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1

Moscoso, Manolete S. "Toward a cognitive analysis of behavioral change: the pro active social behavior." Pontificia Universidad Católica del Perú, 1996. http://repositorio.pucp.edu.pe/index/handle/123456789/101192.

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Анотація:
This article presents an analysis of the pro active social behavior construct based on the sociallearning theory. Self efficacy is briefly reviewed and discussed in the context of Bandura' s conceptual work. Reference is made to cognitive variables such as values and beliefs, as fundamental principies in the development of the pro active social behavior. I examine che distinctions between fears of failure, success, and rejection as they relate to the process of self sabotage. Comments are made on the transformation of meaning and its benefits on fear extinction. Finally, I briefly describe the principies of the associative neurophysiological conditioning as a therapeutic program for the management of emocional states by the individual.
Este artículo presenta un análisis del Comportamiento Social Pro Activo utilizando como modelo la teoría del aprendizaje social. Se revisa el concepto de autoeficacia, originalmente propuesto por Bandura, y se hace referencia a variables de tipo cognitivo tales como los sistemas de valores y creencias. Se examinan las distinciones entre el temor al fracaso, al éxito, al rechazo, y su relación con el proceso de autosabotaje. Asimismo se discute la importancia de la transformación del significado y sus beneficios en la extinción del temor. Se presenta un modelo conceptual del control de los estados emocionales y sus implicancias en el proceso de la acción. Finalmente, se describen las premisas fundamentales del Condicionamiento Neurofisiológico Asociativo como un programa terapéutico que facilita el manejo de los estados emocionales de la persona.
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2

Bell, Stephen Spencer. "Design Input Index as a predictor of project change behavior." Thesis, Springfield, Virginia: Available from National Technical Information Service, 1991. http://hdl.handle.net/10945/28107.

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3

Mayor, S. Luis Iván. "The change in addictive behaviors." Pontificia Universidad Católica del Perú, 2013. http://repositorio.pucp.edu.pe/index/handle/123456789/100295.

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Анотація:
Mental health professionals could be interested in finding how inappropriate behavior could be modified, especially when there are people that changes without treatment. This article explains how people change with a transteorical model of stages and processes. Psychological research shows that there are five stages in behavior modification: pre-contemplation, contemplation, preparation, action and maintenance. Besides, subjects have common processes in every stage.
Concita el interés de los profesionales de la salud mental el descubrir cómo se modifican los comportamientos desadaptativos, más aún existiendo gente que cambia sin tratamiento. Este artículo explica, a partir de un modelo transteórico de etapas y procesos, cómo cambia la gente. Las investigaciones, cada vez más, corroboran que en la modificación de los comportamientos existen 5 etapas: precontemplación, contemplación, preparación, acción y mantenimiento. Además los sujetos siguen procesos comunes en cada una de estas etapas.
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4

Casey, Kelsey M. B. "Dietary changes associated with an intervention to reduce sedentary behavior in women." Thesis, Kansas State University, 2016. http://hdl.handle.net/2097/32575.

