本研究以天真避險、傳統OLS模型、OLS共整合模型及Bivariate GARCH模型探討SIMEX及OSE所交易的日經225 (Nikkei 225)股價指數期貨對日本及台灣股市風險的避險效果，測試在台灣股價指數期貨尚未推出之際，投資人是否可能採用鄰近國家，如日本的日經股價指數期貨，來規避台灣股市風險。本研究採用每週三週報酬資料，研究期間自1988年9月3日起至1995年12月底止，全部樣本期間共有376筆資料，劃分為兩個子期間，並以第二子期間做樣本外測試，避險期間分為一週、兩週及四週。 　　實證結果發現： 　　(1) SIMEX日經指數期約、OSE日經指數期約、日經股價指數及台灣股價指數的時間數列均非常態分配。經一階差分之後，上述四個時間數列才會為定態數列。日經股價指數期貨與日經股價指數之間有共整合關係，此乃表示現貨與期貨價格之間存在有長期均衡關係，但日經股價指數期貨與台灣股價指數之間並無共整合關係。 　　(2) Bivariate GARCH模式在各研究期間所得到的各參數的估計值，大多顯著，這說明不論在日本或台灣市場，以日經股價指數期貨規避股票市場風險時，期貨與現貨分配會有隨時間而變動的現象。 　　(3) 在日經指數的現貨市場中： 　　1. OLS共整合模型的避險比率較傳統OLS模型為高。使用SIMEX期貨契約避險所需要的避險比率較使用OSE期貨契約為避險工具時為小，而且不論使用SIMEX或OSE期貨契約避險，當避險期間越長，避險比率越大。 　　2. 在樣本內實證中，以OSE期貨契約避險所造成的投資組合變異數較使用SIMEX期約為大，而且投資組合變異數隨避險期間的增長而有下降的趨勢，但在樣本外的期間中，卻無如此的明顯趨勢。 　　3. 除了在日本股市大崩盤之前的實證期間顯示不論是使用SIMEX或OSE期貨契約，Bivariate GARCH模型的避險效果均較好之外，在其他的實證期間中，GARCH模型大約只比天真避險模式效果好，卻比其他模型效果差，而這種情況在使用OSE期貨契約時更為明顯，不過不論使用哪種模型，都能比不避險時減少大部份現貨的風險。 　　4. 從樣本內實證期間發現SIMEX與OSE契約在避險效果上是有差別的，但樣本外實證卻未發現避險效果上有明顯差別。 　　(4)在台灣股價指數的現貨市場下： 　　1. 不論使用SIMEX或OSE期貨契約避險在崩盤前所需要的避險比率均較崩盤後為高，而不論使用SIMEX或OSE期貨契約避險，避險比率均差不多。 　　2. 樣本內或樣本外實證都發現，若使用天真避險模式避險還不如不避險的好。除了在大崩盤後的樣本內實證中，GARCH模式的組合變異比傳統OLS模式為高之外，Bivariate GARCH模式的確優於其他避險模式。但日經指數期約與台灣股價指數所形成的投資組合變異數比在日本市場時高出甚多，且使用OLS或GARCH模式只能略微降低不避險狀態下所造成的變異數。不論是參數的估計值或避險績效都支持日經指數期貨與台灣股價指數間存在有GARCH效果。

