Home About us Contact
|
Home About us Contact | ||
|
|
||
Sample Period (sample + period)
Selected AbstractsNonaudit Services and Earnings Management: UK Evidence,CONTEMPORARY ACCOUNTING RESEARCH, Issue 4 2004MICHAEL J. FERGUSON Abstract Using a sample of UK firms for the period 1996-98, we provide empirical evidence on the relation between nonaudit services (NAS) purchase and three proxies for earnings management: (1) the likelihood that client firm accounting practices during the sample period were publicly criticized or subject to regulatory investigation; (2) the likelihood that client firms were required to restate prior financial statements or adjust current year results upon adoption of Financial Reporting Standard (FRS) No. 12, which was intended to curb opportunistic use of provisions; and (3) the mean absolute value of client discretionary working capital accruals over the sample period. The level of NAS purchase is measured, alternatively, as (1) the ratio of nonaudit to total auditor fees, (2) the natural log of NAS fees, and (3) the decile rank of a particular client's NAS fees given all NAS fees received by the audit firm practice office. With one exception, we find that all three measures of earnings management are positively and significantly associated with the three measures of NAS purchase. [source] WAGE PENALTIES AND SEXUAL ORIENTATION: AN UPDATE USING THE GENERAL SOCIAL SURVEYCONTEMPORARY ECONOMIC POLICY, Issue 2 2009BRENDAN CUSHING-DANIELS This study uses data from the 1988 to 2006 General Social Survey (GSS) to examine the effects of sexual orientation on earnings. Previous research using the GSS has found that lesbians earn 18%,23% more than similarly qualified heterosexual women and that wage penalties for gay men are slightly larger than the premia for lesbians. Using behavioral definitions of sexual orientation based on the previous year and the previous 5 yr of sexual activity, we find the familiar wage premia/penalties for lesbian/gay workers in our ordinary least squares estimations, but we find that these wage differences are falling over time. Furthermore, in contrast to the earlier results, for our regressions over the entire sample period, correcting for differential selection into full-time work reduces the estimated penalties for unmarried gay men and eliminates the entire wage premium for all lesbians. There is now a sizeable, though imprecisely measured, penalty for some lesbians. (JEL J1, J3, J7) [source] THE PROCYCLICAL LEVERAGE EFFECT OF COLLATERAL VALUE ON BANK LOANS,EVIDENCE FROM THE TRANSACTION DATA OF TAIWANECONOMIC INQUIRY, Issue 2 2007NAN-KUANG CHEN We investigated the empirical relationship between firms' collateral values and land-secured loans over asset price cycles. A simultaneous equation model of loan demand and supply was estimated using a transaction-level data set from Taiwan. The data set contains collateral information and identifies lenders and borrowers. We found that the value of collateralizable assets has positive and significant effects on loan amounts and that the leverage effect of collateral is procyclical to asset price cycles. Firms in the electronics industry, the star industry in the sample period, are found to borrow more than other firms do at each marginal dollar of collateral. (JEL C50, E30, G20) [source] What happens during recessions, crunches and busts?ECONOMIC POLICY, Issue 60 2009Stijn Claessens Summary We provide a comprehensive empirical characterization of the linkages between key macroeconomic and financial variables around business and financial cycles, for 21 OECD countries over the period 1960,2007. In particular, we analyse the implications of 122 recessions, 113 (28) credit contraction (crunch) episodes, 114 (28) episodes of house price declines (busts), 245 (61) episodes of equity price declines (busts), and their various overlaps in these countries, over the sample period. Our results indicate that the interactions between macroeconomic and financial variables can play a major role in determining the severity and duration of a recession. Specifically, we find evidence that recessions associated with credit crunches and house price busts tend to be deeper and longer than other recessions. , Stijn Claessens, M. Ayhan Kose and Marco E. Terrones [source] Environmental factors affecting the levels of legacy pesticides in the airshed of Delaware and Chesapeake Bays, USAENVIRONMENTAL TOXICOLOGY & CHEMISTRY, Issue 9 2010Anubha Goel Abstract Organochlorine insecticides and their degradation products contribute to toxicity in Chesapeake Bay, USA, sediments and affect the reproductive health of avian species in the region; however, little is known of atmospheric sources or temporal trends in concentrations of these chemicals. Weekly air (n,=,265) and daily rain samples (n,=,494) were collected over 2000 to 2003 from three