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Master of Science
Department of Food, Nutrition, Dietetics and Health
Sara K. Rosenkranz
Evidence from physical activity interventions suggests that women, in particular, may overcompensate for exercise energy expenditure by increasing caloric intake. Sedentary behavior and poor diet quality are independent risk factors for many major chronic diseases including cardiovascular disease (CVD). It is unknown whether insufficiently active women alter dietary quality or caloric intake when participating in an intervention to reduce sedentary behavior. Insufficiently active women (n=49) working full-time sedentary jobs were randomized into one of two 8-week sedentary interventions occurring during the work week [short breaks (SB) (1-2 min every half hour, n=24) or long breaks (LB) (15 min twice daily, n=25)]. Dietary information was collected through 3-day food records at baseline, week 4 and week 8. Dietary quality was assessed using the Alternative Healthy Eating Index 2010 (AHEI-2010). CVD risk factors (systolic and diastolic blood pressure (BP), fasting cholesterol, triglycerides, and blood glucose, and body mass index) were assessed at baseline and week 8. For all participants there were no changes in AHEI-2010 scores over time (baseline: M=53.4, 95% CI [49.2, 57.6], week 4: M=50.3, 95% CI [45.9, 54.7], week 8: M=48.4, 95% CI [44.1, 52.7], p>0.05). Average caloric intake in the SB group (baseline: M=1943.8 kcals/day, 95% CI [1716.2, 2171.5], week 4: M=1728.8 kcals/day, 95% CI [1462.4, 1995.2], week 8: M=1616.8 kcals/day, 95% CI [1450.2, 1783.4]) decreased significantly from baseline to week 4 (p=0.015) and baseline to week 8 (p=0.002). There were no significant changes in caloric intake in the LB group (p>0.05) at either time point. In all participants, absolute changes in LDL were positively correlated with absolute changes in caloric intake (r=0.473, p=0.005). There were no other significant associations between changes in dietary quality or caloric intake with changes in any other CVD risk factor (p>0.05). Following an 8-week sedentary intervention in the workplace, insufficiently active women did not alter their dietary quality, but decreased caloric intake. Future research should explore sedentary interventions compared to physical activity interventions in women as a means to create negative energy balance, as sedentary breaks throughout the day may be effective for improving health outcomes.
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5

Coe, Ellen Moster. "The correlation between changes in conicity index and changes in other risk factors for coronary heart disease at baseline and after a six- month intervention program." Virtual Press, 1995. http://liblink.bsu.edu/uhtbin/catkey/941352.

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The emphasis of the study was to determine the degree of correlation between the Conicity Index and known risk factors for heart disease. Conicity Index was shown in one study to be a useful screening tool in assessing the relationship between body composition and risk for heart disease. This study was designed to provide nutrition education and teach lifestyle modification to fourteen Veteran's Affairs patients. Change in specific risk factors including Waist-to-Hip Ratio, Body Mass Index, serum lipid levels and dietary intakes were correlated with change in Conicity Index over the six month study. Results from the present study did not suggest that the Conicity Index would serve as an effective screening tool for the present population. Mean body weight, body mass index, hip circumference, cholesterol and triglyceride levels, total caloric and fat intake all decreased significantly as a result of the program. Through nutrition education, behavior modification and group support, the risk for heart disease was successfully modified in this population.
Department of Family and Consumer Sciences
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6

Moscoso, Manolete S. "The health psychology: a multidisciplinary approach about stress and behavioral change." Pontificia Universidad Católica del Perú, 2013. http://repositorio.pucp.edu.pe/index/handle/123456789/102061.

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Анотація:
This article reviews research and professional trends in the field of health psychology and behavioral medicine. I also discuss recent research on stress, immune system, behavioral change and health promotion. An increasing focus on the human immunodeficiencyvirus (HN/AIDS) is very important given the Rde of health psychology in terms of prevencing further spread of the epidemic and in maintaining a good qualiry of life. I examined psychosocial and immune system stress responses in individuals before and after their nocification of HN status andas a consequence of stress management intervention procedures. Psychological and social factors in the development of illness are considered.
Este articulo revisa líneas de investigación y profesionales en el campo de la psicología de la salud y la medicina conductual. Se discuten investigaciones recientes acerca del estrés, el sistema inmunológico, los cambios conducruales y la promoción de la salud. Un énfasis en el virus de inmunodeficiencia (HN/SIDA) es muy importante dado el rol de la psicología de la salud para prevenir la expansión de la epidemia y mantener una buena calidad de vida. Se han examinado las respuestas psicosociales y del sistema inmunológico de individuos antes y después de ser notificados de su status de HN y como consecuencia de los procedimientos de intervención para manejar el estrés. Se consideran los factores psicológicos y sociológicos en el desarrollo de la enfermedad.
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7

Baker, Matthew C. Messner Phillip Eugene. "Change in high-risk behaviors during the first college year categorized by gender, first-generation status, and admission index demographics as measured by the CIRP and YFCY." Diss., Columbia, Mo. : University of Missouri--Columbia, 2009. http://hdl.handle.net/10355/7007.

