The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study
|
|
- Ashlyn Beasley
- 8 years ago
- Views:
Transcription
1 The Impact of Stock Index Futures Tradng on Daly Returns Seasonalty: A Multcountry Study Robert W. Faff a * and Mchael D. McKenze a Abstract In ths paper we nvestgate the potental mpact of the ntroducton of stock ndex futures tradng on the daly returns seasonalty of the underlyng ndex for seven natonal markets. Ths daly seasonalty testng s performed wth respect to (a) mean returns; (b) return autocorrelatons; and (c) return volatltes usng a modfed GARCH model. It has been prevously argued that the ntroducton of futures tradng should lead to reduced seasonalty of mean returns and generally our results support ths concluson. Ths s partcularly the case wth regard to the general weakenng of the Monday effect n mean returns for the US; Germany; and Swtzerland, and to a lesser extent for the UK. Smlarly for Japan and to a lesser extent for Australa, the Tuesday effect n mean returns s no longer n evdence. Whle we detect daly seasonalty n return autocorrelatons and volatltes that s largely related to Monday and Tuesday observatons, ths seasonalty does not seem to be affected by the ntroducton of ndex futures contracts. Key Words: Day-of-the-Week Effect; Stock Index Futures; Seasonalty; GARCH Modelng. JEL Reference: G12; G15. * Correspondng author a School of Economcs and Fnance, RMIT Unversty, GPO Box 2476V, Melbourne, Australa, Emal address: robert.faff@rmt.edu.au
2 The Impact of Stock Index Futures Tradng on Daly Returns Seasonalty : A Multcountry Study Abstract In ths paper we nvestgate the potental mpact of the ntroducton of stock ndex futures tradng on the daly returns seasonalty of the underlyng ndex for seven natonal markets. Ths daly seasonalty testng s performed wth respect to (a) mean returns; (b) return autocorrelatons; and (c) return volatltes usng a modfed GARCH model. It has been prevously argued that the ntroducton of futures tradng should lead to reduced seasonalty of mean returns and generally our results support ths concluson. Ths s partcularly the case wth regard to the general weakenng of the Monday effect n mean returns for the US; Germany; and Swtzerland, and to a lesser extent for the UK. Smlarly for Japan and to a lesser extent for Australa, the Tuesday effect n mean returns s no longer n evdence. Whle we detect daly seasonalty n return autocorrelatons and volatltes that s largely related to Monday and Tuesday observatons, ths seasonalty does not seem to be affected by the ntroducton of ndex futures contracts. 2
3 I. INTRODUCTION Futures contracts provde nvestors wth a relatvely low cost way of tradng on new nformaton and for hedgng aganst adverse prce movements. The prce of futures contracts s fundamentally determned by the prce of the underlyng asset on whch the futures contract s based. Thus, the ntroducton of futures tradng may mpact on the market for the underlyng asset and a body of lterature has evolved whch attempts to emprcally valdate the nature of ths relatonshp. One major area of ths lterature has consdered the mpact of futures tradng on the volatlty of the underlyng asset. For example, n the case of fnancal futures ths lterature s well represented by Fglewsk (1981); Morarty and Tosn (1985); and Edwards (1988a); whle for commodty futures see Workng (1960); Powers (1970) and Cox (1976). Further, n the case of stock ndex futures the lterature ncludes Stoll and Whaley (1987); Edwards (1988a and 1988b); Harrs (1989); Damodaran (1990); Hodgson and Ncholls (1991); Bessembnder and Segun (1992); Kamara, Mller and Segel (1992); Lee and Ohk (1992); Robnson (1994); Antonou and Holmes (1995); Kamara (1997); Hrak, Maberly and Taube (1998); and Antonou, Holmes and Prestley (1998). 1 In general, ths lterature provdes mxed evdence as to the volatlty mpact of futures tradng. Ths emprcal ambguty s not all that surprsng snce the theoretcal lterature proposes both a destablzng forces hypothess whch predcts ncreased volatlty and a market completon hypothess n whch decreased volatlty s predcted. For the former hypothess, t s argued that the nflow and exstence of speculators n futures markets may produce destablzng forces, whch among other thngs create undesrable bubbles. 2 However, the contrary vew s that the ntroducton of futures tradng leads to more complete markets, enhancng nformaton flows and thus mprovng nvestment choces facng nvestors. 3 Moreover, futures may brng more (prvate) nformaton to the market and allow for a qucker dssemnaton of 1 A parallel lterature also exsts for the case of the mpact of opton lstng on the underlyng stock s return behavor. See, for example, Conrad (1989); Sknner (1989); Damodaran and Lm (1991); and Kumar, Sarn and Shastr (1998). 2 See, for example, Harrs (1989); Edwards (1988a & 1988b); and Sten (1987 & 1989)). 3 See, for example, Ross (1977); Hakansson (1978); Breeden and Ltzenberger (1978) and Ardtt and John (1980)). 3
4 nformaton. Further, speculatve actvty may be transferred from the spot to the futures market whch can dampen spot market volatlty. The prncpal am of the current study s to extend the segment of ths lterature whch has nvestgated the mpact of ndex futures ntroducton. Whle the vast majorty of these studes have focussed on US markets [see for example, Harrs (1989) and Kamara, Mller and Segel (1992)], only a lmted amount of work has been drected toward other markets [for example, n the case of the UK see Robnson (1994), Antonou and Holmes (1995), and Antonou, Holmes and Prestley (1998); n the case of Australa see Hodgson and Ncholls (1991); and n the case of Japan see Hrak, Maberly and Taube (1998)]. Accordngly, the general argument of Leamer (1983) regardng the concern about data snoopng and that of Lo and MacKnlay (1990) n the context of fnance research, oblge us to nvestgate alternatve datasets n order to assess the robustness of these fndngs. 4 In the current paper ths s acheved by analysng seven separate markets n whch ndex futures have been ntroduced. Stock market ndex futures typcally have a face value of a gven multple (e.g. 100) tmes the value of a predetermned natonal stock market ndex. Thus, the value of these futures contracts fluctuates as the value of the underlyng ndex changes reflectng the machnatons of the overall market. It s commonly hypotheszed that the ntroducton of such stock ndex futures may have an mpact on the return characterstcs of the ndex tself. Whle much of the relevant lterature has solely focused on the (uncondtonal) volatlty mpact of such an event, other related but under-researched areas of nterest have recently been dentfed. Of partcular relevance to the current paper, s the potental mpact that the ntroducton of ndex futures tradng has on the daly seasonalty of the underlyng ndex returns. 4 A smlar data-snoopng justfcaton has been used elsewhere to examne non-us data see for example, Jagannathan, Kubota and Takehara (1998) who use Japanese data to test a labor-ncome based CAPM [of Jagannathan and Wang (1996)] and Clare, Prestley and Thomas (1998) who use UK data to test the CAPM usng a one-step procedure. 4
5 Daly seasonalty n mean returns s a phenomenon that has been documented n many asset return seres ncludng numerous natonal stock market ndces [see for example, Osborne (1962); Cross (1973); French (1980); Gbbons and Hess (1981); Jaffe, Westerfeld and Ma (1989); Wlson and Jones (1993); Chang, Pnegar and Ravchandran (1993); Agrawal and Tandon (1994); Dubos and Louvet (1996); Wang, L and Erckson (1997); Bachller, Blasco and Espta (1998) and Coutts and Hayes (1999)]. In most markets t s has generally been observed that to some degree a Monday effect s n evdence namely, that the Monday mean return s sgnfcantly negatve and less than the average return found for all other days. However, n a smaller subset of markets such as Japan and Australa, a Tuesday effect has been documented, n whch t s the mean Tuesday return whch s found to be sgnfcantly negatve and less than the average return for all other days. Although daly seasonalty n return autocorrelatons and return volatlty has also attracted some research attenton, they are far less extensvely nvestgated than ther mean returns counterpart. Wth regard to the daly seasonalty n return autocorrelatons, Bessembnder and Hertzel (1993) and Hggns and Peterson (1999) are representatve of the lterature. For example, Bessembnder and Hertzel (1993) examned a large set of US equty and futures markets data. Generally, they found that the return autocorrelaton between Monday (Tuesday) and the prevous tradng day s unusually hgh (low) and postve (and n many cases negatve) compared to other day of the week autocorrelatons. Wth regard to the daly seasonalty n return volatlty, Fama (1965); Gbbons and Hess (1981) and Agrawal and Tandon (1994) are good examples of ths lterature. Generally, these papers have found that the Monday return varance tends to be hgher than for all other days of the week. Recently an nterest has emerged n nvestgatng whether, and to what extent, daly return seasonalty s mpacted by the ntroducton of ndex futures tradng. Specfcally, Kamara (1997) consdered the mpact of the ntroducton of an S&P 500 ndex futures contract on the daly mean return seasonalty of the US market ndex return. Usng data sampled over the perod 1962 to 1993, the author fnds evdence to suggest that the daly seasonal effect n the S&P 500 declned sgnfcantly n the postfutures tradng perod. The author argued that the observed declne n the daly seasonal s consstent wth the fact that futures tradng greatly reduces the obstacle to arbtragng t, due to the consderable reducton n transacton costs. Further, smlar 5