locations in the Delmarva Peninsula, USA. Pesticides were consistently present in the gas phase with infrequent detection in the particle phase. Hexachlorocyclohexanes (HCHs) and cis - and trans -chlordane were detected most frequently (95,100%), and cis - and trans -nonachlor, oxychlordane, heptachlor, heptachlor epoxide, dieldrin, and 1-chloro-4-[2,2-dichloro-1-(4-chlorophenyl)ethenyl]benzene (4,4,-DDE) were also detected frequently. The highest mean air concentrations were for dieldrin (60,84,pg/m3), ,-HCH (37,83,pg/m3), and 4,4,-DDE (16,80,pg/m3). Multiple regression analyses of air concentrations with temperature and wind conditions using modified Clausius-Clapeyron equations explained only 30 to 60% of the variability in concentration for most chemicals. Comparison of the air concentrations and enthalpy of air,surface exchange values at the three sites indicate sources of chlordanes and ,-HCH sources are primarily from long-range transport. However, examination of chlordane isomer ratios indicates some local and regional contributions, and ,-HCH, 4,4,-DDE, dieldrin, heptachlor, heptachlor epoxide, and oxychlordane also have local or regional sources, possibly from contaminated soils. Median rain sample volumes of 1 to 3 L led to infrequent detections in rain; however, average measured concentrations were 2 to 10 times higher than in the Great Lakes. Dissipation half-lives in air were well below 10 years for all chemicals and below published values for the Great Lakes except dieldrin, which did not decline during the sample period. Environ. Toxicol. Chem. 2010;29:1893,1906. © 2010 SETAC [source] Asymmetric Information and Dividend PolicyFINANCIAL MANAGEMENT, Issue 4 2008Kai Li We examine how informational asymmetries affect firms' dividend policies. We find that firms that are more subject to information asymmetry are less likely to pay, initiate, or increase dividends, and disburse smaller amounts. We show that our main results are not driven by our sample and that our results persist after accounting for the changing composition of payout over the sample period, the increasing importance of institutional shareholdings, and catering incentives. We conclude that there is a negative relation between asymmetric information and dividend policy. Our results do not support the signaling theory of dividends. [source] Cash flow disaggregation and the prediction of future earningsACCOUNTING & FINANCE, Issue 1 2010Neal Arthur G11; G23 Abstract We examine the incremental information content of the components of cash flows from operations (CFO). Specifically the research question examined in this paper is whether models incorporating components of CFO to predict future earnings provide lower prediction errors than models incorporating simply net CFO. We use Australian data in this setting as all companies were required to provide information using the direct method during the sample period. We find that the cash flow components model is superior to an aggregate cash flow model in terms of explanatory power and predictive ability for future earnings; and that disclosure of non-core (core) cash flows components is (not) useful in both respects. Our results are of relevance to investors and analysts in estimating earnings forecasts, managers of firms in regulators' domains where choice is provided with respect to the disclosure of CFO and also to regulators' deliberations on disclosure requirements and recommendations. [source] Maquiladora Employment Dynamics in Nuevo LaredoGROWTH AND CHANGE, Issue 1 2007JESÚS CAŃAS ABSTRACT The Nuevo Laredo maquiladora sector has grown enormously during the last two decades. The short-term time series characteristics of this portion of the regional economy are analyzed in an attempt to quantify the trends underlying this remarkable performance. Parameter estimation is accomplished via linear transfer function (LTF) analysis. Data are drawn from the January 1990,December 2000 sample period. Empirical results indicate that real wage rates, maquiladora plants, U.S. industrial activity, and the real exchange rate of the peso play significant roles in determining month-to-month fluctuations in maquiladora employment. Furthermore, sub-sample forecast simulation exercises are conducted as an additional means for verifying model reliability. Empirical results indicate that the forecasts generated with the LTF model are less accurate than those associated with a simple random walk procedure for twelve separate step-length periods. [source] Effects of ownership, subsidization and teaching activities on hospital costs in SwitzerlandHEALTH ECONOMICS, Issue 3 2008Mehdi Farsi Abstract This paper explores the cost structure of Swiss hospitals, focusing on differences due to teaching activities and those related to ownership and subsidization types. A stochastic total cost frontier with a