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Title from PDF of title page (University of Missouri--Columbia, viewed on Feb 26, 2010). The entire thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file; a non-technical public abstract appears in the public.pdf file. Dissertation advisor: Dr. Phillip Messner. Vita. Includes bibliographical references.
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8

Vincent, Maureen Anne, and edu au jillj@deakin edu au mikewood@deakin edu au wildol@deakin edu au kimg@deakin. "BODY DISSATISFACTION AND BODY CHANGE STRATEGIES AMONG ADOLESCENTS: A LONGITUDINAL INVESTIGATION." Deakin University. School of Psychology, 2000. http://tux.lib.deakin.edu.au./adt-VDU/public/adt-VDU20040906.135500.

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This thesis examined body dissatisfaction and body change behaviors among adolescent girls and boys from a biopsychosocial framework. The contribution of biological, psychological and sociocultural factors were examined in relation to body dissatisfaction, weight loss, weight gain and increased muscle tone behaviors among early adolescent girls and boys. In particular, pubertal maturation, body mass index (BMI), perception of body shape and size and psychological factors, such as depression, anxiety, ineffectiveness, self-esteem and perfectionism, were examined as possible factors that may precipitate or maintain body dissatisfaction and engagement in body change strategies. The sociocultural factors evaluated were the quality of family and peer relationships, as well as the influence of family and peers in predicting the adoption of specific body change strategies. The specific mechanisms by which these influences were transmitted were also examined. These included perceived discussion, encouragement and modelling of various body change strategies, as well as perceived teasing about body shape and size. A number of separate cross-sectional and longitudinal studies were conducted to examine the above relationships and identify the factors that contribute to weight loss, weight gain and increased muscle tone behaviors in adolescents. Study 1 examined the psychometric properties and principal components structure of the Bulimia Test Revised (BULIT-R; Thelen, Farmer, Wonderlich, & Smith, 1991) to assess its applicability to adolescent samples. Study 2 investigated the nature of body dissatisfaction and weight loss behaviors among 603 adolescents (306 girls and 297 boys) using a standardised questionnaire. This preliminary study was conducted to ascertain whether variables previously found to be relevant to adolescent girls, could also be related to the development of body dissatisfaction and weight loss behaviors among adolescent boys. Studies 3 and 4 described the development and validation of a body modification scale that measured weight loss, weight gain and increased muscle tone behaviors. Studies 5 and 6 were designed to modify an Excessive Exercise Scale developed by Long, Smith, Midgley, and Cassidy (1993) into a shorter form, and validate this scale with an adolescent sample. Study 7 investigated the factors that contribute to weight loss, weight gain and increased muscle among adolescent girls and boys both cross-sectionally and longitudinally (over one year). Structural equation modelling was used to examine associations among self-reported body dissatisfaction, body change strategies and a range of biological, psychological and sociocultural variables both cross-sectionally and longitudinally. Overall, the results suggested that both girls and boys experience body dissatisfaction and engage in a number of different body change strategies in order to achieve an ideal size. A number of gender similarities and differences were identified in the expression of body dissatisfaction and the adoption of body change strategies for both girls and boys. Girls were more likely than boys to report body dissatisfaction and engage in weight loss behaviors, while boys were more likely than girls to engage in weight gain and increased muscle tone behaviors. Generally, the same factors were found to contribute to weight loss, and more specifically, bulimic symptomatology, ad weight gain in both adolescent girls and boys. While a combination of biological, psychological and sociocultural factors contributed to bulimic symptomatology, only biological and psychological factors were found to contribute to weight gain in adolescents. The most notable gender differences were found in the model of increased muscle tone. Sociocultural and biological factors contributed to increased muscle tone behaviors in girls, while sociocultural and psychological factors were implicated in these behaviors in adolescent boys. With the exception of the model of increased muscle tone for boys, body dissatisfaction was a consistent factor in the adoption of body change behaviors. Consistent with previous investigations, the present thesis provides empirical support for the need to examine the etiology and maintenance of such concerns and behaviors from a multifaceted perspective.
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9