6 analyss of ths ssue for the Japanese market s reported n Hrak, Maberly and Taube (1998). In ther paper, the authors found that tradng of the NIKKEI 225 stock ndex futures had mpacted on daly ndex returns seasonalty. Specfcally, whle the Tuesday effect was found to dsappear n the post-tradng perod, a Monday effect seemed to take ts place. The authors argue that such effects are the result of heghtened nformaton flows whch result from futures ndex tradng. Accordngly, the specfc purpose of the current paper s to supplement and enhance the lterature whch consders the mpact of the ntroducton of a stock ndex futures contract on the daly returns seasonalty of the underlyng aggregate natonal stock market ndex. In contrast to the prevous work whch has confned ts scope for analyss to a sngle natonal ndex, ths study wll emprcally scrutnze a wde range of markets. Specfcally, n addton to the US and Japan cases whch were the subject of analyss n Kamara (1997) and Hrak et al (1998) respectvely, we present evdence on the effect of stock ndex futures tradng on daly returns seasonalty for the Australan, German, Spansh, Swss and UK markets. The use of a broad range of countres for analyss has dstnct advantages. For example, t allows the experences of each country to be compared and any common pattern to be uncovered, thus helpng to allevate the data snoopng concern dscussed above. Further, the ncluson of the US and Japan cases allows comparsons to be made between the new methodology appled n ths paper and the results of the earler lterature. As pre-empted n the precedng paragraph, the current paper employs a dfferent (and arguably superor) testng methodology compared to prevous studes that have nvestgated the mpact of futures tradng. Specfcally, as far as we are aware our methodology for the frst tme unquely brngs together three major elements, namely: (a) the mpact of futures tradng; (b) the ncdence of daly seasonalty; and (c) the GARCH modelng framework. 5 Accordngly, wthn ths framework we make two major contrbutons to the exstng lterature. Frst, the use 5 Interestngly, whle (to our knowledge) these three features have not ever before been combned together n one unfed analyss, t s true that each parwse combnaton has been prevously explored. In the case of (a) GARCH modelng and the mpact of futures ntroducton, see for example, Antonou and Holmes (1995); and Antonou, Holmes and Prestley (1998); (b) the mpact of futures ntroducton and daly seasonalty, see for example, Kamara (1997) and Hrak et al (1998); and (c) GARCH modelng and daly seasonalty, see for example, Connolly (1989) and Easton and Faff (1994). 6
7 of a GARCH model allows us to provde new nsghts as we may smultaneously consder the mpact of stock ndex futures tradng on daly returns seasonalty n both the mean and volatlty dmensons. 6 Specfcally, daly seasonalty testng s performed wth respect to (a) mean returns; (b) return autocorrelatons; and (c) return volatltes. Second, as mentoned earler we present a unfed package of evdence spannng a number of natonal boundares that wll help to counter the concern of data snoopng bas. Exstng evdence (and then for mean returns seasonalty only) pertanng to ths general area s currently only avalable for two markets, namely, the US and Japan. Our nvestgaton extends the coverage to seven markets. A bref summary of our major fndngs s as follows. In general, our results suggest that the ntroducton of futures tradng has been assocated wth reduced seasonalty of mean returns. Ths s partcularly the case wth regard to the general weakenng of the Monday effect n mean returns for the US; Germany; and Swtzerland, and to a lesser extent for the UK. Smlarly for Japan and to a lesser extent for Australa, the Tuesday effect n mean returns no longer s n evdence. Ths fndng supports the arguments presented by Kamara (1997) and Hrak et al. (1998) that, for example, futures tradng lowers transacton costs of traders who may be lookng to arbtrage any proftable opportuntes, ncludng daly seasonals. Furthermore, whle we detect daly seasonalty n return autocorrelatons and volatltes that s largely related to Monday and Tuesday observatons, ths seasonalty does not seem to be affected by the ntroducton of ndex futures contracts. Wth reference to the prevous lterature, these results provde an mportant nternatonal extenson of the evdence of seasonalty n return volatlty such as that found n Fama (1965), Gbbons and Hess (1981) and Agrawal and Tandon (1994) and seasonalty n return autocorrelatons as reported n Bessembnder and Hertzel (1993). The rest of ths paper proceeds as follows. Secton II detals the basc testng methodology whch s employed n ths paper. Secton III dscusses detals of the seven natonal stock ndces on whch futures contracts are traded. Further, the estmaton results are presented and dscussed. Fnally, Secton IV presents some concludng comments. 6 Recently, ths general ssue has been found to be mportant n the case of futures (see Antonou, Holmes and Prestley (1998)). 7
8 II. RESEARCH METHOD A. Daly Seasonalty Modfed GARCH Model Framework Our basc model comprses an Auto-Regressve (AR) mean equaton augmented by dummy varables to capture the day-of-the-week (DOW) seasonalty. 7, 8 The ncluson of autoregressve terms follows Bessembnder and Hertzel (1993), Hggns and Peterson (1999) and Hrak et al. (1998). The latter authors argue that: [f]alure to adjust for the short-term prcng dynamcs n returns may ntroduce bas n the estmates of the DOW coeffcents snce the coeffcent estmates wll attempt to capture some of the effects assocated wth the mssng model components. (p.498) Specfcally, the mean equaton takes the form: R t = MonD Mon ODWD ODW Mon D Mon R t 1 ODWD ODWR t (1) where R t s the return to the stock market ndex; D Mon s a dummy varable whch takes the value unty f the day s a Monday and zero otherwse; D ODW s a dummy varable for the other days of the week (ODW) whch takes a value of unty f the day s a Tuesday, Wednesday, Thursday or Frday and zero otherwse; and ϕ Mon, ϕ ODW, λ Mon and λ ODW are coeffcents to be estmated. It should be noted that for Australa and Japan n whch a Tuesday effect has been documented n the lterature, the role of the Monday dummy n the above specfcaton s supplanted by a Tuesday dummy (D Tue ) and so the ODW dummy n ths case captures Monday, Wednesday, Thursday and Frday. The stochastc error term, ε t n Equaton (1), s modeled as a GARCH process whereby the varance of the error term s attrbuted wth dynamc (autoregressve) propertes. Specfcally, we adopt the GARCH (1,1) specfcaton of Bollerslev (1986), whch has been wdely appled n the lterature. As wth the mean equaton, 7 A verson of the model was nvestgated n whch a dummy varable was ncluded for the stock market crash of October As the results are robust to ths varaton they are not reported n order to conserve space. 8 In earler versons of ths paper, hgher order autoregressve terms were also employed. In order to keep the specfcaton manageable, only frst order terms are reported here. Importantly, the outcome of the hypothess testng s robust to ths varaton. 8
9 the GARCH specfcaton of the condtonal varance equaton s also augmented to nclude a matchng set of day-of-the-week dummy varables to capture the potental for daly seasonalty n market volatlty. Thus, the condtonal varance equaton s specfed as: h t = D D h (2) 0Mon Mon 0ODW ODW 1 2 t 1 1 where h t s the condtonal varance of the stochastc error term (ε t ) n the mean equaton, α 1 (ARCH term), β 1 (GARCH term), α 0Mon and α 0ODW are coeffcents to be estmated. As was the case for the mean equaton, n those markets n whch a Tuesday effect has been documented n the lterature (Australa and Japan), the role of the Monday dummy n the above specfcaton s supplanted by a Tuesday dummy (D Tue ) and the ODW dummy captures Monday, Wednesday, Thursday and Frday. 9 B. Daly Seasonalty and Pre/Post Index Futures Tradng Modfed GARCH Model Framework To determne the mpact of the ntroducton of (and, hence, tradng n) an aggregate stock market futures contract on the daly returns seasonalty of the underlyng ndex, the basc model as specfed above, requres modfcaton. Specfcally, the day-of-theweek dummy varables of Equatons (1) and (2) may be splt nto a pre-futures tradng perod and a post-futures tradng perod. Thus, each dummy varable n the pre-tradng era D ( = PreMon and PreODW) wll take on a value of unty on the day(s)-of-theweek to whch t s assgned and zero otherwse. In the post-tradng perod however, they wll take on a value of zero regardless. The converse case s 9 Our focus n ths specfcaton of the varance equaton s on the ntercept term. In prncple, the ARCH and GARCH terms can also be allowed to vary accordng to daly seasonalty, however the nterpretaton of any changes found s not straghtforward. Furthermore, we encountered consderable computaton problems when extendng the specfcaton of our model to allow for such shfts n the ARCH and GARCH terms ndeed the model typcally faled to converge n these cases. Interestngly, n the few cases n whch versons of these models dd successfully estmate, the ARCH and GARCH parameters seemed remarkably smlar clearly unable to reject basc tests of equalty. Accordngly, we feel justfed holdng these parameters constant over the full sample perod. 9
10 true for day-of-the-week dummy varables assgned to the post-tradng regme, D ( = and PostODW). Accordngly, the fully specfed mean and varance equatons become: Pr eodw PostODW Pr eodw PostODW = t D D D R t 1 R D R t (3) h t Pr eodw PostODW 2 0D 0D 1 1h (4) = In ths specfcaton, all coeffcents wth a PreMon () subscrpt measure the Monday value for that feature n the pre-futures (post-futures) perod. For example, ϕ PreMon measures the mean Monday return n the pre-futures perod. Smlarly, all coeffcents wth a PreODW (PostODW) subscrpt measure the other days of the week value for that feature n the pre-futures (post-futures) perod. For example, ϕ PostODW measures the mean return for all other days (namely, Tuesday, Wednesday, Thursday and Frday) n the post-futures perod. Furthermore, as was the case for the basc model represented by Equatons (1) and (2), for Australa and Japan, the role of the Monday dummy n the above specfcaton s supplanted by a Tuesday dummy (D Tue ) and the ODW dummy captures Monday, Wednesday, Thursday and Frday. C. Test of Man Hypotheses: Daly Seasonalty Effects C.1 Daly Seasonalty Effects n the Mean Return Followng Kamara (1997), our prmary tests relate to the basc seasonal effect that s, for Span, Germany, Swtzerland, the UK and the US; we perform a test of whether Monday returns are sgnfcantly lower than the average return on other weekdays. The analogous test of whether Tuesday returns are sgnfcantly lower than the average return on other weekdays s applcable for Australa and Japan. Hence, n the pretradng case the test s formalzed as (note that the Tuesday verson of the hypothess s presented n parentheses to avod confuson): 10
