Jay Squalli

A non-parametric assessment of weak-form efficiency in the UAE financial markets

This paper tests for market efficiency in the represented sectors of the Dubai Financial Market (DFM) and the Abu Dhabi Securities Market (ADSM). Using daily sectoral indexes between 2000 and 2005, variance ratio tests reject the random walk hypothesis in all sectors of the UAE financial markets except in the banking sector of the DFM. Returns in the two financial markets are negatively serially correlated, thus suggesting the presence of a Bull market. Runs tests find insurance in the ADSM to be the only weak-form efficient sector.

A New Measure of Trade Openness

Trade openness, popularly measured as (X + M)/GDP in the hundreds of studies published to date, consistently considers the worlds biggest trading countries such as the USA, the UK, Japan and Germany to be closed economies, irrespective of the data set used. This study suggests a composite trade share measure that more completely reflects reality by combining two important dimensions of trade openness: trade share and the relative importance of a countrys trade level to total world trade. Robustness tests support the new proposed measure in lieu of the conventional measure of openness and suggest that the latter may not only be incomplete but may also overstate the impact of trade on such things as income and the environment.

An analysis of growth competitiveness

The publication of the Global Competitiveness Report 2005‐2006 by the World Economic Forum (WEF) (2005) has focused attention once more upon the relative abilities of many countries to compete in world markets. This article provides an analysis and evaluation of the approach taken by the WEF in constructing its measure of international growth competitiveness, the Growth Competitiveness Index (GCI) which is used to rank countries. In particular, the study identifies three areas where the GCI is vulnerable to criticism. First, the treatment of outliers for hard data items is ambiguous and we identify alternative methods for dealing with outliers that are justifiable or even superior. Second, the crucial role of the variable utility patents in the calculation of the GCI is questioned and serious doubts concerning the use of this variable are raised. Third, the article suggests an alternative approach, based upon structural equation modeling, which should be used for the determination of weights in the index calculation process, rather than the arbitrary method adopted by the WEF.

A sectoral efficiency analysis of the Amman Stock Exchange

Market efficiency is tested for across the four sectors of the Amman Stock Exchange (ASE). Using daily sectoral indexes between 1992 and 2004 and a variance ratio and runs tests, it is found that the random walk and weak form efficiency hypotheses are rejected for all sectors. Furthermore, it is found that returns fit a mean-reverting process which may suggest abnormally high volatility, overinflated stock prices, and frequent market corrections from a bubble effect. This also indicates that investments in all sectors of the ASE may be very risky in the short run.

Accidents airline safety perceptions and consumer demand

This paper assesses the impact of perceptions about the safety level of airlines on enplanement. Consumer perceptions are specified with a Poisson distribution that updates over time. Using two different empirical specifications via a pooled generalized least squares procedure with fixed effects; we find no statistical evidence of a correlation between the perceived level of safety and enplanement. However, under an alternative specification in which the severity levels of accidents are ranked, we find that safety perceptions about accidents with minor injuries have no statistically significant impact on enplanement, while perceptions about accidents with serious injuries and fatalities lead to cumulative decreases in enplanement.

Do general indexes mask sectoral efficiencies?: A multiple variance ratio assessment of Middle Eastern equity markets

Purpose - The purpose of the paper is to attempt to shed light on whether the use of general indexes may mask sectoral efficiencies by investigating the random walk (RW) and weak-form efficiency (WFE) hypotheses in the equity markets of Jordan, Qatar, Saudi Arabia, and the United Arab Emirates. Design/methodology/approach - The paper applies the multiple variance ratio test and the runs test to each equity markets weekly general and sectoral indexes. Findings - The paper provides evidence of inconsistencies in three of the five analyzed equity markets when testing the RW hypothesis and in four of the five analyzed markets when testing the WFE hypothesis. Originality/value - The findings in this paper provide empirical evidence supporting the use of sectoral indexes in lieu of general indexes in equity market analyses. These results have important financial and policy implications and would be of interest to investors, financial managers, and policy makers.

Openness and access

This article uses a data set from the World Economic Forum that quantitatively captures nonexistent or scarce data to test the relationship between trade openness and market access. In recognition of the diversity and range of trade openness measures, this article uses five different openness measures and one measure of market access comprising public institutions, the regulatory environment, and network industries. This article finds that all three components matter and that better market access leads to greater trade openness in both nominal and real terms.

The environmental impact of obesity: longitudinal evidence from the United States

OBJECTIVE This paper examines the relationship between obesity and greenhouse gas (GHG) emissions while accounting for the environmental impact of growth in transportation output and in crop and animal farming. STUDY DESIGN The study makes use of US state-level longitudinal data over the 1997-2011 period. METHODS Random effects and fixed effects estimators are employed within a multiple regression analysis framework. RESULTS After controlling for other sources of emissions, there is evidence that the effect of transportation output on CO2 emissions worsens at obesity rates exceeding 33.7% and the effect on N2O emissions worsens at obesity rates exceeding 22.5%. In addition, the impact of crop and animal farming on N2O emissions worsens at obesity rates exceeding 20.2%. CONCLUSION This paper provides significant and new insight about the causal link between obesity and environmental emissions and highlights the importance of addressing the obesity epidemic on public health and environmental grounds. Thus, mitigating GHG emissions connected to obesity requires joint effort between policymakers, public health officials, and parties from concerned economic sectors in pursuing remedial actions to reverse the current obesity trend. Various policy measures are discussed.

An analysis of market access

Market access matters. This article creates, for the first time, a quantitative measure of market access, the Market Access Index, which enables the creation of a rank order, or league table, of market access for a large sample of world economies. The article uses Structural Equation Modelling and a data set from the World Economic Forum and provides a broader framework for the analysis of market access arguing that market access is driven by the regulatory environment, public institutions and network industries. The article finds that network industries are the most important contributors to market access, followed by public institutions. The regulatory environment, covering trade policy is the least important contributor. These findings have important implications for the role of trade policy in influencing greater market access.

Sectoral cointegration and causality analyses of the UAE financial markets

This article investigates cointegration and causality across the common sectors of the Abu Dhabi Securities Market (ADSM) and the Dubai Financial Market (DFM). Cointegration and Granger causality tests yield evidence of a long-run equilibrium and one-way causality from the ADSM to the DFM across the banking sector, the services sector and the general index. The absence of cointegration and causality across the insurance sectors of the ADSM and DFM is consistent with Squalli (2006) in which the insurance sector of the ADSM is the only sector evidenced to be weak-form efficient. This suggests that comovements and cross-market spillovers may only exist in weak-form inefficient sectors.