Nafziger, Anne. "A population perspective on obesity prevention : lessons learned from Sweden and the U.S." Doctoral thesis, Umeå : Umeå University, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-893.

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10

Kowalski, Kristina Anne. "Stages of driving behaviour change within the Transtheoretical Model (TM)." Thesis, 2007. http://hdl.handle.net/1828/250.

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Анотація:
The older adult population and the number of older adults who rely primarily on driving as their means of transportation in later life are increasing. Older adults experience changes due to aging and age-related diseases that may put them at increased risk of crashes and other unsafe driving behaviours. Considerable evidence has demonstrated that some older adults compensate for their declining abilities by voluntarily restricting their own driving to limit exposure to risky driving situations or by stopping driving altogether. Since mobility is critical for maintaining the independence and quality of life of the older adult, it is important to examine factors that influence driving behaviours of older adults and to promote their safe driving for as long as possible. It has been suggested that driving cessation might occur in discrete stages of driving restriction culminating in driving cessation. Yet, the application of TM to older driver behaviour has not been explored in detail. Thus, the purpose of this research was to explore older adults’ perceptions and experiences of the process of older driver behaviour change within the TM framework. Drivers and former drivers (both men and women) aged 71-94 years of age completed a health and demographic questionnaire and participated in either a digitally recorded semi-structured individual interview or a group discussion. Participants were asked a series of pre-determined questions and probes tailored for either current or former drivers to examine this process. The recordings were transcribed and reviewed for themes related to driving behaviour change. The participants exhibited a wide variety of perceptions and experiences related to the process of driving behaviour change in aging. Their driving behaviour in aging could be divided into 2 general classes: those who changed their driving with age and those who did not. The spectrum of experiences ranged from those who gradually imposed restrictions on their driving with age (“the gradual restrictors”) or made plans for stopping (“the preparers”) to those who always employed driving restrictions throughout their driving history (“the consistent”) or those who made no or only minor changes to their driving behaviour with age (“the non-changers”). Some preliminary support for TM within the driving context was found and recommendations for extensions to the TM model were suggested. Further exploration of driving behaviour change within the TM framework is warranted. The findings from this study may be appropriate for use in designing educational strategies and interventions aimed at helping older adults remain on the road safely longer or stop driving, if needed.
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11

Sbaraglia, Melissa. "Improving initiation and maintenance of exercise among people with a chronic disease." Thesis, 2020. https://vuir.vu.edu.au/42503/.