Cobb,Douglas functional form has been estimated for a panel of 148 general hospitals over the six-year period from 1998 to 2003. Inpatient cases adjusted by DRG cost weights and ambulatory revenues are considered as two separate outputs. The adopted econometric specification allows for unobserved heterogeneity across hospitals. The results suggest that teaching activities are an important cost-driving factor and hospitals that have a broader range of specialization are relatively more costly. The excess costs of university hospitals can be explained by more extensive teaching activities as well as the relative complexity of the offered medical treatments from a teaching point of view. However, even after controlling for such differences university hospitals have shown a relatively low cost-efficiency especially in the first two or three years of the sample period. The analysis does not provide any evidence of significant efficiency differences across ownership/subsidy categories. Copyright © 2007 John Wiley & Sons, Ltd. [source] The valuation discount of multi-segment firms in AustraliaACCOUNTING & FINANCE, Issue 2 2003Grant Fleming Abstract This paper refines the Berger and Ofek (1995) methodology to estimate the valuation discount of multi-segment firms in Australia between 1988 and 1998. Evidence is found that based on earnings before tax, the sample of multi-segment firms traded at a 29 per cent greater discount than a comparable portfolio of single segment firms over the sample period. To explain the results further analysis shows that the valuation discount was driven by poorly performing multi-segment firms rather than multi-segment firms per se. This raises questions about studies that conclude that diversification is value destroying. [source] Measurement matters for modelling US import prices,INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 2 2009Charles P. Thomas Abstract We focus on capturing the increasingly important role that emerging economies play in determining US import prices. Emerging-market producers differ from others in two respects: (1) their cost structure is well below that of developed-market producers, and (2) their wide profit margins induce pricing policies that seek to exhaust production capacity. We argue that these features have dampened the short-run responses of import prices to changes in the value of the dollar but that they have not altered the associated long-run response. To capture these considerations, we develop a new method to measure foreign prices and adopt a formulation that differentiates between short- and long-run responses. Our econometric work asks two questions: First, can one replicate the literature's dispersion of pass-through estimates? Second, is there any evidence of a change in the dynamic response of import prices to changes in the exchange value of the dollar? To address the first question, we estimate the parameters of our models using several alternative measures of US and foreign prices, dynamic specifications, and sample periods. We find that these alternative inputs translate into a large range of parameter estimates, a finding that helps to rationalizing the existing dispersion of estimates. To address the second question, we compute the implied dynamic adjustment of import prices to a change in the value of the dollar using parameters estimated from two samples: 1974,2000 and 1974,2005. The long-run response of import prices is similar regardless of which sample is used,roughly one-half of the change in the exchange rate is passed through to import prices. However, the short,run response is quite sensitive to the sample period. Specifically, the short-run response based on data through 2005 is smaller than the short-run response based on data through 2000. We argue that one force behind the change in dynamics of the import-price process is the greater presence of producers from emerging economies and that their effect on import prices can be captured with their measure of foreign prices. Published in 2008 by John Wiley & Sons, Ltd. [source] Market based debt reduction agreements: a case study on Mexican and Polish Brady bondsINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 2 2001Luca Barbone F34; G14 Abstract This paper analyzes some aspects of the workings of the Brady bond (restructured Less Developed Countries debt) market. It concentrates on the effects of the December 1994 Mexican crisis on the risk assessment (as measured by the stripped spread) of Poland, another Brady country. The main findings are: (i) over the sample period, the unit root hypothesis on the risk premium (measured by the stripped spread) of Mexico and Poland cannot be rejected; this is consistent with the idea that the risk premium reflects new information accruing to the market; (ii) comovements in stripped spreads between Mexico and Poland