Dans cette thèse, on considère deux types de processus longues mémoires : les processus stationnaires et non-stationnaires. Nous nous consacrons à l'étude de leurs propriétés statistiques, les méthodes d'estimation, les méthodes de prévision et les tests statistiques. Les processus longue mémoire stationaires ont été largement étudiés au cours des dernières décennies. Il a été démontré que des processus longue mémoire ont des propriétés d'autosimilarité, qui sont importants pour l'estimation des paramètres. Nous passons en revue les propriétés d'auto-similairité des processus longue mémoire en temps continu et en temps discret. Nous proposons deux propositions montrant que les processus longue mémoire sont asymptotiquement auto-similaires du deuxième ordre, alors que processus courte mémoire ne sont pas asymptotiquement auto-similaires du deuxième ordre. Ensuite, nous étudions l'auto-similairité des processus longue mémoire spécifiques tels que les processus GARMA à k facteurs et les processus GIGARCH à k facteurs. Nous avons également étudié les propriétés d'auto-similarités des modèles heteroscedastiques et des processus avec des sauts. Nous faisons une revue des méthodes d'estimation des paramètres des processus longue mémoire, par méthodes paramétriques (par exemple, l'estimation par maximum de vraisemblance et estimation par pseudo-maximum de vraisemblance) et les méthodes semiparamétriques (par exemple, la méthode de GPH, la méthode de Whittle, la méthode de Robinson). Les comportements de consistance et de normalité asymptotique sont également étudiés pour ces estimateurs. Le test sur l'ordre fractionnaire intégré de la racine unité saisonnière et non-saisonnière des processus longue mémoire stationnaires est très important pour la modélisation des series économiques et financières. Le test de Robinson (1994) est largement utilisé et appliqué aux divers modèles longues mémoires bien connus. A partir de méthode de Monte Carlo, nous étudions et comparons les performances de ce test en utilisant plusieurs tailles d'échantillons. Ce travail est important pour les praticiens qui veulent utiliser le test de Robinson. Dans la pratique, lorsqu'on traite des données financières et économiques, la saisonnalité et la dépendance qui évolvent avec le temps peuvent souvent être observées. Ainsi une sorte de non-stationnarité existe dans les données financières. Afin de prendre en compte ce genre de phénomènes, nous passons en revue les processus non-stationnaires et nous proposons une nouvelle classe de processus stochastiques: les processus de Gegenbauer à k facteurs localement stationnaire. Nous proposons une procédure d'estimation de la fonction de paramètres en utilisant la transformation discrète en paquets d'ondelettes (DWPT). La robustesse de l'algorithme est étudiée par simulations. Nous proposons également des méthodes de prévisions pour cette nouvelle classe de processus non-stationnaire à long mémoire. Nous dennons des applications sur le terme de la correction d'erreurs de l'analyse cointégration fractionnaire de l'index Nikkei Stock Average 225 et nous étudions les prix mondiaux du pétrole brut.

This dissertation studies the cost of carry relationship and the international dynamics of mispricing, price and volatility in the three Nikkei futures markets - the Osaka Exchange (OSE), the Singapore Exchange (SGX) and the Chicago Mercantile Exchange (CME). Previous research does not fully consider the unique characteristics of the triple-listed Nikkei futures contracts, or the price and volatility dynamics in the three Nikkei futures exchanges at the same time. This dissertation makes a significant contribution to the existing literature. In particular, with a comprehensive new 19-year sample period, this dissertation helps deepen the understanding of the Nikkei spot-futures equilibrium and arbitrage behaviour, cross-border information transmission mechanism, and futures market integration. The first topic of the dissertation is to study the cost of carry relationship, mispricing and index arbitrage in the three Nikkei markets. The standard cost of carry model is adjusted for each Nikkei futures contract by allowing for the triple-listing nature and key institutional differences. Based on this, the economic significance of the Nikkei mispricing is explored in the presence of transaction costs. The static behaviour of the mispricing suggests that it is difficult especially for institutional investors to make arbitrage profits in the OSE and SGX, and that index arbitrage in the CME is not strictly risk-free due to the exchange rate effect. Smooth transition models are used to study the dynamic behaviour of the mispricing in the three markets. The results show that mean reversion in mispricing and limits to arbitrage are driven more by transaction costs than by heterogeneous arbitrageurs in the Nikkei markets. The second topic of the dissertation is to investigate the price discovery process in individual Nikkei markets and across the Nikkei futures markets. With smooth transition error correction models, this dissertation reports the leading role of the futures prices in the pre-crisis period and the leading role of the spot prices in the post-crisis period, in the first-moment information transmission process. Moreover, there is evidence of asymmetric adjustments in the Nikkei prices and volatilities. The cross-border dynamics suggest that the foreign Nikkei markets (the CME and SGX) act as the main price discovery vehicle, which implies the key functions of the equivalent, offshore markets in futures market globalisation. The third topic of the dissertation is to study the volatility transmission process in individual Nikkei markets and across the Nikkei futures markets, from the perspectives of the volatility interactions in and across the Nikkei markets and of the dynamic Nikkei market linkages. This dissertation finds bidirectional volatility spillover effects between the Nikkei spot and futures markets, and the information leadership of the foreign Nikkei markets (the CME and SGX) in the second-moment information transmission process across the border. It further examines the dynamic conditional correlations between the Nikkei markets. The results point to a dramatic integration process with strongly persistent and stable Nikkei market co-movements over time.