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Анотація:
One in two Australians has a chronic disease, and a quarter has two or more. Despite the widely documented benefits of exercise for the prevention and management of many chronic diseases, the majority of people with a chronic disease remain insufficiently active. The examination of exercise behaviour must be guided by appropriate theoretical frameworks to improve the effectiveness of exercise interventions to support people with a chronic disease to initiate and maintain participation. In this thesis, two studies with complementary methods were used to examine the exercise behaviour change relating to people with Type 2 diabetes mellitus (T2DM) from the perspective of the participant and the practices of exercise practitioners. Study 1, a qualitative study, examined the perspective of participants with a chronic disease in an exercise efficacy trial. Five participants with Type 2 diabetes mellitus (T2DM) completed a semistructured interview 12 to 18 months following the conclusion of a 12-week exercise intervention. Two participants were male, and three participants were female, with an age range of 43 to 83 years. The length of time since diagnosis ranged from four to 26 years. The Theoretical Domains Framework (TDF) was used to code interviews deductively, and a range of strategies was identified as critical for exercise initiation and maintenance. The most commonly reported themes were: (1) reinforcement; (2) beliefs about consequences; (3) behaviour regulation; (4) beliefs about capabilities; (5) social influences; (6) environmental context and resources; (7) emotion; (8) goals, and (9) social/professional role and identity. Behaviour regulation was related to the maintenance of exercise. Study 2, a quantitative study, examined the use of behaviour change techniques (BCTs) by 54 exercise practitioners when working with clients with a chronic disease. Exercise practitioners were mostly female (72.2%) and aged between 25 and 34 years (55.6%). Most of the sample were Accredited Exercise Physiologists (81.5%) and held a postgraduate qualification (65.0%). First, the Behaviour Change Index-Exercise Practitioners (BCI-EP) was developed to measure the use of BCTs in clinical practice. The Index was based on the Coventry, Aberdeen, London-Refined (CALO-RE) taxonomy that describes 40 BCTs relevant to exercise behaviour change. Second, the Index items were grouped according to the dominant TDF domains and administered to examine the use of theory-based BCTs used in practice. BCTs related to the goals and social influences TDF domains were the most frequently reported groups of techniques used by exercise practitioners. Female gender was positively associated with more frequent use of environmental context and resources related techniques compared to male practitioners. Exercise practitioner age was negatively associated with the use of behaviour regulation and beliefs about consequences techniques. Accredited Exercise Physiologists were less likely to use reinforcement BCTs compared to fitness instructors and personal trainers when working with clients with a chronic disease. This research contributes to the body of knowledge by applying the TDF to understand the initiation and maintenance of exercise among people with T2DM. The results provide insights into the strategies that might influence the uptake and maintenance of exercise among people with T2DM. The study also adds to emerging literature about the importance of emotion as a predictor of exercise participation among people with T2DM. Emotion related BCTs could be added to taxonomies such as the CALO-RE to expand existing knowledge of exercise participation to improve T2DM management. The newly developed BCI-EP could be applied for a range of research purposes to assess other practitioner’s use of BCTs and to examine the relationship between the use of BCTs and exercise uptake and adherence in clinical practice, and exercise practitioner education and training. A range of cognitive, affective, social, and environmental theoretical domains were related to exercise behaviour change among people with T2DM. These domains theoretical domains must be integrated into the development of exercise interventions to improve the effectiveness of exercise prescription for people with T2DM.
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12

Chen, Yen-Chu, and 陳嬿竹. "The Impact of Changes in Taiwan Mid-Cap 100 Index on Stock Price Behavior." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/57088624988896405477.

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Анотація:
碩士
逢甲大學
財務金融學所
99
The purpose of this study examines the impact of changes in Taiwan Mid-Cap 100 Index on stock price behavior. This study divided the sample of changes in Taiwan Mid-Cap 100 Index into four groups: pure additions, pure deletions, downward additions, and upward deletions. The empirical results indicate that, before announcement day, pure additions experience a significant positive cumulative abnormal return while pure deletions experience a significant negative cumulative abnormal return. However, the results are reversed after listing day. Besides, downward additions experience a significant negative cumulative abnormal return and upward deletions experience a significant positive cumulative abnormal return after listing day. Moreover, this study also examines the relationship between cumulative abnormal return and cumulative abnormal buy-sell imbalance of institutional traders. This study finds that the cumulative abnormal return is significantly related to the cumulative abnormal buy-sell imbalance of institutional traders, especially for those of mutual funds and proprietary traders.
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13

Yang, Lin-Chi, and 楊琳琪. "Effects of a Lifestyle Change Protocol on Knowledge, Behavior and Physical Index Among Subjects With Prediabetes: Pilot study." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/70851651719587476030.