were stronger during the period of the Peso crisis: we do not reject the null of cointegration for the year that includes the crisis (July 1994,July 1995), but we do reject the null for the year starting 6 months after the crisis (July 1995,July 1996); (iii) the crisis has had a strong permanent effect on the risk assessment of Mexico with respect to the one of Poland (550 basis points circa). Copyright © 2001 John Wiley & Sons, Ltd. [source] Issues in Money Demand: The Case of EuropeJCMS: JOURNAL OF COMMON MARKET STUDIES, Issue 4 2004Mike Artis This article establishes a co-integration analysis for the euro area (sample period: 1983,2000), identifying three co-integrating vectors: one which can be labelled money demand (in which real M3 money balances are related to output, with unit elasticity, and the long rate of interest); another pertaining to the spread between the short and long rate of interest; and a third which is an output (IS) relationship in which output is related to the real rate of interest. Currency substitution terms affect the adjustment of real money balances though they do not enter the co-integration space. We use the aggregation procedure for historical Euroland data advocated by Beyer, Doornik and Hendry for application to aggregation of money, GDP and prices when exchange rates were varying. We make use of the German short- and long-term interest rates as benchmarks for own rate and opportunity cost variables. [source] A small monetary system for the euro area based on German dataJOURNAL OF APPLIED ECONOMETRICS, Issue 6 2006Ralf Brüggemann Previous euro area money demand studies have used aggregated national time series data from the countries participating in the European Monetary Union (EMU). However, aggregation may be problematic because macroeconomic convergence processes have taken place in the countries of interest. Therefore, in this study, quarterly German data until 1998 are combined with data from the euro area from 1999 until 2002 and these series are used for fitting a small vector error correction model for the monetary sector of the EMU. A stable long-run money demand relation is found for the full sample period. Moreover, impulse responses do not change much when the sample period is extended by the EMU period provided the break in the extended data series is captured by a simple dummy variable. Copyright © 2006 John Wiley & Sons, Ltd. [source] Post-IPO Operating Performance, Venture Capital and the Bubble YearsJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 9-10 2007Jerry Coakley Abstract:, We analyse the post-issue operating performance of 316 venture-backed and 274 non-venture UK IPOs 1985,2003. The finding of a statistically significant five-year, operational decline exhibited over the full sample period is not robust. Rather it is driven by the dramatic underperformance during the 1998,2000 bubble years while IPOs perform normally in the remaining years. Cross-section regression results indicate support for venture capital certification in the non-bubble years but a significantly negative relationship between operating performance and venture capitalist board representation during the bubble years. The bubble year underperformance is explained by market timing and by low quality companies taking advantage of investor sentiment. [source] Estimating the Equity Risk Premium Using Accounting FundamentalsJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 9-10 2000John O'Hanlon This study uses recent developments in the theoretical modelling of the links between unrecorded accounting goodwill, accounting profitability and the cost of equity, together with Capital Asset Pricing Model (CAPM) betas, to estimate the ex-ante equity risk premium in the UK. The results suggest that, over our sample period from 1968 to 1995, the premium has been in the region of 5%. Our estimate lends support to the view that the ex-ante equity risk premium is substantially less than the historical average of the excess of equity returns over the risk-free rate, and is similar to the rates applied recently by UK competition regulators. [source] Corporate Value, Managerial Stockholdings and Investments of Japanese FirmsJOURNAL OF INTERNATIONAL FINANCIAL MANAGEMENT & ACCOUNTING, Issue 1 2006Carl R. Chen We use a simultaneous equation model which treats firm value, investments and management ownership as endogenous to the firm. Our results show a feedback relation between corporate value and management ownership, i.e., corporate value is positively impacted by management ownership, which in turn is positively impacted by corporate value. Corporate value also affects investments made by the firm. We also find that the effect of the main bank on corporate value is positive but only up to a certain point; then, it turns negative. Supporting the argument that keiretsu firms have