11 H1: ϕ PreMon = ϕ PreODW (H1: ϕ PreTue = ϕ PreODW ) Smlarly, the post-tradng counterpart of the above test may be specfed as: H2: ϕ = ϕ PostODW (H2: ϕ PostTue = ϕ PostODW ) C.2 Daly Seasonalty Effects n the Return Autocorrelaton 10 An analogous set of hypothess tests s performed for the return autocorrelatons, followng Bessembnder and Hertzel (1993). That s, n the case of Span; Germany; Swtzerland; the UK; and the US (Australa and Japan n parentheses) the hypothess tested n the pre-tradng perod s: H3: λ PreMon = λ PreODW (H3: λ PreTue = λ PreODW ) Smlarly, the counterpart autocorrelaton hypotheses for the post-tradng perod are: H4: λ = λ PostODW (H4: λ PostTue = λ PostODW ) C.3 Daly Seasonalty Effects n the Return Volatlty Followng Fama (1965); Gbbons and Hess (1981) and Agrawal and Tandon (1994) whch dentfes a seasonal effect n varances, an analogous set of tests s performed for the varance equaton ntercepts. Specfcally, for the pre-tradng perod we have: H5: α 0PreMon = α 0PreODW (H5: α 0PreTue = α 0PreODW ) Whle for the post-tradng perod we have: H6: α 0 = α 0PostODW (H6: α 0PostTue = α 0PostODW ) 10 We thank an anonymous referee for suggestng the modelng of seasonalty n the autocorrelatons. 11
12 D. Tests of Supplementary Day of the Week Hypotheses In addton to the hypotheses outlned above, some further tests can be performed on a varaton of the model represented by Equatons (3) and (4) n whch ndvdual day of the week dummes are ncorporated. Thus, we defne fve separate day-of-the-week dummy varables n the pre-tradng era (PreMon, PreTue, PreWed, PreThu, PreFr) whch each take on a value of unty on the day-of-the-week to whch they are assgned and zero otherwse. In the post-tradng perod however, they take on a value of zero regardless. The converse case s true for day-of-the-week dummy varables assgned to the post-tradng regme, (, PostTue, PostWed, PostThu, PostFr). Accordngly, the fully specfed mean and varance equatons n ths case become: Pr efr PostFr Pr efr PostFr = t D D DR t 1 R D R t (5) h t Pr efr PostFr 2 0D 0D 1 1h (6) = Ths specfcaton allows us to compare the pre-tradng and post-tradng day-of-theweek effects by testng some null hypotheses framed n terms of equalty restrctons. 11 Specfcally, n the pre-tradng (post-tradng) perod we consder whether the jont hypothess of equalty of the day-of-the-week mpacts has any emprcal support. In the case of the mean returns ths s formalzed as: H7: ϕ PreMon = ϕ PreTue = ϕ PreWed = ϕ PreThu = ϕ PreFr and H8: ϕ = ϕ PostTue = ϕ PostWed = ϕ PostThu = ϕ PostFr Smlarly, n the case of the return autocorrelatons we may test: 12
13 H9: λ PreMon = λ PreTue = λ PreWed = λ PreThu = λ PreFr and H10: λ = λ PostTue = λ PostWed = λ PostThu = λ PostFr Fnally, n the case of the varance equaton we have a smlar par of tests relatng to the pre-tradng and post-tradng perods, respectvely: 12 H11: α 0PreMon = α 0PreTue = α 0PreWed = α 0PreThu = α 0PreFr and H12: α 0 = α 0PostTue = α 0PostWed = α 0PostThu = α 0PostFr III. RESULTS A. Data In the current paper, the mpact of the ntroducton of stock ndex futures tradng on seven natonal stock market ndces s nvestgated. Specfcally, the markets analysed are Australa; Span; Germany; Japan; Swtzerland; the UK and the US. Daly stock market ndex data were collected from the Datastream database from the earlest avalable date to the end of January The longest sample perod nvolved the US S&P 500 ndex for whch the ntal observaton occurs n January Accumulated ndexes were chosen for analyss except for Japan, Swtzerland and the US for these countres a prce ndex seres was employed to allow a longer perod to be analyzed. 14 Detals of the stock ndexes used, the date on whch the futures contracts began tradng as well as the begnnng of each sample perod are presented n Table Estmaton results of the model represented by Equatons (5) and (6) wll not be reported only the outcome of the hypotheses outlned n ths secton wll be reported to conserve space. The full set of estmaton results s avalable from the authors upon request. 12 A seres of further hypotheses were tested wth regard to the equalty of ndvdual day of the week measures (mean, autocorrelaton and volatlty) n the pre- and post-futures tradng perod. These results do not greatly enhance those dscussed n the text and, hence, are not reported n order to conserve space. 13 As s common n studes that model condtonal heteroskedastcty, we use long sample perods [for example, see Jones, Lamont and Lumsdane (1998, p. 319)]. 14 In the case of the countres n whch both prce and accumulaton are avalable, we checked the senstvty of our results, wth regard to whether the type of ndex matters. Whle not reported here, we fnd that the basc thrust of our conclusons s robust to ths varaton n data. The detals are avalable from the authors upon request. 13
14 [TABLE 1 ABOUT HERE] The returns for each ndex were estmated as the log prce relatve and some basc descrptve statstcs are reported n Table 2. It can be seen that the average daly returns vary between 0.015% for Japan (captal returns only) to 0.064% for Span. Further, whle all market returns reveal some degree of negatve skewness, as expected n daly data there s strong evdence of leptokurtoss, partcularly for Australa and the US. [TABLE 2 ABOUT HERE] B. Daly Seasonalty and the Pre/Post Index Futures Tradng Modfed GARCH Model: Mean Equaton Results The modfed GARCH (1,1) model represented by Equatons (3) and (4) was ftted to the stock market ndex returns data for each of the seven countres n our sample and the mean equaton results are presented n Table Accordng to Panel A of the table, wth respect to the pre-tradng perod, as expected (gven the exstng lterature), a Tuesday effect s n evdence n both Australa and Japan. Specfcally, we see that the Tuesday mean return s negatve and lower than the mean return of all other days for these two cases. Of the remanng countres, Germany, Swtzerland, and the US reveal a Monday effect that s, a sgnfcant negatve return (at the 5 % level) on Monday that s lower than the mean return for all other days of the week. Further, the UK reveals a sgnfcantly negatve mean Monday return at the 10 % level. In addton, t can be seen that durng the pre-tradng perod, average returns on all other days of the week are postve and hghly sgnfcant n all cases (except Span). Ths agan s generally consstent wth prevous evdence documentng daly seasonalty across nternatonal markets [see for example, Dubos and Louvet (1996)]. 15 It should be noted, consstent wth the arguments of Nelson (1990a, 1990b) and others, that the thrust of our mean equaton results s robust to the specfcaton of the varance equaton. Indeed, the conclusons we draw based on the mean equaton results are vald even (a) n the case where the varance equaton contans no daly seasonal dummy varables and (b) n the case where the varance equaton s omtted altogether. Further detals are avalable from the authors upon request. 14
15 [TABLE 3 ABOUT HERE] The post-futures tradng perod average day-of the-week returns are also reported n Panel A of Table 3. The most notable fndng here s that the sgnfcant negatve Monday and Tuesday returns documented n the pre-tradng perod analyss have dsappeared. Specfcally, consstent wth the fndngs of Dubos and Louvet (1996); Kamara (1997) and Hrak et al. (1998); the US Monday effect and the Japanese Tuesday effect, respectvely, are no longer n evdence. In the case of the US the average pre-tradng Monday return was 0.18 % (wth a t-statstc of 5.80), compared to ts average post-tradng perod counterpart of 0.03 % (wth a t-statstc of 1.35). Smlarly, for Japan the average pre-tradng Tuesday return was 0.08 % (wth a t-statstc of 2.90), compared to ts average post-tradng perod counterpart of 0.09 % (wth a t-statstc of 2.45). Interestngly, the unreported estmaton results for Equatons (5) and (6) whch allow ndvdual estmates of each day of the week separately, reveals that the average pre-tradng perod Monday return s 0.14 % (wth a t-statstc of 3.03), compared to ts post-tradng perod counterpart of 0.03 %. Ths supports the suggeston of Hrak et al. (1998), that the Tuesday effect n Japan has changed to a Monday effect n the post-tradng perod. Thus, the exstng fndngs n the lterature [Kamara (1997) and Hrak et al. (1998)] are strongly confrmed n the context of our more general expermental desgn based on a modfed GARCH model framework. Our fndngs however, extend much further than smply confrmng known outcomes for the US and Japanese markets. Specfcally, we fnd that a smlar dsappearance of the daly seasonal effect n mean returns s n evdence for Australa (where the prevously documented Tuesday effect s now absent n the post-tradng perod analyss); and for Germany, the UK and Swtzerland (where the prevously documented Monday effect s now absent n the post-tradng perod). For example, n the case of Germany the average pre-tradng Monday return was 0.12 % (wth a t- statstc of 4.07), compared to ts average post-tradng perod counterpart of % (wth a t-statstc of 0.50). Fnally, as was the case for the pre-tradng perod, t s evdent that average other day of the week returns for the post-tradng perod are postve and sgnfcant across all countres. 15
16 Evdence as to the seasonalty of return autocorrelaton s presented n Panel B of Table 3 and several major features are evdent. Frst, across the fve relevant countres there s a hgh and postve return autocorrelaton between Monday equty returns and those of the pror tradng day. For example, n the case of Span the pretradng perod Monday coeffcent s as compared to a value of for all other days n the pre-tradng perod. Ths s consstent wth the fndngs of Bessembnder and Hertzel (1993) who examned US equty and futures markets data. Second, the fndng of daly seasonalty n return autocorrelatons dscussed above, s also evdent n the post-tradng perod across these fve countres, although to a lesser extent than for the pre-tradng perod. For example, reconsder Span n the post-tradng perod n whch the Monday autocorrelaton coeffcent has fallen to as compared to a value of for all other days n the post-tradng perod. Thrd, n the case of Japan and Australa, there s a tendency for the return autocorrelaton to be low between Tuesday equty returns and those for the pror tradng day n both the pre-tradng and post-tradng perods. For example, n the case of Japan n the pre-tradng perod, the Tuesday return autocorrelaton s as compared to a value of for the counterpart all other days case. Ths fndng s also consstent wth the Bessembnder and Hertzel (1993) results. In summary, n terms of the estmated return autocorrelatons reported n Table 3, whle daly seasonalty s generally observed, there s not a strong pattern ndcatng any partcular effect assocated wth the ntroducton of futures tradng n ndex futures contracts. C. Daly Seasonalty and the Pre/Post Index Futures Tradng Modfed GARCH Model: Varance Equaton Results Table 4 presents the estmated coeffcents for the GARCH model varance equaton [Equaton (4)]. It can be seen from the table that the ARCH and GARCH terms are all postve, statstcally sgnfcant and sum to be less than unty, whch ndcates that shocks to the model are not permanent. Wth regard to both the pre-tradng and posttradng perods the predomnant pattern revealed n ths set of results s that the Monday volatlty coeffcents (for Span, Germany, Swtzerland, the UK and the US) are all sgnfcantly postve and predomnantly larger n magntude compared to ther 16
