Edgar Ortiz

Green microalga Scenedesmus acutus grown on municipal wastewater to couple nutrient removal with lipid accumulation for biodiesel production

The green microalga Scenedesmus acutus was cultivated in two different municipal wastewater discharges (pre- and post-treated), and was compared to a culture medium with basic nutrients (20% of N, P, K), in order to study the simultaneous potential of nutrient removal and lipid accumulation ability. The highest level of nutrient removal was found in the pretreated wastewater discharge (achieving a high removal of phosphorus [66%] and organic nitrogen [94%]). Likewise, better results on biomass productivity and lipid accumulation were found in cultures using pretreated wastewater compared to enriched medium, obtaining 79.9 mg/L, and 280 mg/L, respectively. Since the best results were found in pretreated wastewater, the biodiesel preparation was performed using said medium at small-scale. After cultivation, 249.4 mg/L of biodiesel were obtained. According to this analysis, S. acutus could be used for wastewater treatment producing biomass with a suitable content of lipids, convenient for biodiesel production.

Heterokedastic behavior of the Latin American emerging stock markets

Abstract Few studies on emerging markets have been devoted to examine the nature of their volatility. This work analyzes the time series characteristics of six major Latin American equity markets: Argentina, Brazil, Chile, Colombia, Mexico, and Venezuela. Non linear dependency and autoregressive conditional heterokedasticity are studied. The work includes several GARCH(p.q) models, including their exponential and GARCH-in-mean extensions. Weekly data for the 1989–1994 period from the International Financial Corporation is used. Not a single (G)ARCH model was found to depict volatility of these markets. Different models are more appropriate for each country. The best models seem adequate; the models reject autocorrelation, the distribution of the residuals is normal is all cases but one, the series are integrated, and heterokedasticity is rejected. The presence of heterokedasticity and autocorrelation in the major Latin American stock exchanges reflects their thinness and the presence of inefficiencies which reflect in time dependent high volatility.

DAY OF THE WEEK AND MONTH OF THE YEAR EFFECTS AT THE LATIN AMERICAN EMERGING MARKETS

Deviations from efficiency widely documented for the case of developed capital markets include the presence of seasonal patterns. These anomalies, fairly well known by investors, could possibly lead to obtaining extraordinary gains. Although markets from the developing and transitional economies have grown significantly during the last decades, research concerning their seasonal behavior is limited. This paper examines the day-of-the week and month-of-the year effect for the seven Latin American stock exchanges: Argentina, Brazil, Chile, Colombia, Mexico, Peru, and Venezuela. Returns derived from the local nominal indexes, adjusted for inflation indexes, and dollar adjusted indexes are analyzed to identify the behavior of each exchange and draw some comparisons.

The changing environment of international financial markets : issues and analysis

Preface - Notes on the Contributors - PART 1: INTRODUCTION - Introduction D.K.Ghosh & E.Ortiz - PART 2: EXCHANGE RATES MARKETS - Foreign Exchange Market Efficiency: A Look at London J.P.Lajaunie, B.L.McManis & A.Naka - Freedom of Free Floating Exchange Rate: Empirical Analysis of Currency Fluctuation Patterns M.A.Hashmi - PART 3: INTERNATIONAL INTEREST RATES - Statistical Analytical of Eurocurrency and Treasury Interest Rates from 1975 to 1991 C.Maxwell & L.Guin - A Cross-Country Comparison of Consumer Discount Rates W.V.Weber, J.K.William & M.J.Morey - Interest Rate Parity, Covered Interest Arbitrage and Speculation under Market Imperfection D.K.Ghosh - PART 4: BALANCE OF PAYMENTS AND INTERNATIONAL RESERVES - An Empirical Test on the Demand for International Reserves A.N.Islam, M.Khan & M.M.Islam - The United States Current Account Deficit and Net Capital Inflow E.Y.Lee & M.Szenberg - Balance of Payments Implications of the USSR for its Former Republics and the East European Countries M.R.Zaman - PART 5: FOREIGN DEBT AND COUNTRY RISK ANALYSIS - Foreign Exchange Dynamics, Debt, and the Peso Problem D.K.Ghosh - International Lending and Sovereign Debt in the Presence of Agency Costs: The Case of Mexico State University C.A.Erickson & E.Willman - A New Look at Country Risk Analysis: An Analytical Approach to Judgmental Risk Scoring R.S.Koundinya - Political Risk in Latin American Stock Markets: A Rational Expectations Approach B.Charmichael, J-C.Cosset & K.P.Fischer - PART 6: CAPITAL MARKETS - A Real Return Test of International Market Efficiency S.Khaksari & N.Seitz - Risk Management and Corporate Governance in Imperfect Capital Markets K.P.Fischer, E.Ortiz & A.P.Palasvirta - Structural Changes in the Korean Financial Market J.Poznanska - An Analysis of Equity Markets of Quotation Systems G.Duteil & A.Mulugetta - PART 7: TAXES, DISTORTIONS AND INTERNATIONAL BANKING - Economic Integration and Mexican Municipal Finances A.Cabello - Optimum Distortions in Closed and Open Economies: Some Aspects of the Theory of Second Best D.K.Ghosh & S.Ghosh - Socio-History of French Banks and Banking: Role Model for Global Banking I.Finel-Honigman - Offshore Banking Centers: Prospects and Issues E.N.Roussakis, K.Dandapani & A.J.Prakash - Index