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Анотація:
碩士
高雄醫學大學
護理學研究所
100
Abstract BACKGROUND: People with impaired glucose tolerance (IGT) or impaired fasting glucose (IFG), i.e. prediabetes, are at high risk of developing diabetes and other chronic disease. Lifestyle modification can prevent or delay the progression from prediabetes to diabetes. An effective lifestyle modification program can lead prediabetic people to have healthier diet and habits of physical activity. OBJECTIVE: To examine the effect of a 4-week lifestyle modification program on knowledge, behavior, and physiological indices: body mass index (BMI), fasting glucose, waistline, cholesterol, and triglyceride (TG). METHODS: This study was conducted between June 2011 and December 2011, at two hospitals in southern Taiwan. Thirty adults aged 20 and above with IFG were assigned into two groups: intervention group (n=15) and control group (n=15), according to their gender and BMI. The intervention group enrolled in a 4-week lifestyle modification program, including a face-to-face counseling session and twice-a-week telephone calls. The control group received usual care only. Every participant received a self-regulation handbook, a diabetes prevention handbook and a pedometer. Baseline measures on the primary outcomes (BMI, fasting glucose, waistline, cholesterol, TG) and secondary outcomes (knowledge of prediabetes, dietary behavior, and physical activity) were taken before the intervention. Measures of the secondary outcomes were repeated one month later (T1), then both the primary and secondary outcomes were repeated again three months later (T2). RESULTS: Significant differences before and after the intervention were found for the intervention group, including fasting glucose (mean= –3.80, SD=4.41 , p=.008), cholesterol (mean= –15.40 , SD=23.46 , p=.043), TG (mean= –52.93, SD=86.71 , p=.026), BMI (mean= –0.48, SD=0.84 , p=.035), waist circumference (mean= –2.04 , SD=3.14 , p=.026), knowledge (mean=1.87~1.93, SD=1.73~2.12, p=.001~.004), physical activity (mean=1442.03~1213.10, SD=2503.93~1525.96, p=.015~.005), and dietary behavior (mean=2.40~2.73, SD=2.82~2.69, p=.004~002). Dietary behavior (from T2–T0), the intervention group was significantly better than control group (mean=2.67, CI=0.61~4.72, p= .013), insignificant differences were found for other outcomes. CONCLUSION: The Lifestyle Modification Program appeared to be effective in improving knowledge, dietary behavior and physical activity in adults with IFG.
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14

TU, YONG-JYUN, and 涂詠鈞. "Application of Repeat Sales Methodology in Taiwan Real Estate Market: Changes of Housing Price, Flipping Behavior, Housing Price Index." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/p83296.

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Анотація:
碩士
國立臺北大學
不動產與城鄉環境學系
107
This study uses transaction data from the Ministry of the Interior to carry out the investigation of repeat sales data, and applies it to the research of Taiwan real estate market. The research scope includes the repeat sales data from 2012 to 2018 in the six major cities of Taiwan. Through the use of repeat sales data, this study focuses on the changes of housing price, flipping behavior and house price index in the real estate market. In the first part, we uses honic model to examine the changes of housing price. The research found that the price of the real estate is no longer the same as the influence of the past research. The traditionally considered non-essential areas have a more positive price trend; in addition, the economic cycle and policy is also an important factor affecting house price changes. Taking New Taipei City as an example, 2013 and 2014 are positive impacts, with negative impacts in 2016, 2017 and 2018. In the second part, we uses Logistic regression to examine the flipping behavior in real estate market. The study found that the short-term trading factors of Taiwan's six municipalities are quite consistent, such as: 1) new, old enough houses are easy for short-term trading. 2) Huaxia and residential buildings have statistical significant impact, but transferring area and transferring floor did not show statistical significance; 3) non-essential location on the short-term trading of real estate have positive influence, in addition, the economic cycle, policy effects and house price appreciation were also important factors affecting flipping behavior, such as: in Tainan City and Kaohsiung City in 2013. The average is higher than the short-term trading rate in 2015. Finally, this study uses the repeat sales data to compile the repeat transaction price index of the six municipalities in Taiwan, and compares it with the current hedonic price index of the Ministry of the Interior. This study finds that when the hedonic price index fluctuates greatly in the municipality, the repeat sales price index can perform well, indicating that the repeat sales price index is quite feasible in the Taiwan real estate market.
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15