17 other day of the week (ODW) counterparts. Ths suggests that the volatlty mpact on all other days of the week s lower than the Monday volatlty a form of daly seasonalty n return volatlty that s consstent wth the prevous lterature [see, for example, Agrawal and Tandon (1994)]. Interestngly, for the two markets (Australa and Japan) n whch Tuesday s solated from other days of the week, the reverse volatlty effect s apparent. That s, n these markets the pont estmate of the volatlty mpact tends to be larger n the all other days case relatve to Tuesday. [TABLE 4 ABOUT HERE] D. An Extended Analyss of the US Case Followng Kamara (1997) we extend the analyss of the US market to ncorporate two pre-tradng subperods. Specfcally, May 1, 1975 s dentfed as a potental pont for a structural break relatng to the move from non-negotable to compettve commssons on the NYSE. To the extent that the exstence of the daly seasonal relates to transacton costs, reduced brokerage costs n ths post-nonnegotable commssons perod would suggest a greater ablty of traders to arbtrage any Monday seasonal. Hence, we have three subperods (broken at May 1, 1975 and Aprl 21, 1982) and Kamara (1997) argues (and fnds) that as we move through these subperods, we expect to observe a weakenng of the Monday seasonal. Accordngly, the three subperods are: (a) the non-negotable commssons perod coverng the nterval January 1969 to Aprl 30, 1975 ( Pre1 ); (b) the postnonnegotable commssons perod coverng the nterval May 1, 1975 to Aprl 20, 1982 ( Pre2 ); and (c) the post-s&p 500 futures perod coverng the nterval Aprl 21, 1982 to 31 January, 1999 ( Post ). The outcome of ths extended analyss n the context of our modfed GARCH model s reported n Table 5. The table s parttoned nto three panels Panel A reports the estmaton results for the mean returns, Panel B reports the return autocorrelaton estmates, whle Panel C reports the estmated coeffcents for the varance equaton. [TABLE 5 ABOUT HERE] 17
18 In Panel A we observe that the average Monday return n the non-negotable commssons perod of 0.25 % (wth a t-statstc of -6.23) s sgnfcant, negatve and lower than the average returns recorded for all other days of the week n that perod. In the second pre-futures tradng subperod ( post-nonnegotable commssons ), the average Monday return of 0.09 % s sgnfcant, negatve and estmated to be lower than the average return for all other days of the week. Further, n the thrd subperod (whch heralds post-futures tradng actvty), the average Monday return (0.03 %) s now postve (although nsgnfcant) and s no longer the lowest across all days of the week (n unreported results the average Thursday return s now lowest). Hence, ths fndng of a general weakenng n the Monday effect over tme strongly confrms the analyss of Kamara (1997) n the more comprehensve settng of the GARCH framework employed n the current paper. Ths confrmaton s mportant as t serves to show that the Kamara (1997) results have not been nduced by neglectng to model tme-varyng volatlty effects n the data or by the omsson of the dynamcs captured by return autocorrelatons n the mean equaton. Panel B of Table 5 reports the outcome for the return autocorrelatons. As was the case above there s a strong tendency for the autocorrelaton to be hgh and postve between Monday and the prevous tradng day equty returns. Whle ths feature appears to have weakened over tme, the post-tradng perod n the US stll reveals a relatvely hgh return autocorrelaton for the Monday case (0.2242) as compared to all other days of the week (0.0012). Perhaps even more mportantly, the modfed GARCH framework permts us to detect whether there s some sort of related daly seasonal effect n the volatlty equaton. Accordngly, we now turn our attenton to Panel C of Table 5. Smlar to the precedng analyss, we observe that the estmated Monday volatlty coeffcent n the frst pre-tradng perod (Pre1Mon) s hgher than the estmated average volatlty n all other cases wth the excepton of the Monday volatlty coeffcent n the second pretradng perod (Pre2Mon). A Wald test of equalty between the Pre1Mon and Pre2Mon volatlty coeffcents produces a p-value of whch suggests that these two coeffcents are statstcally ndstngushable from each other. In sum, the precedng analyss of mean and volatlty suggests a paradox - hgher average returns tend to be assocated wth lower return volatlty. The declne n volatlty may smply reflect a declne n nose however, both of whch could be 18
19 consstent wth an mprovement n effcency. Furthermore, unless nformaton arrval vares by day of the week, a seasonal n volatlty may reflect a seasonal n nose (especally for the Tuesday seasonal snce t does not follow the non-tradng weekend). Moreover, even f nformaton arrval s dfferent on Monday than on other weekdays, unless ths has changed by the ntroducton of futures, a change n the volatlty seasonal followng futures ncepton may reflect a change n the seasonal n nose. 16 E. Tests of Man Hypotheses Daly Seasonal Effects: Mean Equaton Results The above analyss ndcates that a certan degree of varaton s observed when comparng daly seasonalty n the mean and varance equaton n pre-tradng and post-tradng (of share ndex futures) subperods. To further nvestgate the statstcal sgnfcance of these seasonaltes, we nvestgate our man set of hypotheses as outlned n Secton II C, by applyng a seres of Wald tests. Specfcally, for (a) mean returns; (b) return autocorrelatons; and (c) return volatltes; we formally test whether Monday (Tuesday) values are statstcally dfferent from the average values on all other days. The results are presented n Panels A, B and C of Table 6, respectvely. The frst set of analyss presented n ths table conssts of testng the basc seasonalty hypothess as appled to the mean returns case. Ths s represented by Hypotheses H1 and H2 outlned prevously. H1: ϕ PreMon = ϕ PreODW represents the null hypothess that average pre-tradng perod Monday returns equal the average return on other pre-tradng perod weekdays. The alternatve hypothess of nterest here s whether average Monday returns are sgnfcantly lower than the average return on other weekdays. As revealed n Panel A of Table 6, the Monday verson of hypothess H1 s resoundngly rejected for all countres although note that Span presents a perverse case snce the average Monday return s sgnfcantly postve (refer back to Table 3). Lkewse, H1: ϕ PreTue = ϕ PreODW the Tuesday counterpart for the pre-tradng perod s strongly rejected for both countres nvolved Australa and Japan. Interestngly, when we consder the post-tradng versons of these two tests we fnd 16 The authors are most grateful to an anonymous referee for suggestng ths nterpretaton. 19
20 only Australa (H2: ϕ PostTue = ϕ PostODW ); and Span and the UK (H2: ϕ = ϕ PostODW ) provde a rejecton of the relevant hypothess. Notably, n each case the rejecton s much less convncng than that found for each pre-tradng perod counterpart. [TABLE 6 ABOUT HERE] Overall, the results dscussed thus far suggest that the ntroducton of share ndex futures has at least concded wth a general change n the daly seasonalty n mean returns. Moreover, our evdence largely confrms the fndngs of Kamara (1997) and Hrak et al. (1998) for the US and Japanese markets, and mportantly suggests smlar effects have occurred n other markets such as Germany, Swtzerland and the UK. Further analyss conssts of testng the basc seasonalty hypothess as appled to the return autocorrelatons case. Ths s represented by Hypotheses H3 and H4 outlned prevously and the results are shown n Panel B of Table 6. For H3: λ PreMon = λ PreODW, n all cases except the UK ths hypothess s rejected. Ths therefore supports the earler concluson that the Monday autocorrelaton s sgnfcantly hgher than ts counterpart taken for all other days durng the pre-tradng perod. In the case of Australa and Japan, H3: λ PreTue = λ PreODW shows rejecton only for Japan n ths case drven by a lower Tuesday return autocorrelaton. Furthermore, the counterpart autocorrelaton hypotheses for the post-tradng perod (H4: λ = λ PostODW and λ PostTue = λ PostODW ) reveal smlarly strong rejectons. Generally, these fndngs confrm the belef that the ntroducton of futures tradng has not been assocated wth any major change to the return dynamcs as reflected by daly seasonalty n return autocorrelatons. F. Tests of Man Hypotheses Daly Seasonal Effects: Varance Equaton Results Panel C of Table 6 presents the outcome of the set of Wald tests of the analogous seasonalty hypothess n the varance equaton. Ths s represented by Hypotheses H5 and H6 outlned prevously. Generally, t can be seen n the table that the basc 20
21 seasonalty hypothess for volatlty only fals to be rejected twce out of 14 occasons. Of note s the case of Australa n whch the daly seasonal n volatlty, whle beng strong n the post-tradng perod, was non-exstent n the pre-tradng perod. However, the US reveals the opposte change namely, an extremely strong rejecton of the man volatlty seasonal hypothess n the pre-tradng perod, has become starkly nsgnfcant n the post-tradng perod. Ths latter fndng s consstent wth the earler extended analyss reported for the US. Gven that the volatlty equalty hypothess s only rejected for Australa and the US and then n opposng ways, suggests that ths s unlkely to be drven by the ntroducton of ndex futures tradng. A more plausble concluson relates to nose, as outlned earler. G. Tests of Supplementary Day of the Week Hypotheses Fnally, for (a) mean returns; (b) return autocorrelatons; and (c) return volatltes; we perform an addtonal set of jont tests as outlned n Secton II D namely, the jont equalty of (a) the fve pre-tradng perod day-of-the-week coeffcents and (b) the fve post-tradng perod day-of-the-week coeffcents, for each country. These tests are conducted n the context of the expanded verson of the model outlned n Equatons (5) and (6) earler and the results are reported n Table 7. [TABLE 7 ABOUT HERE] Consultng Panel A of the table wth respect to the mean returns verson of ths hypothess n the pre-tradng perod (H7), except n the case of Span, the day-of-theweek coeffcents are statstcally dfferent from each other. Wth regard to the counterpart jont tests appled to the post-tradng perod (H8), only Australa, Japan and the UK reject the null hypothess. However, n the case of Japan and the UK the strength of the rejecton s much weaker n the post-tradng perod (partcularly for Japan). Whle these results vary slghtly from the man tests reported above, they confrm that n the case of Germany, Swtzerland and the US, a sgnfcant change n the day of the week effect n mean returns concded wth the ntroducton of ndex futures contracts. 21
