplica la prueba de causalidad lineal de Granger. Por lo tanto, existe evidencia de eficiencia en forma debil del mercado. De la pruba BH, se muestra evidencia de eficiencia adaptativa del mercado, dado que el 71.42% de las empresas exhibieron alguna forma de dependencia no-lineal en ciertos periodos de tiempo. Con estos resultados, el proceso de informacion debe ser mejor estudiado para una mayor comprension de las politicas regulatorias del mercado y mejores herramientas para la toma de decisiones por los inversionistas.,Este documento complementa los estudios sobre la relacion precio-volumen y la eficiencia en un mercado latinoamericano.

This paper presents a study of the multiple choice test from the eleventh knowledge tournament for Statistics I, in order to determine whether it instills competitive learning in university students. This research uses Item Response Theory (IRT). The results obtained show that only 27 students (13.43% of the total number of participants) have an acceptable level of ability (1.03 to 2.58), while the level of ability of the rest of the students is not satisfactory (-1.68 to 0.76). The participants are not a group of students seeking to test their knowledge of the subject or looking for an academic challenge. Better strategies for motivating students in terms of competitive learning must be found.

We model the changes in volatility in the Mexican Stock Exchange Index using a Bayesian approach. We study the time series with a wide set of models characterized by a Markov switching heterogeneit...

Causality patterns are analysed for daily Brent, West Texas Intermediate (WTI), and Argus Sour Crude Index (Argus) oil prices, Argus is the reference price for exports from Saudi Arabia, Kuwait and Iraq. Nonparametric Granger causality testing uncovers bi-directional causal links between Brent and WTI prices at multiple lags. Unidirectional causality from both Brent to Argus and WTI to Argus is also documented. If the current Saudi Arabia attempt to increase market share is successful, variations in Argus prices may start preceding movements in Brent and WTI, also.

This work applies a test that detects dependence between pairs of variables. The kind of dependence is a non-linear one, and the test is known as cross-bicorrelation, which is associated with Brooks and Hinich [1]. We study dependence periods between U.S. Standard and Poor's 500 (SP500), used as a benchmark, and six Latin American stock market indexes: Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL) and Argentina (MERVAL). We have found windows of nonlinear dependence and comovement between the SP500 and the Latin American stock markets, some of which coincide with periods of crisis, leading to an interpretation of a possible contagion or interdependence.

Crop prices in the United States (USA), and especially corn prices, have been displaying important changes in the last 10 years, after the ethanol mandate in 2005. Motivated by these significant price changes, there has been a growing interest in the study of price transmission from oil prices to agricultural commodity prices. In this contribution, we concentrate on the relationship between the price of oil and the prices of three agricultural commodities that are used for biofuels production: corn, soybeans, and sugar. In doing so, we apply linear Granger causality tests, the nonlinear causality test of Diks and Panchenko (J Econ Dyn Control 30:1647–1669, 2006), and the Brooks and Hinich (J Empir Financ 6:385–404) cross-bicorrelation test to daily data over the period from 1990 to 2016.

The study empirically investigates the adaptive market hypothesis (AMH) in the Pakistan stock market over the period of 1992 to 2015. Daily data of returns (KSE-100) is divided into eight sub-samples of equal length of three years each and into different market conditions and are subjected to linear/nonlinear tests to elucidate how market-efficiency has behaved over time and whether a relationship exists between market conditions and levels of return predictability. The tests reveal that returns have gone through periods of dependence and independence over eight sub-samples thus Pakistan Stock Exchange is an adaptive market and consistent with the AMH. Furthermore, certain market conditions are more conducive to the predictability of returns as market conditions have also gone through episodes of significant dependence and independence of return predictability, which is also consistent with the AMH. Therefore, overall results of the study suggest that the AMH better elucidates the behaviour of stock returns than conventional efficient market hypothesis (EMH).

En el sureste de México, los pequeños negocios son dirigidos por emprendedores de bajos ingresos, quienes operan estos negocios en un mercado local para obtener un ingreso diario. Este estudio analiza el efecto de las fuerzas del mercado sobre las estrategias competitivas genéricas y el desempeño de los pequeños negocios. Se analiza (1) qué estrategia tiene el mayor efecto en el desempeño de los pequeños negocios, (2) cual es la fuerza de mercado más representativa, y (3) cómo estas fuerzas de mercado influyen en la relación entre el desempeño y la estrategia competitiva. Los resultados sugieren que la estrategia de diferenciación es la que tiene el mayor efecto sobre el desempeño, que la de liderazgo en costos; pero que una combinación de ambas estrategias competitivas tiene mejores resultados en el desempeño para este tipo de contextos.