Kormos, Christine. "Anticipated changes to quality of life and the impact of divergent social normative information: a field experiment on sustainable transportation behaviour." Thesis, 2009. http://hdl.handle.net/1828/3109.

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Анотація:
This study evaluated anticipated changes to quality of life (QoL) from a reduction in private vehicle use, and the impact of social normative information on willingness to change transportation behaviour. Staff and students at the University of Victoria completed transport journals for a month, and participants in the low or high social norm condition received divergent information about the percentage of others who had switched to sustainable commuting. Unexpectedly, message content did not predict behavioural change, but mere receipt of a message, versus the control condition, did predict change. The results suggest that sustainable transport campaigns should highlight others‟ cooperation, regardless of their rate of cooperation, and target commuting behavior. Also, participants expected decreases to individually relevant QoL items and improvements to collectively relevant QoL items under a hypothetical reduction in private vehicle use. The findings may be employed by policy-makers to increase acceptance of transportation policies.
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16

Yang, Ping-Yuan, and 楊秉元. "From the relationship between liquidity and the chance of arbitrage to examines if investor’s behaviors in the Taiwan stock index futures market are rational." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/63639451791181084222.

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Анотація:
碩士
國立高雄第一科技大學
金融營運所
92
This paper empirically examines the rationality of investors’ behaviors in the Taiwan stock index futures market. We examine the behavior by estimating the relationship between the arbitrage opportunity and the market liquidity. We use the open interest and bid-ask spread as the measurements of liquidity. The data including spot prices, futures prices, open interest, and bid-ask spread are from January 1st, 2000 to December 31th, 2002 gathered from TEJ database. The empirical results are as follows: 1. The investors trading in the TAIFEX market are rational. 2. Future prices are significantly biased when it is bear market. 3. The relationship between market liquidity and biased-equilibrium prices is more significant when it is bear market.
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17

Neumann, Christian. "Time and cross-sectional differences in the tail behavior of Euro interest rate future returns." Master's thesis, 2017. http://hdl.handle.net/10362/26209.

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Анотація:
As response to the financial crisis in 2007/08 and the European sovereign debt crisis, the ECB started to conduct expansionary monetary policy on an unprecedented scale. In this paper I investigate the development of tail risks in the euro interest rate market since the implementation of this unconventional monetary policy. The focus of the study is on futures on German government bonds, namely the Bund, Bobl and Schatz, which are among the most relevant securities in this market. The analysis covers three aspects. First, I investigate if the daily returns of the futures exhibit fat tails over the period from 1999 to 2016 and if there are differences among these securities with respect to tail risk, as measured by the tail index. Second, I analyze if the tail risks are non-constant over the considered time period. Third, I study if the tail index contains information beyond the conventional risk measure volatility and its implications for value-at-risk considerations. Anticipating the results, this paper presents significant evidence for fat tails in the return distribution of the Bund, Bobl and Schatz future. In contrast to expectations, the results indicate the highest tail risk for the short-term Schatz future and the lowest for the long-term Bund future. Differences in market liquidity might be a reason for this. Furthermore, I find comprehensive evidence for an increase in right tail risk for all three futures around 2008. This increase is most significant for the long-term Bund future. Surprisingly, evidence for a decrease in left tail risk is found, although with lower significance. Additionally, the analysis reveals that tail index contains information, which is not captured by volatility. Thus, the results suggest that the accuracy of value-at-risk estimates for different long and short positions can be improved by taking into account the tail index explicitly in the estimation process.
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