22 Panel B of Table 7 reveals the outcome of the supplementary equalty tests appled to the return autocorrelatons. Specfcally, t can be seen that n the pretradng perod (H9) all countres (wth the excepton of Australa) reject the equalty of day of the week return autocorrelatons coeffcents. In the post-tradng perod (H10) t s Germany that presents the only case of a non-rejecton of ths hypothess. These outcomes are largely consstent wth the results of the man hypothess testng reported n the prevous table. Fnally, Panel C of Table 7 reports the results for testng the equalty hypothess as appled to the day of the week volatltes. In both the pre-tradng perod (H11) and the post-tradng perod (H12) an overwhelmng rejecton of the equalty hypothess s revealed. Generally, the outcome of the secondary tests reported n ths subsecton renforce the earler concluson that whle ndex futures tradng has concded wth a change n the mean return daly seasonalty, smlar changes n ether the return autocorrelaton or volatlty seasonalty have not been evdent. 22
23 IV. CONCLUSION The tradng of futures contracts often has an mpact on the underlyng asset on whch ts value s based. In ths paper, the potental mpact of the ntroducton of stock ndex futures on the daly seasonalty of the underlyng share ndex was examned for a group of seven countres Australa, Germany, Japan, Span, Swtzerland, the UK and the US. Ths daly seasonalty testng s performed wth respect to (a) mean returns; (b) return autocorrelatons; and (c) return volatltes. Each country s ndex return s modeled usng a GARCH model augmented by day-of-the-week dummy varables n both the mean and varance equaton. A varety of Wald tests were performed to assess whether the daly seasonalty n the pre-futures tradng perod was dfferent to that of the post-futures tradng perod. In ths paper two major contrbutons to the exstng lterature are made. Frst, the use of a GARCH model allows us to provde new nsghts as we may smultaneously consder the mpact of stock ndex futures tradng on daly returns seasonalty n both the mean and volatlty dmensons. Second, we present a unfed package of evdence spannng a number of natonal boundares that wll help to counter the concern of a data snoopng bas. Exstng evdence pertanng to ths general area s currently only avalable for two markets, namely, the US and Japan but then only n terms of mean return effects. Our nvestgaton extends the coverage to seven markets. Our major fndngs are as follows. In general, our results suggest that the ntroducton of futures tradng has been assocated wth reduced seasonalty of mean returns. Ths s partcularly the case wth regard to the general weakenng of the Monday effect n mean returns for the US; Germany; and Swtzerland, and to a lesser extent for the UK. Smlarly for Japan and to a lesser extent for Australa, the Tuesday effect n mean returns no longer s n evdence. Ths fndng supports the arguments presented by Kamara (1997) and Hrak et al. (1998) that, for example, futures tradng lowers transacton costs of traders who may be lookng to arbtrage any proftable opportuntes, ncludng daly seasonals. Furthermore, whle we detect daly seasonalty n return autocorrelatons and volatltes that s largely related to Monday and Tuesday observatons, ths seasonalty does not seem to be affected by the ntroducton of ndex futures contracts. Notably however, the general confrmaton 23
24 (across our sample of seven countres) of seasonalty n (a) return volatlty provdes an mportant nternatonal extenson of the fndngs of Fama (1965); Gbbons and Hess (1981) and Agrawal and Tandon (1994); and (b) return autocorrelatons, provdes an mportant nternatonal extenson of the fndngs of Bessembnder and Hertzel (1993). As such, our analyss suggests that a fndng of a weakenng n daly seasonals that concdes wth ndex futures ntroducton, s not as smple as frst thought. Whle we agree wth the concluson of Hrak et al. (1998, p. 505)...that return seasonalty n tself s a dynamc process and that prevously documented returns patterns are lkely to change whenever there s a major structural change n fnancal markets, our work suggests focusng solely on mean returns may only partally capture ths evoluton. That s, the nterplay between changes occurrng n the frst and second moments of returns presents addtonal challenges for emprcal researchers. Accordngly, we commend ths as a focus for future research n ths area. 24
25 REFERENCES Antonou, A. and Holmes, P., (1995), Futures Tradng, Informaton and Spot Prce Volatlty: Evdence for the FTSE-100 Stock Index Futures Contract Usng GARCH, Journal of Bankng and Fnance, Vol. 19, pp Antonou, A., Holmes, P. and Prestley, R., (1998), The Effects of Stock Index Futures Tradng on Stock Index Volatlty: An Analyss of the Asymmetrc Response of Volatlty to News, Journal of Futures Markets, Vol. 18, pp Ardtt, F. and John, K., (1980), Spannng the State Space wth Optons, Journal of Fnancal and Quanttatve Analyss, Vol. 15, pp Agrawal, A. and Tandon, K., (1994), Anomales or Illusons? Evdence from Stock Markets n Eghteen Countres, Journal of Internatonal Money and Fnance, Vol. 13, pp Bachller, A., Blasco, N. and Espta, M., (1998), The Day of the Week Effect n Span: , Internatonal Journal of Fnance, Vol. 10, pp Bessembnder, H. and Hertzel, M., (1993), Return Autocorrelatons around Nontradng Days, Revew of Fnancal Studes, Vol. 6, pp Bessembnder, H. and Segun, P., (1992), Futures-Tradng Actvty and Stock Prce Volatlty, Journal of Fnance, Vol. 47, pp Bollerslev, T., (1986), Generalzed Autoregressve Condtonal Heteroskedastcty, Journal of Econometrcs, Vol. 31, pp Breeden, D. and Ltzenberger, R., (1978), Prces of State-Contngent Clams Implct n Opton Prces, Journal of Busness, Vol. 51, pp Chang, E., Pnegar, M. and Ravchandran, R., (1993), Internatonal Evdence on the Robustness of the Day-of-the-Week Effect, Journal of Fnancal and Quanttatve Analyss, Vol. 28, pp Clare, A., Prestley, R. and Thomas, S., (1998), Reports of Beta s Death are Premature: Evdence from the UK, Journal of Bankng and Fnance, Vol. 22, pp Connolly, R., (1989), An Examnaton of the Robustness of the Weekend Effect, Journal of Fnancal and Quanttatve Analyss, Vol. 24, pp Conrad, J., (1989), The Prce Effect of Opton Introducton, Journal of Fnance, Vol. 44, pp Cox, C., (1976), Futures Tradng and Market Informaton, Journal of Poltcal Economy, Vol. 84, pp
26 Coutts, A. and P. Hayes, (1999), The Weekend Effect, the Stock Exchange Account and the Fnancal Tmes Industral Ordnary Shares Index: , Appled Fnancal Economcs, Vol. 9, pp Cross, F., (1973), The Behavor of Stock Prces on Frdays and Mondays, Fnancal Analysts Journal, Vol. 29, pp Damodaran, A., (1990), Index Futures and Stock Market Volatlty, Revew of Futures Markets, Vol. 9, pp. Damodaran, A. and Lm, J., (1991), The Effects of Opton Lstng on the Underlyng Stocks Return Process, Journal of Bankng and Fnance, Vol. 15, pp Dubos, M. and Louvet, P., (1996), The Day-of-the-Week Effect: The Internatonal Evdence, Journal of Bankng and Fnance, Vol. 20, pp Easton, S. and Faff, R., (1994), An Examnaton of the Robustness of the Day-of-the- Week Effect n Australa, Appled Fnancal Economcs, Vol. 4, pp Edwards, F., (1988a), Futures Tradng and Cash Market Volatlty: Stock Index and Interest Rate Futures, Journal of Futures Markets, Vol. 8, pp Edwards, F., (1988b), Does Futures Tradng Increase Stock Market Volatlty?, Fnancal Analysts Journal, Vol. 44, pp Fama, E., (1965), The Behavor of Stock Market Prces, Journal of Busness, Vol. 38, pp Fglewsk, S., (1981), Futures Tradng and Volatlty n the GNMA Market, Journal of Fnance, Vol. 36, pp French, K., (1980), Stock Returns and the Weekend Effect, Journal of Fnancal Economcs, Vol. 8, pp Gbbons, M. and Hess, P., (1981), Day of the Week Effects and Asset Returns, Journal of Busness, Vol. 54, pp Hakansson, N., (1978), Welfare Aspects of Optons and Supershares, Journal of Fnance, Vol. 33, pp Harrs, L., (1989), S&P 500 Cash Stock Prce Volatltes, Journal of Fnance, Vol. 44, pp Hggns, E. and Peterson, D., (1999), Day-of the-week Autocorrelatons, Cross- Autocorrelatons, and the Weekend Phenomenon, Fnancal Revew, Vol. 34, pp
Can Auto Liability Insurance Purchases Signal Risk Attitude?
Internatonal Journal of Busness and Economcs, 2011, Vol. 10, No. 2, 159-164 Can Auto Lablty Insurance Purchases Sgnal Rsk Atttude? Chu-Shu L Department of Internatonal Busness, Asa Unversty, Tawan Sheng-Chang
More informationAn Alternative Way to Measure Private Equity Performance
An Alternatve Way to Measure Prvate Equty Performance Peter Todd Parlux Investment Technology LLC Summary Internal Rate of Return (IRR) s probably the most common way to measure the performance of prvate
More informationWorld currency options market efficiency
Arful Hoque (Australa) World optons market effcency Abstract The World Currency Optons (WCO) maket began tradng n July 2007 on the Phladelpha Stock Exchange (PHLX) wth the new features. These optons are
More informationDay-of-the-Week Trading Patterns of Individual and Institutional Investors
Day-of-the-Week Tradng Patterns of Indvdual and Instutonal Investors Joel N. Morse, Hoang Nguyen, and Hao M. Quach Ths study examnes the day-of-the-week tradng patterns of ndvdual and nstutonal nvestors.
More informationThe impact of hard discount control mechanism on the discount volatility of UK closed-end funds
Investment Management and Fnancal Innovatons, Volume 10, Issue 3, 2013 Ahmed F. Salhn (Egypt) The mpact of hard dscount control mechansm on the dscount volatlty of UK closed-end funds Abstract The mpact
More informationHOUSEHOLDS DEBT BURDEN: AN ANALYSIS BASED ON MICROECONOMIC DATA*
HOUSEHOLDS DEBT BURDEN: AN ANALYSIS BASED ON MICROECONOMIC DATA* Luísa Farnha** 1. INTRODUCTION The rapd growth n Portuguese households ndebtedness n the past few years ncreased the concerns that debt
More informationHow To Calculate The Accountng Perod Of Nequalty
Inequalty and The Accountng Perod Quentn Wodon and Shlomo Ytzha World Ban and Hebrew Unversty September Abstract Income nequalty typcally declnes wth the length of tme taen nto account for measurement.