lower agency cost, we find that firms belonging to a keiretsu have higher valuations during the sample period. Finally, we find that management ownership increases as the ownership of the main bank, ownership of institutional holders and cross-holdings decreases, suggesting a substitution effect among these monitoring forces. Our results indicate that ignoring the web of these relationships leads to incorrect inferences. [source] SEASONAL GROWTH AND PHENOTYPIC VARIATION IN PORPHYRA LINEARIS (RHODOPHYTA) POPULATIONS ON THE WEST COAST OF IRELAND,JOURNAL OF PHYCOLOGY, Issue 1 2007Elena Varela-Álvarez The phenology and seasonal growth of Porphyra linearis Grev. were investigated in two morphologically dissimilar populations from the west coast of Ireland. Thallus size and reproductive status of individuals were monitored monthly between June 1997 and June 1998. Both populations exhibited a similar phenology: gametophyte stages appeared on the shore in October, with spermatangial and zygotosporangial sori appearing the following February; the gametophyte stage began to degenerate in April and had disappeared completely by June. However, significant differences in growth and reproduction in the field and in cultures of plants from the two populations were observed. Thallus length and width of individuals from one population were significantly longer throughout the sample period, and reproduction and sporulation occurred 1 month earlier. Also, in situ relative growth rates (RGRs) of plants differed significantly and were correlated with different climatic factors (sunshine, day length, irradiance, rainfall, seawater temperature, and intertidal temperatures), suggesting that plants were affected by two different microhabitats. At one site, blades were more exposed to wave action, sunshine, and extreme minimum temperatures, while at the other site, blades were more protected in winter, spring, and early summer. In culture, RGRs of blades from the second site were higher than RGRs of blades from the first site under short days, corroborating the field results and suggesting a degree of phenotypic differentiation between the two populations. However, there were no sequence divergences of the RUBISCO spacer between strains of the two P. linearis populations. [source] The demand for electricity in PakistanOPEC ENERGY REVIEW, Issue 1 2009Muhammad Arshad Khan This paper examines the patterns of electricity demand in Pakistan over the period 1970,2006 using autoregressive distributed lag technique to cointegration. Long run and short-run price and income elasticities are examined for the national level and for the three major consumer's categories,households, industry and agriculture. The overall results suggest that income and price elasticities possess expected signs at aggregate and disaggregate levels in the long run as well as in the short run. The error correction terms possess expected negative signs and are highly significant with reasonable magnitudes. Furthermore, the estimated long run and short-run electricity demand functions remains stable over the sample period. The results thus convey important information to the agents operating in the electricity market regarding the pricing policies and helps in planning the future strategy of electricity demand management. [source] House Prices and InflationREAL ESTATE ECONOMICS, Issue 1 2002Ali Anari The present paper examines the long-run impact of inflation on homeowner equity by investigating the relationship between house prices and the prices of nonhousing goods and services, rather than return series and inflation rates as in previous empirical studies on the inflation hedging ability of real estate. There are two reasons for this methodological departure from prior practice: (1) while the total return on housing cannot be accurately measured, the total return on housing is fully reflected in housing prices, and (2) given that using returns or differencing a time series leads to a loss of long-run information contained in the series, valuable long-run information can be captured by using prices. Also, unlike previous related studies, we exclude housing costs from goods and services prices to avoid potential bias in estimating how inflation affects housing prices. Monthly data series are collected for existing and for new house prices as well as the consumer price index excluding housing costs for the period 1968,2000. Based on both autoregressive distributed lag (ARDL) models and recursive regressions, the empirical results yield estimated Fisher coefficients that are consistently greater than one over the sample period. Thus, we infer that house prices are a stable inflation hedge in the long run. [source] A Term Structure Decomposition of the Australian Yield Curve,THE ECONOMIC RECORD, Issue 271 2009RICHARD FINLAY We use data on coupon-bearing Australian