In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. We conclude, with certainty, that there are many alternatives for funding and that they each need to be analysed and compared on many levels to be able to make a correct decision as to which ones to choose. An important part of this is to consider the implications of the newest regulations and risk exposure, as it might greatly influence the final price for contracts. Between the cases that we considered, the SEK bond was the one with the lowest resulting spread, and the one which is the simplest considering the collateral involved. While other alternatives might be better depending on how profitable it is for the municipality to receive collateral, the SEK bond is the most transparent one and with least risk involved.

Orientadora: Profa. Dra. Adriana Capuano de Oliveira / Dissertação (mestrado) - Universidade Federal do ABC, Programa de Pós-Graduação em Ciências Humanas e Sociais, 2017. / A composição etária da sociedade brasileira sofre transformações com um significativo aumento do contingente de idosos (IBGE, 2009). Além da idade, de acordo com Neri (2005), sexo, classe social, saúde, educação, fatores de personalidade, história passada e contexto social são importantes elementos que se mesclam, determinando diferenças entre idosos. Debert (1999) ressalta que a velhice é um processo elaborado simbolicamente e que varia de cultura para cultura, em que se deve respeitar a heterogeneidade presente. No Brasil, o processo imigratório é um dos fatores de grande contribuição para a heterogeneidade da população brasileira. Nesta pesquisa, abordaremos alguns aspectos culturais voltados ao imigrante japonês e ao seu descendente, quando idosos e residentes no Brasil, país que ainda mantem vínculo com o Japão devido a fatores históricos e atualmente abriga a maior população nikkei (descendente de japonês) residente fora do Japão. Entrevistamos 17 indivíduos idosos nikkeis e uma idosa japonesa, visando discutir sobre o envelhecimento dessas pessoas mediante questionário semiestruturado. A realização de dois estudos observacionais em instituições socioassistenciais para idosos no Japão por meio da Agência de Cooperação Internacional do Japão, denominada JICA (Japan International Cooperation Agency), também contribuiu para a metodologia usada no presente trabalho. Através da observação em instituições japonesas, do contato prévio com instituições para idosos no Brasil e das entrevistas realizadas, tivemos a oportunidade de conhecer especialistas que apresentaram conceitos sobre o dia a dia em alguns serviços no Japão. Pudemos também discutir sobre os serviços que essas instituições oferecem, observando suas diferentes demandas e percepções acerca da velhice em cada país. Isso pode levar demais profissionais envolvidos no tema envelhecimento no Brasil a refletirem sobre possíveis novos modelos de serviços para esta população, que possui uma realidade complexa devido sua diversidade em muitos aspectos, possibilitando que o processo de envelhecimento ocorra com qualidade. / The composition of the age structure of Brazilian society, in which transformations occur in, with a significant increase in the number of elderly people (IBGE, 2009). According to Neri (2005), besides age, gender, social class, health, education, personality factors, past history and socio context are important elements that determine differences among the elderly. Debert (1999) points out that old age is not a natural category, but rather a process elaborated symbolically and that varies from culture to culture, in which the present heterogeneity must be respected. In Brazil, the immigrant currents are one of the factors that contribute greatly to the heterogeneity of the elderly population. In this research, we address some cultural aspects related to the Japanese immigrant and the descendant, elderly and resident in Brazil, a country that still maintains a bond with Japan due to historical factors and currently houses the largest Nikkei resident population outside Japan. We interviewed 17 elderly Nikkei individuals and a Japanese elderly woman in order to raise and discuss the aging of these people living in Brazilian society and other experiences in relation to the Japanese cultural aspects, through a semi-structured questionnaire. The realization of two observational studies in social assistance institutions for the elderly in Japan through Japan's international cooperation agency, JICA (Japan International Cooperation Agency), also contributed to the methodology used in this study. Through observation in Japanese institutions, the previous contact with institutions for the elderly in Brazil and the interviews conducted, we were also able to discuss the services offered by these institutions, observing their different demands about the ageing of each country. These discussion and observation can instigate professionals involved in old age and aging in Brazil to reflect on possible new service models for this population, which has a complex reality because of its diversity in many aspects, allowing the ageing process to occur with quality .