More informationGender differences in revealed risk taking: evidence from mutual fund investors
Economcs Letters 76 (2002) 151 158 www.elsever.com/ locate/ econbase Gender dfferences n revealed rsk takng: evdence from mutual fund nvestors a b c, * Peggy D. Dwyer, James H. Glkeson, John A. Lst a Unversty
More informationScale Dependence of Overconfidence in Stock Market Volatility Forecasts
Scale Dependence of Overconfdence n Stoc Maret Volatlty Forecasts Marus Glaser, Thomas Langer, Jens Reynders, Martn Weber* June 7, 007 Abstract In ths study, we analyze whether volatlty forecasts (judgmental
More informationThe Investor Recognition Hypothesis:
The Investor Recognton Hypothess: the New Zealand Penny Stocks Danel JP Cha, Department of Accountng and Fnance, onash Unversty, Clayton 3168, elbourne, Australa, and Danel FS Cho, Department of Fnance,
More informationAnalysis of Premium Liabilities for Australian Lines of Business
Summary of Analyss of Premum Labltes for Australan Lnes of Busness Emly Tao Honours Research Paper, The Unversty of Melbourne Emly Tao Acknowledgements I am grateful to the Australan Prudental Regulaton
More informationTwo Faces of Intra-Industry Information Transfers: Evidence from Management Earnings and Revenue Forecasts
Two Faces of Intra-Industry Informaton Transfers: Evdence from Management Earnngs and Revenue Forecasts Yongtae Km Leavey School of Busness Santa Clara Unversty Santa Clara, CA 95053-0380 TEL: (408) 554-4667,
More informationbenefit is 2, paid if the policyholder dies within the year, and probability of death within the year is ).
REVIEW OF RISK MANAGEMENT CONCEPTS LOSS DISTRIBUTIONS AND INSURANCE Loss and nsurance: When someone s subject to the rsk of ncurrng a fnancal loss, the loss s generally modeled usng a random varable or
More informationCalendar Corrected Chaotic Forecast of Financial Time Series
INTERNATIONAL JOURNAL OF BUSINESS, 11(4), 2006 ISSN: 1083 4346 Calendar Corrected Chaotc Forecast of Fnancal Tme Seres Alexandros Leonttss a and Costas Sropoulos b a Center for Research and Applcatons
More informationMacro Factors and Volatility of Treasury Bond Returns
Macro Factors and Volatlty of Treasury Bond Returns Jngzh Huang Department of Fnance Smeal Colleage of Busness Pennsylvana State Unversty Unversty Park, PA 16802, U.S.A. Le Lu School of Fnance Shangha
More informationSTAMP DUTY ON SHARES AND ITS EFFECT ON SHARE PRICES
STAMP UTY ON SHARES AN ITS EFFECT ON SHARE PRICES Steve Bond Mke Hawkns Alexander Klemm THE INSTITUTE FOR FISCAL STUIES WP04/11 STAMP UTY ON SHARES AN ITS EFFECT ON SHARE PRICES Steve Bond (IFS and Unversty
More informationTHE IMPLIED VOLATILITY OF ETF AND INDEX OPTIONS
The Internatonal Journal of Busness and Fnance Research Volume 5 Number 4 2011 THE IMPLIED VOLATILITY OF ETF AND INDEX OPTIONS Stoyu I. Ivanov, San Jose State Unversty Jeff Whtworth, Unversty of Houston-Clear
More informationForecasting the Direction and Strength of Stock Market Movement
Forecastng the Drecton and Strength of Stock Market Movement Jngwe Chen Mng Chen Nan Ye cjngwe@stanford.edu mchen5@stanford.edu nanye@stanford.edu Abstract - Stock market s one of the most complcated systems
More informationThe Short-term and Long-term Market
A Presentaton on Market Effcences to Northfeld Informaton Servces Annual Conference he Short-term and Long-term Market Effcences en Post Offce Square Boston, MA 0209 www.acadan-asset.com Charles H. Wang,
More informationDO LOSS FIRMS MANAGE EARNINGS AROUND SEASONED EQUITY OFFERINGS?
DO LOSS FIRMS MANAGE EARNINGS AROUND SEASONED EQUITY OFFERINGS? Fernando Comran, Unversty of San Francsco, School of Management, 2130 Fulton Street, CA 94117, Unted States, fcomran@usfca.edu Tatana Fedyk,
More informationManagement Quality, Financial and Investment Policies, and. Asymmetric Information
Management Qualty, Fnancal and Investment Polces, and Asymmetrc Informaton Thomas J. Chemmanur * Imants Paegls ** and Karen Smonyan *** Current verson: December 2007 * Professor of Fnance, Carroll School
More informationInternational Commodity Prices and the Australian Stock Market
Internatonal Commodty Prces and the Australan Stock Market Chrs Heaton, George Mlunovch and Anthony Passé-de Slva Abstract We propose a method for estmatng the earlest tme durng the tradng day when overnght
More informationIN THE UNITED STATES THIS REPORT IS AVAILABLE ONLY TO PERSONS WHO HAVE RECEIVED THE PROPER OPTION RISK DISCLOSURE DOCUMENTS.
http://mm.pmorgan.com European Equty Dervatves Strategy 4 May 005 N THE UNTED STATES THS REPORT S AVALABLE ONLY TO PERSONS WHO HAVE RECEVED THE PROPER OPTON RS DSCLOSURE DOCUMENTS. Correlaton Vehcles Technques
More informationManagement Quality and Equity Issue Characteristics: A Comparison of SEOs and IPOs
Management Qualty and Equty Issue Characterstcs: A Comparson of SEOs and IPOs Thomas J. Chemmanur * Imants Paegls ** and Karen Smonyan *** Current verson: November 2009 (Accepted, Fnancal Management, February
More informationThe Effects of Tax Rate Changes on Tax Bases and the Marginal Cost of Public Funds for Canadian Provincial Governments
The Effects of Tax Rate Changes on Tax Bases and the Margnal Cost of Publc Funds for Canadan Provncal Governments Bev Dahlby a and Ergete Ferede b a Department of Economcs, Unversty of Alberta, Edmonton,
More informationReturns to Experience in Mozambique: A Nonparametric Regression Approach
Returns to Experence n Mozambque: A Nonparametrc Regresson Approach Joel Muzma Conference Paper nº 27 Conferênca Inaugural do IESE Desafos para a nvestgação socal e económca em Moçambque 19 de Setembro
More informationSPECIALIZED DAY TRADING - A NEW VIEW ON AN OLD GAME
August 7 - August 12, 2006 n Baden-Baden, Germany SPECIALIZED DAY TRADING - A NEW VIEW ON AN OLD GAME Vladmr Šmovć 1, and Vladmr Šmovć 2, PhD 1 Faculty of Electrcal Engneerng and Computng, Unska 3, 10000
More informationStudent Performance in Online Quizzes as a Function of Time in Undergraduate Financial Management Courses
Student Performance n Onlne Quzzes as a Functon of Tme n Undergraduate Fnancal Management Courses Olver Schnusenberg The Unversty of North Florda ABSTRACT An nterestng research queston n lght of recent
More informationPRIVATE SCHOOL CHOICE: THE EFFECTS OF RELIGIOUS AFFILIATION AND PARTICIPATION
PRIVATE SCHOOL CHOICE: THE EFFECTS OF RELIIOUS AFFILIATION AND PARTICIPATION Danny Cohen-Zada Department of Economcs, Ben-uron Unversty, Beer-Sheva 84105, Israel Wllam Sander Department of Economcs, DePaul
More informationExchange Rate Uncertainty and International Portfolio Flows
196 Dscusson Papers Deutsches Insttut für Wrtschaftsforschung 13 Exchange Rate Uncertanty and Internatonal Portfolo Flows Guglelmo Mara Caporale, Faek Menla Al and Ncola Spagnolo Opnons expressed n ths
More information! # %& ( ) +,../ 0 1 2 3 4 0 4 # 5##&.6 7% 8 # 0 4 2 #...
! # %& ( ) +,../ 0 1 2 3 4 0 4 # 5##&.6 7% 8 # 0 4 2 #... 9 Sheffeld Economc Research Paper Seres SERP Number: 2011010 ISSN 1749-8368 Sarah Brown, Aurora Ortz-Núñez and Karl Taylor Educatonal loans and
More informationWORKING PAPER. C.D. Howe Institute. The Effects of Tax Rate Changes on Tax Bases and the Marginal Cost of Public Funds for Provincial Governments
MARCH 211 C.D. Howe Insttute WORKING PAPER FISCAL AND TAX COMPETITIVENESS The Effects of Tax Rate Changes on Tax Bases and the Margnal Cost of Publc Funds for Provncal Governments Bev Dahlby Ergete Ferede
More informationInstitute of Informatics, Faculty of Business and Management, Brno University of Technology,Czech Republic
Lagrange Multplers as Quanttatve Indcators n Economcs Ivan Mezník Insttute of Informatcs, Faculty of Busness and Management, Brno Unversty of TechnologCzech Republc Abstract The quanttatve role of Lagrange
More informationTourism and trade in OECD countries. A dynamic heterogeneous panel data analysis
Toursm and trade n OECD countres. A dynamc heterogeneous panel data analyss María Santana-Gallego a, Francsco Ledesma-Rodríguez a, Jorge V. Pérez-Rodríguez b* a Facultad de Cencas Económcas y Empresarales,
More informationThe Probability of Informed Trading and the Performance of Stock in an Order-Driven Market
Asa-Pacfc Journal of Fnancal Studes (2007) v36 n6 pp871-896 The Probablty of Informed Tradng and the Performance of Stock n an Order-Drven Market Ta Ma * Natonal Sun Yat-Sen Unversty, Tawan Mng-hua Hseh
More informationThe Development of Web Log Mining Based on Improve-K-Means Clustering Analysis
The Development of Web Log Mnng Based on Improve-K-Means Clusterng Analyss TngZhong Wang * College of Informaton Technology, Luoyang Normal Unversty, Luoyang, 471022, Chna wangtngzhong2@sna.cn Abstract.
