The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash

This study examines the information conveyed by options and examines their implied volatility at the time of the 1997 Hong Kong stock market crash. The author determines the efficiency of implied volatility as a predictor of future volatility by comparing it to other leading indicator candidates. These include volume and open interest of index options and futures, as well as the arbitrage basis of index futures. Using monthly, nonoverlapping data, the study reveals that implied volatility is superior to those variables in forecasting future realized volatility. The study also demonstrates that a simple signal extraction model could have produced useful warning signals prior to periods of extreme volatility. These results indicate that the options market is highly efficient informationally. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:555–574, 2007     

DEPOSITOR DISCIPLINE, REGULATORY CONTROL, AND A BANKING CRISIS: A STUDY OF INDIAN URBAN COOPERATIVE BANKS

ABSTRACT ** :  Urban Cooperative banks in India (UCBs) play an important role in mobilizing resources from lower and middle-income groups and in providing direct finance to small entrepreneurs and traders. Motivated by previous empirical work on depositor disciplining behaviour, this paper examines whether depositors punish weak UCBs by withdrawing deposits during and after a banking crisis. In addition, the paper investigates the impact of tightened prudential standards imposed by the Indian central bank (RBI) on the ratio of investments to loan assets and on the rate of growth of loans. Our sample of 45 UCBs is partitioned into strong and weak banks and subjected to econometric testing. Our analysis reveals that a banking crisis is associated with a contraction in deposits across the sample. However, weak banks appear to be disciplined by depositors during election years. We also find weak support for the contention that banks reduced loans when faced with intensified regulatory scrutiny in the aftermath of a crisis.     

RISK DECISIONS FOR BEEF PRODUCTION SYSTEMS IN THE COLOMBIAN SAVANNAS

A beef simulation model was used to examine a range of production possibilities for increasing the output of extensive ranching systems in the tropical savannas of eastern Colombia through the use of sown grass-legume pastures of higher inherent digestibility than that of the native species. Generalised stochastic dominance was used to compare some promising alternatives with the unimproved savanna-based production system and with each other. As the planning horizon of the decision maker was reduced, so variability, measured as the coefficient of variation of output, increased significantly. The impact of risk on the long-term acceptability of a complete investment was limited.     

Auditing Standards in China—A Comparative Analysis with Relevant International Standards and Guidelines

The continuing and deepening economic reforms in China have brought many changes both socially and economically to the society. The primary function of auditing in China has begun to shift away from the traditional tax compliance assessment towards the credibility lending to financial statements. The economic reforms and the development of the Accounting Standards for Business Enterprises have necessitated the parallel development of auditing standards in China. While some significant differences exist, the new Chinese auditing standards are, in a number of important aspects, similar to the professional standards promulgated by the International Federation of Accountants. The development of a comprehensive body of standards, auditor independence, the role of certain auditing techniques, and certified public accountant (CPA) population are the major areas that China needs to improve. Opening up the Chinese accounting industry will trigger significant advances in the implementation of Chinese standards and the development of the Chinese accounting profession.     

Queues with batch poisson arrivals and hyper-exponential service time distribution

Summary We consider in this paper the transient behaviour of the queuing system in which (i) the input, following a Poisson distribution, is in batches of variable numbers; (ii) queue discipline is ‘first come first served’, it being assumed that the batches are pre-ordered for service purposes; and (iii) service time distribution is hyper-exponential withn branches. The Laplace transform of the system size distribution is determined by applying the method of generating functions, introduced in queuing theory byBailey [1]. However, assuming steady state conditions to obtain, the problem is completely solved and it is shown that by suitably defining the traffic intensity factor,ϱ, the value,p ₀, of the probability of no delay, remains the same in this case of batch arrivals also as in the case of single arrivals. The Laplace transform of the waiting time distribution is also calculated in steady state case from which the mean waiting time may be calculated. Some of the known results are derived as particular cases.