Made available in DSpace on 2016-06-02T19:01:13Z (GMT). No. of bitstreams: 1 4816.pdf: 7070711 bytes, checksum: 9c6b31b88c01fcac248b28d0ea5c228b (MD5) Previous issue date: 2012-12-05 / Financiadora de Estudos e Projetos / The Dekasegi Phenomenon reveals a migratory flow that has caused suffering in the Japanese Brazilian community by fragmenting several families, with second and third generation descendants migrating to Japan, leaving behind parents, children and/or wives in Brazil. In this context we face several changes of previous roles and functions of each family member at home, forcing these people to overcome the distance and change their routines at home, rising questions to ponder in Social Anthropology, especially in its Kinship Theories. Characterized in contemporary Anthropological Theory as transnational families precisely for being constituted of members living apart in more than one country, dekasegi families live with a paradox and are still little studied in Anthropology: a series of economic, cultural, political, and other reasons makes it necessary for family members to be separated and sent to another country in order to keep the family united. This research proposes a study of dekasegi families living in Hamamatsu city, Shizuoka, known for being home to one of the largest contingents of Brazilians living in Japan. The main objective of this thesis is to shed light on how these Japanese Brazilians build their relationships not only with one another but also with family members left behind in Brazil aiming a better understanding of the internal dynamics of this migratory flow that has lasted for more than 20 years. / O Fenômeno Decasségui é um fluxo migratório que causa dentro da comunidade nipobrasileira a fragmentação de várias famílias com descendentes de segunda e terceira geração migrando para o Japão, muitas vezes deixando pais, filhos e/ou esposas no Brasil. Nesse sentido, o surgimento do Fenômeno Decasségui obrigou e ainda obriga estas pessoas a reordenarem suas próprias relações familiares que agora estão distendidas entre dois países, obrigadas a contornar a distância e alterar a própria rotina dentro de casa, trazendo evidentemente uma série de questões para pensarmos nas Teorias de Parentesco. Caracterizada na Teoria Antropológica contemporânea como uma família transnacional justamente por ser constituída por membros que vivem separados em mais de um país, as famílias de decasséguis convivem dentro de um paradoxo e ainda são pouco estudadas na Antropologia: dada uma série de razões, econômicas, culturais, políticas, etc, para a família se manter unida é necessária a separação dos membros familiares e o envio destes para outro país. Esta pesquisa propõe o estudo das famílias decasséguis vivendo na cidade de Hamamatsu, Shizuoka, conhecida por abrigar o maior contingente de brasileiros vivendo no Japão. O principal objetivo desta tese é compreender como estes nipo-brasileiros constroem suas relações não apenas entre si como também com os familiares que ficaram no Brasil, visando o melhor entendimento das dinâmicas internas deste fluxo migratório que tem mais de 20 anos.