More informationThe timing ability of hybrid funds of funds
The tmng ablty of hybrd funds of funds Javer Rodríguez* Graduate School of Busness Admnstraton Unversty of Puerto Rco PO 23332 San Juan, PR 00931 Abstract Hybrd mutual funds are funds that nvest n a combnaton
More informationThe Application of Fractional Brownian Motion in Option Pricing
Vol. 0, No. (05), pp. 73-8 http://dx.do.org/0.457/jmue.05.0..6 The Applcaton of Fractonal Brownan Moton n Opton Prcng Qng-xn Zhou School of Basc Scence,arbn Unversty of Commerce,arbn zhouqngxn98@6.com
More informationHARVARD John M. Olin Center for Law, Economics, and Business
HARVARD John M. Oln Center for Law, Economcs, and Busness ISSN 1045-6333 ASYMMETRIC INFORMATION AND LEARNING IN THE AUTOMOBILE INSURANCE MARKET Alma Cohen Dscusson Paper No. 371 6/2002 Harvard Law School
More informationOnline Appendix Supplemental Material for Market Microstructure Invariance: Empirical Hypotheses
Onlne Appendx Supplemental Materal for Market Mcrostructure Invarance: Emprcal Hypotheses Albert S. Kyle Unversty of Maryland akyle@rhsmth.umd.edu Anna A. Obzhaeva New Economc School aobzhaeva@nes.ru Table
More informationWORKING PAPER SERIES TAKING STOCK: MONETARY POLICY TRANSMISSION TO EQUITY MARKETS NO. 354 / MAY 2004. by Michael Ehrmann and Marcel Fratzscher
WORKING PAPER SERIES NO. 354 / MAY 2004 TAKING STOCK: MONETARY POLICY TRANSMISSION TO EQUITY MARKETS by Mchael Ehrmann and Marcel Fratzscher WORKING PAPER SERIES NO. 354 / MAY 2004 TAKING STOCK: MONETARY
More informationInformational Content of Option Trading on Acquirer Announcement Return * National Chengchi University. The University of Hong Kong.
Informatonal Content of Opton Tradng on Acqurer Announcement Return * Konan Chan a, b,, L Ge b,, and Tse-Chun Ln b, a Natonal Chengch Unversty b The Unversty of Hong Kong Aprl, 2012 Abstract Ths paper
More informationStaff Paper. Farm Savings Accounts: Examining Income Variability, Eligibility, and Benefits. Brent Gloy, Eddy LaDue, and Charles Cuykendall
SP 2005-02 August 2005 Staff Paper Department of Appled Economcs and Management Cornell Unversty, Ithaca, New York 14853-7801 USA Farm Savngs Accounts: Examnng Income Varablty, Elgblty, and Benefts Brent
More informationPSYCHOLOGICAL RESEARCH (PYC 304-C) Lecture 12
14 The Ch-squared dstrbuton PSYCHOLOGICAL RESEARCH (PYC 304-C) Lecture 1 If a normal varable X, havng mean µ and varance σ, s standardsed, the new varable Z has a mean 0 and varance 1. When ths standardsed
More informationMomentum Trading, Mean Reversal and Overreaction in Chinese Stock Market *
Momentum Tradng, Mean Reversal and Overreacton n Chnese Stock Market * YANGRU WU Rutgers Unversty and Hong Kong Insttute for Monetary Research December 2003 (Prelmnary, Comments Welcome) ABSTRACT Whle
More informationA Multistage Model of Loans and the Role of Relationships
A Multstage Model of Loans and the Role of Relatonshps Sugato Chakravarty, Purdue Unversty, and Tansel Ylmazer, Purdue Unversty Abstract The goal of ths paper s to further our understandng of how relatonshps
More informationThe Current Employment Statistics (CES) survey,
Busness Brths and Deaths Impact of busness brths and deaths n the payroll survey The CES probablty-based sample redesgn accounts for most busness brth employment through the mputaton of busness deaths,
More informationJournal of Empirical Finance
Journal of Emprcal Fnance 16 (2009) 126 135 Contents lsts avalable at ScenceDrect Journal of Emprcal Fnance journal homepage: www.elsever.com/locate/jempfn Costly trade, manageral myopa, and long-term
More informationIDENTIFICATION AND CORRECTION OF A COMMON ERROR IN GENERAL ANNUITY CALCULATIONS
IDENTIFICATION AND CORRECTION OF A COMMON ERROR IN GENERAL ANNUITY CALCULATIONS Chrs Deeley* Last revsed: September 22, 200 * Chrs Deeley s a Senor Lecturer n the School of Accountng, Charles Sturt Unversty,
More informationUnderstanding the Impact of Marketing Actions in Traditional Channels on the Internet: Evidence from a Large Scale Field Experiment
A research and educaton ntatve at the MT Sloan School of Management Understandng the mpact of Marketng Actons n Tradtonal Channels on the nternet: Evdence from a Large Scale Feld Experment Paper 216 Erc
More informationSection 5.4 Annuities, Present Value, and Amortization
Secton 5.4 Annutes, Present Value, and Amortzaton Present Value In Secton 5.2, we saw that the present value of A dollars at nterest rate per perod for n perods s the amount that must be deposted today
More informationCourse outline. Financial Time Series Analysis. Overview. Data analysis. Predictive signal. Trading strategy
Fnancal Tme Seres Analyss Patrck McSharry patrck@mcsharry.net www.mcsharry.net Trnty Term 2014 Mathematcal Insttute Unversty of Oxford Course outlne 1. Data analyss, probablty, correlatons, vsualsaton
More informationWORKING PAPERS. The Impact of Technological Change and Lifestyles on the Energy Demand of Households
ÖSTERREICHISCHES INSTITUT FÜR WIRTSCHAFTSFORSCHUNG WORKING PAPERS The Impact of Technologcal Change and Lfestyles on the Energy Demand of Households A Combnaton of Aggregate and Indvdual Household Analyss
More informationTHE EFFECT OF PREPAYMENT PENALTIES ON THE PRICING OF SUBPRIME MORTGAGES
THE EFFECT OF PREPAYMENT PENALTIES ON THE PRICING OF SUBPRIME MORTGAGES Gregory Ellehausen, Fnancal Servces Research Program George Washngton Unversty Mchael E. Staten, Fnancal Servces Research Program
More informationCausal, Explanatory Forecasting. Analysis. Regression Analysis. Simple Linear Regression. Which is Independent? Forecasting
Causal, Explanatory Forecastng Assumes cause-and-effect relatonshp between system nputs and ts output Forecastng wth Regresson Analyss Rchard S. Barr Inputs System Cause + Effect Relatonshp The job of
More informationIs There A Tradeoff between Employer-Provided Health Insurance and Wages?
Is There A Tradeoff between Employer-Provded Health Insurance and Wages? Lye Zhu, Southern Methodst Unversty October 2005 Abstract Though most of the lterature n health nsurance and the labor market assumes
More informationRecurrence. 1 Definitions and main statements
Recurrence 1 Defntons and man statements Let X n, n = 0, 1, 2,... be a MC wth the state space S = (1, 2,...), transton probabltes p j = P {X n+1 = j X n = }, and the transton matrx P = (p j ),j S def.
More informationThe DAX and the Dollar: The Economic Exchange Rate Exposure of German Corporations
The DAX and the Dollar: The Economc Exchange Rate Exposure of German Corporatons Martn Glaum *, Marko Brunner **, Holger Hmmel *** Ths paper examnes the economc exposure of German corporatons to changes
More informationSurvive Then Thrive: Determinants of Success in the Economics Ph.D. Program. Wayne A. Grove Le Moyne College, Economics Department
Survve Then Thrve: Determnants of Success n the Economcs Ph.D. Program Wayne A. Grove Le Moyne College, Economcs Department Donald H. Dutkowsky Syracuse Unversty, Economcs Department Andrew Grodner East
More informationHedge Fund Investing in the Aftermath of the Crisis: Where did the Money Go?
Hedge Fund Investng n the Aftermath of the Crss: Where dd the Money Go? Gudo Bollger, Ivan Gudott, Florent Pochon Ths verson: July 2010 Abstract Ths paper nvestgates the determnants of hedge fund flows
More informationA Model of Private Equity Fund Compensation
A Model of Prvate Equty Fund Compensaton Wonho Wlson Cho Andrew Metrck Ayako Yasuda KAIST Yale School of Management Unversty of Calforna at Davs June 26, 2011 Abstract: Ths paper analyzes the economcs
More informationAre Women Better Loan Officers?
Are Women Better Loan Offcers? Ths verson: February 2009 Thorsten Beck * CentER, Dept. of Economcs, Tlburg Unversty and CEPR Patrck Behr Goethe Unversty Frankfurt André Güttler European Busness School
More informationThe Choice of Direct Dealing or Electronic Brokerage in Foreign Exchange Trading
The Choce of Drect Dealng or Electronc Brokerage n Foregn Exchange Tradng Mchael Melvn Arzona State Unversty & Ln Wen Unversty of Redlands MARKET PARTICIPANTS: Customers End-users Multnatonal frms Central
More informationExhaustive Regression. An Exploration of Regression-Based Data Mining Techniques Using Super Computation
Exhaustve Regresson An Exploraton of Regresson-Based Data Mnng Technques Usng Super Computaton Antony Daves, Ph.D. Assocate Professor of Economcs Duquesne Unversty Pttsburgh, PA 58 Research Fellow The
More informationThe role of time, liquidity, volume and bid-ask spread on the volatility of the Australian equity market.