Risk Management and Corporate Governance in Imperfect Capital Markets

Successful business in the developing countries has often evolved into complex industrial ‘groups’ – a sort of conglomerates. Although their accomplishments are often impressive, these firms have rarely become fully publicly owned corporations. Little or no common stock is sold, and ownership and control remains tightly held in a circle of family members and friends. We contend that such behaviour is a rational response to risk bearing by investors in the absence of arms length financial markets. It is an efficient market solution to uncertainty and political risk when efficient markets do not exist.

Interdependence of NAFTA Capital Markets: A Minimum Variance Portfolio Approach

We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio�? that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in international markets. Our results suggest that the behavior of NAFTA market investors is not consistent with that of a theoretical “risk-averse�? agent during periods of high uncertainty and may be either considered as irrational or attributed to a possible “home country bias�?. This finding represents valuable information for portfolio managers and contributes to a better understanding of the nature of the markets in which they invest. It also has practical implications in the design of international portfolio investment policies.

Debt Crisis and Economic Recovery and Performance of the Emerging Latin American Equity Markets

Publisher Summary In the aftermath of the debt crisis of the 1980s, portfolio investments have become one of the most important alternative forms of development financing to countries which, in previous decades, relied heavily on traditional financing, i.e., borrowing from the public sector. In addition, it is important to know how these markets have performed under economic stress, and how these markets are responding to economic recovery and liberalization policies. Although research on emerging capital markets has increased significantly during the last few years, little is still known about their trends and changing structure. This chapter discusses debt crisis and economic recovery and performance of the emerging Latin American equity markets. It also examines the evolution of the Latin American economies during the 1980 - 1992 periods, stressing the debt crisis and economic recovery during the last few years, to identify the main macroeconomic problems of the area.

El efecto de la volatilidad del peso mexicano en los rendimientos y riesgo de la Bolsa Mexicana de Valores

El efecto de las colas pesadas originado por los eventos extremos y los diferentes niveles de asimetria asociados a la alta volatilidad en aglomeraciones en los mercados financieros de economias emergentes requieren de modelos mas sofisticados para su modelacion. El objetivo de esta investigacion es aplicar la teoria de valores extremos (TVE) para cuantificar el riesgo de la cola de los rendimientos diarios de la Bolsa Mexicana de Valores bajo la agregacion del riesgo del tipo de cambio durante el periodo de enero de 1971 a diciembre de 2010. Este analisis sugiere el uso de la distribucion de valor extremo generalizada y la tecnica de bloques maximos para explicar el comportamiento asintotico de los rendimientos extremos. Los resultados empiricos muestran el potencial de la medida VaR basada en la TVE para capturar las propiedades de colas pesadas en los rendimientos de los mercados accionarios altamente volatiles a diferencia de los modelos VaR convencionales. Ademas, la evidencia empirica demuestra que los inversionistas internacionales con posiciones financieras largas estan mas propensos a experimentar perdidas mas grandes que los que toman posiciones cortas en el mercado accionario mexicano durante periodos de crisis financieras y depreciaciones de la moneda local.

The Changing Environment of International Financial Markets: Introduction

The post-World War II era covering almost half a century has been continuously witnessing dramatic changes in the landscape of international finance as it relates to market structures, financial institutions and instruments. Since the conclusion of the Bretton Woods Conference with the inception of the International Monetary Fund (IMF) and the International Bank for Reconstruction and Development (IBRD or popularly known as the World Bank), the world has seen various developments in trade structures, investment designs, and the integration process. We have observed the emergence of the General Agreement to Borrow (GAB), test-tube monetary units or scrip currencies such as Special Drawing Rights (SDR), European Unit of Account (EUA), which later has become what is known now as the European Currency Unit (ECU), stability (or lack thereof) in foreign exchange markets, different currency alignments under Eurosnakes and supersnakes, FECOM (the French initial for European Monetary Cooperation Fund), European Monetary System (EMS), and other regional monetary blocs. The world has become a global village; communication networks and the technological pace of progress have integrated international capital markets.