Government bonds and Overnight Indexed Swap (OIS) rates to estimate risk-free zero-coupon yield and forward curves for Australia from 1992 to 2007. These curves and analysts' forecasts of future interest rates are then used to fit an affine term structure model to Australian interest rates, with the aim of decomposing forward rates into expected future overnight cash rates plus term premia. The expected future short rates derived from the model are on average unbiased, fluctuating around the average of actual observed short rates. Since the adoption of inflation targeting and the entrenchment of low and stable inflation expectations, term premia appear to have declined in levels and displayed smaller fluctuations in response to economic shocks. This suggests that the market has become less uncertain about the path of future interest rates. Towards the end of the sample period, term premia have been negative, suggesting that investors may have been willing to pay a premium for Commonwealth Government securities. [source] HOW FAST DO TOKYO AND NEW YORK STOCK EXCHANGES RESPOND TO EACH OTHER?THE JAPANESE ECONOMIC REVIEW, Issue 2 2010AN ANALYSIS WITH HIGH-FREQUENCY DATA This paper uses one-min returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six min, but New York reacts within fourteen min. Dividing the sample period into three subperiods, we found that the response time has shortened and the magnitude of reaction has become larger over the period in both markets. The magnitude of response in New York to a fall in Tokyo is roughly double that of a rise. [source] International evidence on alternative models of the term structure of volatilitiesTHE JOURNAL OF FUTURES MARKETS, Issue 7 2009Antonio Díaz The term structure of instantaneous volatilities (TSV) of forward rates for different monetary areas (euro, U.S. dollar and British pound) is examined using daily data from at-the-money cap markets. During the sample period (two and a half years), the TSV experienced severe changes both in level and shape. Two new functional forms of the instantaneous volatility of forward rates are proposed and tested within the LIBOR Market Model framework. Two other alternatives are calibrated and used as benchmarks to test the accuracy of the new models. The two new models provide more flexibility to adequately calibrate the observed cap prices, although this improved accuracy in replicating cap prices produces some instability in parameter estimates. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:653,683, 2009 [source] Do futures lead price discovery in electronic foreign exchange markets?THE JOURNAL OF FUTURES MARKETS, Issue 2 2009Juan Cabrera Using intraday data, this study investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is found to consistently lead the price discovery process for both currencies during the sample period. Furthermore, E-mini futures do not contribute more to the price discovery than the electronically traded regular futures. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:137,156, 2009 [source] The response of volume and returns to the information shocks in China's commodity futures marketsTHE JOURNAL OF FUTURES MARKETS, Issue 9 2005Gongmeng Chen This study investigates the response of returns and volume to different information shocks in China's commodity futures markets using bivariate moving average representation (BMAR) and bivariate vector autoregression (BVAR) methodologies. Consistent with the conclusions from stock market studies that have used these methodologies, it is found that the informational/permanent components are the dominant components for returns movements, and the noninformational/transitory components are the dominant components for trading volume. It is also found that the market response of copper futures improved during the sample period, and the market responses of actively traded futures (copper and soybeans) are better than those of the less actively traded futures (aluminum and wheat). © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:893,916, 2005 [source] Do futures-based strategies enhance dynamic portfolio insurance?THE JOURNAL OF FUTURES MARKETS, Issue 6 2004Binh Huu Do In this paper we investigate the relative performance of two approaches to dynamic portfolio insurance: the synthetic put and the Constant Proportion Portfolio Insurance (CPPI). The investigation is conducted on the Australian market, over a sample period of 59 non-overlapping quarters from December 1987 to December 2002. Its main contribution is to provide a comprehensive assessment of the two approaches under different market conditions, and the testing of ex ante information as an input into the trading program. The major finding is that the futures-based implementation of both synthetic put and the CPPI approach is robust to both tranquil and turbulent market conditions in preserving the desired floor. The fact that this conclusion includes the case of employing implied volatility (obtained from the options market) is highly encouraging as it suggests high implementability of the strategy. Notably, the risk-return tradeoff shows that portfolio insurance using this volatility measure yields a return that is 64 basis points over the risk free investment. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:591,608, 2004 [source] Looking for contagion in currency futures marketsTHE JOURNAL OF FUTURES MARKETS, Issue 10 2003Chu-Sheng Tai This article tests whether there are pure contagion effects in both conditional means and volatilities among British pound, Canadian dollar, Deutsche mark, and Swiss franc futures markets during the 1992 ERM crisis. A conditional version of international capital asset pricing model (ICAPM) in the absence of purchasing power parity (PPP) is used to control for economic fundamentals. The empirical results indicate that overall there are no mean spillovers among those futures markets, but they are detected during the crisis period. That is, past return shocks originating in any one of the four markets have no impact on the other three markets during the entire sample period, suggesting that these markets are weak-form efficient. However, this weak-form market efficiency fails to hold during the market turmoil, especially for British pound and Swiss franc, and the sources of contagion-in-mean effects are mainly due to the return shocks originating in three European currency futures markets. As for the contagion-in-volatility, it is detected for British pound only because its conditional volatility is influenced by the negative volatility shocks from Canadian dollar, Deutsche mark, and Swiss franc, with Deutsche mark playing the dominant role in generating these shocks. JEL Classifications: C32; F31; G12. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:957,988, 2003 [source] Cross-market correlations and transmission of informationTHE JOURNAL OF FUTURES MARKETS, Issue 11 2002Salim M. Darbar We investigate characteristics of cross-market correlations using daily data from U.S. stock, bond, money, and currency futures markets using a new multivariate GARCH model that permits direct hypothesis testing on conditional correlations. We find evidence that arrival of information in a market affects subsequent cross-market conditional correlations in the sample period following the stock market crash of 1987, but there is little evidence of such a relationship in the precrash period. In the postcrash period, we also find evidence that the prime rate of interest affects daily correlations between futures returns. Furthermore, we find that conditional correlations between currency futures and other markets decline steeply a few months before the crash and revert to normal dynamics after the crash. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1059,1082, 2002 [source] An Empirical Analysis of the Efficiency of the Osaka Rice Market During Japan's Tokugawa EraTHE JOURNAL OF FUTURES MARKETS, Issue 9 2001Shigeyuki Hamori The Dojima Rice Market in Osaka was the first futures market in the world, and an influential role model for modern futures markets. This study examines the efficiency of the original futures market by applying time-series analysis to data on futures prices from Japan's Tokugawa era (1603,1867). The results of cointegration tests indicate that the futures market functioned efficiently during the first sample period (1763,1780), but its efficiency declined during the second sample period (1851,1864). © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:861,874, 2001 [source] S&P futures returns and contrary sentiment indicatorsTHE JOURNAL OF FUTURES MARKETS, Issue 5 2001David P. Simon Associate Professor This article investigates the predictive power of popular market-based sentiment measures for subsequent returns on the Standard & Poor's (S&P) 500 futures contract over 10-day, 20-day, and 30-day horizons from January 1989 through June 1999. These measures include the volatility index, the put,call ratio, and the trading index. The empirical results show that these variables over a variety of specifications frequently have statistically and economically significant forecasting power. The results indicate that these variables are contrarian indicators, consistent with the view that periods of extreme fear in the stock market have provided excellent buying opportunities. Finally, out-of-sample trading simulations performed over the second half of the sample period demonstrate that profits and risk-adjusted profits would have been enhanced by buying S&P futures when the fear indicators were high rather than low. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:447,462, 2001 [source] | |||||||||||||||||||||||||||||||||||||