The role of tme, lqudty, volume and bd-ask spread on the volatlty of the Australan equty market. Allster Keller* Bruno Rodrgues** Mawell Stevenson* * Dscplne of Fnance School of Busness The Unversty of
More informationCalculation of Sampling Weights
Perre Foy Statstcs Canada 4 Calculaton of Samplng Weghts 4.1 OVERVIEW The basc sample desgn used n TIMSS Populatons 1 and 2 was a two-stage stratfed cluster desgn. 1 The frst stage conssted of a sample
More informationDEFINING %COMPLETE IN MICROSOFT PROJECT
CelersSystems DEFINING %COMPLETE IN MICROSOFT PROJECT PREPARED BY James E Aksel, PMP, PMI-SP, MVP For Addtonal Informaton about Earned Value Management Systems and reportng, please contact: CelersSystems,
More informationThis study examines whether the framing mode (narrow versus broad) influences the stock investment decisions
MANAGEMENT SCIENCE Vol. 54, No. 6, June 2008, pp. 1052 1064 ssn 0025-1909 essn 1526-5501 08 5406 1052 nforms do 10.1287/mnsc.1070.0845 2008 INFORMS How Do Decson Frames Influence the Stock Investment Choces
More informationA Probabilistic Theory of Coherence
A Probablstc Theory of Coherence BRANDEN FITELSON. The Coherence Measure C Let E be a set of n propostons E,..., E n. We seek a probablstc measure C(E) of the degree of coherence of E. Intutvely, we want
More informationHeterogeneous Paths Through College: Detailed Patterns and Relationships with Graduation and Earnings
Heterogeneous Paths Through College: Detaled Patterns and Relatonshps wth Graduaton and Earnngs Rodney J. Andrews The Unversty of Texas at Dallas and the Texas Schools Project Jng L The Unversty of Tulsa
More informationTraditional versus Online Courses, Efforts, and Learning Performance
Tradtonal versus Onlne Courses, Efforts, and Learnng Performance Kuang-Cheng Tseng, Department of Internatonal Trade, Chung-Yuan Chrstan Unversty, Tawan Shan-Yng Chu, Department of Internatonal Trade,
More informationTHE DETERMINANTS OF THE TUNISIAN BANKING INDUSTRY PROFITABILITY: PANEL EVIDENCE
THE DETERMINANTS OF THE TUNISIAN BANKING INDUSTRY PROFITABILITY: PANEL EVIDENCE Samy Ben Naceur ERF Research Fellow Department of Fnance Unversté Lbre de Tuns Avenue Khéreddne Pacha, 002 Tuns Emal : sbennaceur@eudoramal.com
More informationTESTING FOR EVIDENCE OF ADVERSE SELECTION IN DEVELOPING AUTOMOBILE INSURANCE MARKET. Oksana Lyashuk
TESTING FOR EVIDENCE OF ADVERSE SELECTION IN DEVELOPING AUTOMOBILE INSURANCE MARKET by Oksana Lyashuk A thess submtted n partal fulfllment of the requrements for the degree of Master of Arts n Economcs
More informationNew evidence of the impact of dividend taxation and on the identity of the marginal investor
New evdence of the mpact of dvdend taxaton and on the dentty of the margnal nvestor LEONIE BELL AND TIM JENKINSON * * Economcs Department, Oxford Unversty and Saïd Busness School, Oxford Unversty and CEPR
More informationTesting for imperfect competition on EU deposit and loan markets. with Bresnahan s market power model
Testng for mperfect competton on EU depost and loan markets wth Bresnahan s market power model J.A. Bkker 1 February 2003 Research Seres Supervson no. 52 Secton Bankng and Supervsory Strateges, Drectorate
More informationMarginal Returns to Education For Teachers
The Onlne Journal of New Horzons n Educaton Volume 4, Issue 3 MargnalReturnstoEducatonForTeachers RamleeIsmal,MarnahAwang ABSTRACT FacultyofManagementand Economcs UnverstPenddkanSultan Idrs ramlee@fpe.ups.edu.my
More informationAn Empirical Study of Search Engine Advertising Effectiveness
An Emprcal Study of Search Engne Advertsng Effectveness Sanjog Msra, Smon School of Busness Unversty of Rochester Edeal Pnker, Smon School of Busness Unversty of Rochester Alan Rmm-Kaufman, Rmm-Kaufman
More informationAn Empirical Analysis of Search Engine Advertising: Sponsored Search in Electronic Markets 1
An Emprcal Analyss of Search Engne Advertsng: Sponsored Search n Electronc Markets Anndya Ghose Stern School of Busness New York Unversty aghose@stern.nyu.edu Sha Yang Stern School of Busness New York
More informationFixed income risk attribution
5 Fxed ncome rsk attrbuton Chthra Krshnamurth RskMetrcs Group chthra.krshnamurth@rskmetrcs.com We compare the rsk of the actve portfolo wth that of the benchmark and segment the dfference between the two
More informationAnswer: A). There is a flatter IS curve in the high MPC economy. Original LM LM after increase in M. IS curve for low MPC economy
4.02 Quz Solutons Fall 2004 Multple-Choce Questons (30/00 ponts) Please, crcle the correct answer for each of the followng 0 multple-choce questons. For each queston, only one of the answers s correct.
More informationCARDIFF BUSINESS SCHOOL WORKING PAPER SERIES
CARDIFF BUSINESS SCOO WORKING PAPER SERIES Cardff Economcs Workng Papers Woon K. Wong, Dun Tan and Yxang Tan Nonlnear ACD Model and Informed Tradng: Evdence from Shangha Stock Exchange E2008/8 Cardff Busness
More informationAnalyzing Search Engine Advertising: Firm Behavior and Cross-Selling in Electronic Markets
WWW 008 / Refereed Track: Internet Monetzaton - Sponsored Search Aprl -5, 008 Beng, Chna Analyzng Search Engne Advertsng: Frm Behavor and Cross-Sellng n Electronc Markets Anndya Ghose Stern School of Busness
More informationStatistical Methods to Develop Rating Models
Statstcal Methods to Develop Ratng Models [Evelyn Hayden and Danel Porath, Österrechsche Natonalbank and Unversty of Appled Scences at Manz] Source: The Basel II Rsk Parameters Estmaton, Valdaton, and
More informationAn Evaluation of the Extended Logistic, Simple Logistic, and Gompertz Models for Forecasting Short Lifecycle Products and Services
An Evaluaton of the Extended Logstc, Smple Logstc, and Gompertz Models for Forecastng Short Lfecycle Products and Servces Charles V. Trappey a,1, Hsn-yng Wu b a Professor (Management Scence), Natonal Chao
More informationOverview of monitoring and evaluation
540 Toolkt to Combat Traffckng n Persons Tool 10.1 Overvew of montorng and evaluaton Overvew Ths tool brefly descrbes both montorng and evaluaton, and the dstncton between the two. What s montorng? Montorng
More informationHow Sets of Coherent Probabilities May Serve as Models for Degrees of Incoherence
1 st Internatonal Symposum on Imprecse Probabltes and Ther Applcatons, Ghent, Belgum, 29 June 2 July 1999 How Sets of Coherent Probabltes May Serve as Models for Degrees of Incoherence Mar J. Schervsh
More informationEUROPEAN. ThePriceandRiskEfects ofoptionintroductionsonthenordicmarkets. EconomicPapers434 December2010. StafanLindén EUROPEANCOMMISSION
EUROPEAN ECONOMY EconomcPapers434 December heprceandrskefects ofoptonintroductonsonthenordcmarkets StafanLndén EUROPEANCOMMISSION Economc Papers are wrtten by the Staff of the Drectorate-General for Economc
More informationAn Interest-Oriented Network Evolution Mechanism for Online Communities
An Interest-Orented Network Evoluton Mechansm for Onlne Communtes Cahong Sun and Xaopng Yang School of Informaton, Renmn Unversty of Chna, Bejng 100872, P.R. Chna {chsun,yang}@ruc.edu.cn Abstract. Onlne
More informationCovariate-based pricing of automobile insurance
Insurance Markets and Companes: Analyses and Actuaral Computatons, Volume 1, Issue 2, 2010 José Antono Ordaz (Span), María del Carmen Melgar (Span) Covarate-based prcng of automoble nsurance Abstract Ths
More informationSulaiman Mouselli Damascus University, Damascus, Syria. and. Khaled Hussainey* Stirling University, Stirling, UK
CORPORATE GOVERNANCE, ANALYST FOLLOWING AND FIRM VALUE Sulaman Mousell Damascus Unversty, Damascus, Syra and Khaled Hussaney* Strlng Unversty, Strlng, UK Ths paper s accepted for publcaton at: Corporate
More informationThe Choice of Direct Dealing or Electronic Brokerage in Foreign Exchange Trading
The Choce of Drect Dealng or Electronc Brokerage n Foregn Exchange Tradng Mchael Melvn & Ln Wen Arzona State Unversty Introducton Electronc Brokerage n Foregn Exchange Start from a base of zero n 1992
More informationCriminal Justice System on Crime *
On the Impact of the NSW Crmnal Justce System on Crme * Dr Vasls Sarafds, Dscplne of Operatons Management and Econometrcs Unversty of Sydney * Ths presentaton s based on jont work wth Rchard Kelaher 1
More informationThe impact of bank capital requirements on bank risk: an econometric puzzle and a proposed solution
Banks and Bank Systems, Volume 4, Issue 1, 009 Robert L. Porter (USA) The mpact of bank captal requrements on bank rsk: an econometrc puzzle and a proposed soluton Abstract The relatonshp between bank
More informationWhen Talk is Free : The Effect of Tariff Structure on Usage under Two- and Three-Part Tariffs
0 When Talk s Free : The Effect of Tarff Structure on Usage under Two- and Three-Part Tarffs Eva Ascarza Ana Lambrecht Naufel Vlcassm July 2012 (Forthcomng at Journal of Marketng Research) Eva Ascarza
More informationTHE efficient market hypothesis (EMH) asserts that financial. Predicting Financial Markets: Comparing Survey, News, Twitter and Search Engine Data
1 Predctng Fnancal Markets: Comparng Survey, News, Twtter and Search Engne Data Huna Mao, Indana Unversty-Bloomngton, Scott Counts, Mcrosoft Research, and Johan Bollen, Indana Unversty-Bloomngton arxv:1112.1051v1
More informationMortgage Default and Prepayment Risks among Moderate and Low Income Households. Roberto G. Quercia. University of North Carolina at Chapel Hill
Mortgage Default and Prepayment Rsks among Moderate and Low Income Households Roberto G. Querca Unversty of North Carolna at Chapel Hll querca@emal.unc.edu Anthony Pennngton-Cross Marquette Unversty anthony.pennngton-cross@marquette.edu
More informationBid/Ask Spread and Volatility in the Corporate Bond Market
Bd/Ask Spread and Volatlty n the Corporate Bond Market Madhu Kalmpall Faculty of Management McGll Unversty Arthur Warga Department of Fnance, College of Busness Unversty of Houston Correspondence to: Arthur
More informationSIMPLE LINEAR CORRELATION
SIMPLE LINEAR CORRELATION Smple lnear correlaton s a measure of the degree to whch two varables vary together, or a measure of the ntensty of the assocaton between two varables. Correlaton often s abused.
More informationCorporate Real Estate Sales and Agency Costs of Managerial Discretion
Corporate Real Estate Sales and Agency Costs of Manageral Dscreton Mng-Long Lee * Department of Fnance Natonal Yunln Unversty of Scence & Technology Yunln, Tawan Mng-Te Lee Department of Accountng Tamkang
More informationCHOLESTEROL REFERENCE METHOD LABORATORY NETWORK. Sample Stability Protocol
CHOLESTEROL REFERENCE METHOD LABORATORY NETWORK Sample Stablty Protocol Background The Cholesterol Reference Method Laboratory Network (CRMLN) developed certfcaton protocols for total cholesterol, HDL
More information