Cette recherche propose un éclairage sémiotique européen sur la signification politique de l’altérité analysée pour le cas de la migration nippo-brésilienne à travers les époques et les espaces. Si l’immigration des Japonais au Brésil date de 1908, celle des Brésiliens descendants de Japonais, les nikkeijin ou nikkei-brésiliens, a été officiellement et légalement encouragée par les autorités japonaises depuis 1990. Ces migrants dits dekassegui, des immigrés supposés temporaires, s’y sont pourtant progressivement établis. Ils y occupent principalement des emplois non qualifiés. Notre recherche analyse les modalités d’apparition des immigrés dans l’espace public de chacune des deux sociétés à travers les discours produits sur eux et par eux-mêmes. L’émergence d’un « espace médiatique » des migrants japonais au Brésil puis celle d’un espace médiatique brésilien lusophone au Japon reflètent la nécessité pour les immigrés d’être représentés et témoigne de leur statut au sein de leur société d’immigration. L’existence d’un espace médiatique brésilien au Japon, qui constitue l’un des éléments fondateurs du sentiment communautaire des émigrés brésiliens, fait écho à la manière dont leur présence a longtemps été maintenue invisible dans l’espace public japonais. La mise en perspective des deux mouvements migratoires, du Japon vers le Brésil puis du Brésil vers le Japon, souligne le rôle de l’héritage de l’altérité à travers les générations, dans le temps court et le temps long dans la formation des identités mixtes. L’analyse du statut de cette population nippo-brésilienne révèle les caractéristiques qui fondent l’identité nationale, brésilienne comme japonaise, et montre que, dans le contexte de la globalisation et des migrations internationales contemporaines, la définition de la « culture » est résolument une affaire d’ordre politique. / This research paper proposes a semiotic analysis of migrants' political identity based on the case-study of Japanese-Brazilian migrants. While the Japanese started emigrating to Brazil in 1908, subsequent generations of Japanese-Brazilians, referred to as 'Nikkeijin' or 'Nikkei-Brazilians', were officially and legally encouraged to migrate back to Japan in 1990 to pursue unqualified jobs, primarily in the industrial sector. These 'dekasegi', or temporary migrants, eventually prolonged their stay in Japan. By focusing our attention on public and official speeches about migrants, we can get a sense of the latter's emerging presence in both societies' public spaces. Migrants' ethnic media provide a space for representation in the host society and reflect the evolution of their societal status. Brazilian ethnic media in Japan, in particular, has played a major role in the upbringing of the migrant community, offering dekasegi greater visibility in the Japanese public space, long denied until recently. The comparative analysis of both Japanese emigration to Brazil and Japanese-Brazilians' emigration to Japan reveals what it means to be an immigrant across spaces and generations. In effect, we hope to shed a light on the making process of mixed identities as well as national identities. Examining the status of Japanese-Brazilians makes it obvious that in a context of globalization, the definition of both immigrants’ culture and nationals’ culture, remains a political stake for both the sending and the receiving country.

The beginnings of Asian immigration to Latin America dates back to the early 19th century and with its significance ranks among the most compelling migration processes in Latin American history. One of the main centers of Asian minorities on the South American continent became Peru, into which directed vast number of immigrants who represented a cheap source of labor, such as Chinese in the second half of the 19th century and Japanese in the early of 20th century. This thesis aims to describe the historical development of Asian immigration to Peru focusing on Japanese immigration in the period of 1899 - 1945 and its importance in contemporary Peruvian society. The first part aims to describe the evolution of Asian immigration to Peru in the period of the 20th century and the change of Japanese immigrant status from cheap labor forces into entrepreneurial elite. The second part concentrates on economic analysis, demographic and socioeconomic data that is used for better understanding of each period of Japanese immigration in Peru. At the end of the thesis will be briefly described the development of Japanese immigration after 1945.

The beginnings of Asian immigration to Latin America dates back to the early 19th century and with its significance ranks among the most compelling migration processes in Latin American history. One of the main centers of Asian minorities on the South American continent became Peru, into which directed vast number of immigrants who represented a cheap source of labor, such as Chinese in the second half of the 19th century and Japanese in the early of 20th century. This thesis aims to describe the historical development of Asian immigration to Peru focusing on Japanese immigration in the period of 1899 - 1945 and its importance in contemporary Peruvian society. The first part aims to describe the evolution of Asian immigration to Peru in the period of the 20th century and the change of Japanese inmigrant status from cheap labor forces into entrepreneurial elite. The second part concentrates on economic analysis, demographic and socioeconomic data that is used for better understanding of each etap of Japanese inmigration in Peru.

This exploratory study draws from six semi-structured interviews with multiracial Nikkei women living in Canada to investigate their experiences of mixed race belonging. After establishing belonging as intrinsic to the very nature of how multiraciality and Asianness have been historically constructed and are presently experienced in Canada, three areas relevant to how the interviewees experience mixed race belonging are then considered: multiracial name modification (MRNM), the nation and Canadianness, and Japaneseness in Canada. This study also considers how the recent racial climate of pandemic-related anti-Asian racism has potentially impacted how mixed race belonging is experienced by the interviewees, which reveals two additional areas of interest: the amplified experience of multiracial dysmorphia (MRD) during this time and the emergence of pan-Asianness in Canada as a potential new site of belonging. As captured, issues of mixed race belonging arise in various spheres of the interviewees' lives because of the very ways in which multiraciality and Asianness have been constructed and maintained in the Canadian social landscape. In doing so, this study hopes to drive home how issues of mixed race belonging speak more to the problematic nature of "race" itself than of mixed race people themselves.