INDEX FUTURES OPTIONS IN AUSTRALIA -AN EMPIRICAL FOCUS ON VOLATILITY

The futures option contract on the Australian All Ordinaries Share Price Index is a relatively new hybrid security that ought to enhance the richness and potential efficiency of security markets. This paper considers the problems of valuing it using the theoretical price of a futures-style option. It was found that there was little consistency between theoretical prices using a number of historical estimates and observed market prices, either intertemporally or between in-the-money or out-of-the-money calls. Further, implied volatility was found to be a decaying function of time and, except at times of instability, did not predict the ex ante futures volatility as well as historic volatility.     

The impact of empirical tests of transaction cost economics on the debate on the nature of the firm

Transaction cost economics (TCE), as developed and operationalized by Oliver Williamson, is one of the most prominent and influential developments in the social sciences. In recent years, on the basis of many empirical studies, it has been claimed that the evidence has corroborated TCE. If so, this would have major implications for the debate between TCE and other approaches to understanding the nature of the firm. In this paper we submit the most prominent TCE empirical work to critical scrutiny, on the basis of the standards and predictions in Williamson's own writings. We find a much more mixed picture, with few studies giving unambiguous support to Williamson's TCE. Furthermore, a significant number of the studies can be reinterpreted in terms of a competence or capabilities approach. We conclude that the empirical evidence does not decisively support Williamson's TCE and we stress the importance of an empirical program of joint testing of rival theoretical approaches. Copyright © 2006 John Wiley & Sons, Ltd.     

Taxonomizing the Relationship Between Biology and Economics: A Very Long Engagement

Synopsis This paper taxonomizes the possible types of linkage between the two disciplines of economics and biology. The most fundamental division is between, on the one hand, theories of the causal interaction between social and biological phenomena, and, on the other hand, theories addressing the degrees to which the two types of phenomena may be subject to common abstract principles. These two types themselves subdivide into a multiplicity of possibilities. While this detailed taxonomy reveals some options that are undermined by modern science, some others remain scientifically viable but have been relatively neglected.      

Economic science and ethical neutrality II: The intransigence of evaluative concepts

This paper returns to a perennial controversy I examined in a previous paper in the Journal of Business Ethics (Vol. 2, 1983). Is economic theory an ethically neutral discipline or do its statements presuppose a commitment to moral values? Once again this issue is addressed via a case study of the neo-classical theory of rational choice. In the present paper I focus on behaviourist forms of “operationalist” attempts to short-circuit any argument that would seek to infer moral presuppositions from the use of evaluative discourse. In particular, I examine strategies that have sought to excise from economic theory the “mentalistic” vocabulary required to describe valuations per se. And I argue that such tactics are deficient since they i) impoverish the explanatory power of economic theory, (ii) fail to recover the normative usefulness of the theory of choice, and (iii) camouflage the continued presupposition of moral commitments within neo-classical theory.     

Adaptive estimation of cointegrated models: simulation evidence and an application to the forward exchange market

The paper reports simulation and empirical evidence on the finite-sample performance of adaptive estimators in cointegrated systems. Adaptive estimators are asymptotically efficient, even when the shape of the likelihood function is unknown. We consider two representations of cointegrated systems—triangular cointegrating regressions and error correction models. The motivation for and advantages of adaptive estimators in such systems are discussed and their construction is described. We report results from the estimation of a forward exchange market unbiasedness regression using the adaptive and competing estimators, and provide related Monte Carlo simulation evidence on the performance of the estimators. Copyright © 1999 John Wiley & Sons, Ltd.     

Does stronger corporate governance constrain insider trading? Asymmetric evidence from Australia

We investigate the role of internal corporate governance in limiting opportunities for ASX company ‘insiders’ to extract abnormal returns from trading ‘own shares’. We show that stronger governance translates into more restrictive insider trading policies and, while not resulting in lower insider purchase volumes, values or profits, it does reduce insider selling profitability. Firm size and increasing trading policy restrictiveness is associated with reduced insider purchase profitability while insider sale profitability is reduced by aggregate governance, trading restrictions and increasing trading policy restrictiveness. We conclude that internal firm governance constrains insider sales but not purchases, providing contrarian trading signals.     

Ambiguous workarounds in policy piloting in the NHS: Tensions,trade‐offs and legacies of organisational change projects

Pilot projects are increasingly used as a mechanism to enact organisational change, particularly government policy. Information technology's centrality to organisations often makes it key to the introduction of new processes. However, it can give rise to workarounds as employees circumvent impediments it presents by rejecting its prescribed use. Workarounds tend to be conceptualised dichotomously, as either ‘good’ problem solving, or ‘bad’ subversion of the technology. In pilot projects, workarounds are more ambiguous because those that support projects' successful completion in the short‐term may undermine day to day operations longer term. We draw on interview data from a policy pilot in general practice in the National Health Service in England aimed at extending access to care. We problematise the dichotomous conceptualisation of workarounds, finding they can be simultaneously supportive and undermining of policy pilots. Workarounds thereby become political, as employees are required to trade‐off consequences for themselves and the wider organisation.     

Pilot workload and fatigue on short-haul routes: an evaluation supported by instantaneous self-assessment and ethnography

In the context of claims that the European Aviation Safety Agency’s flight and duty- time regulations pose a threat to safety, pilot workload and fatigue were assessed on two short-haul routes using a mixed-methods approach. Data produced by the US Air Force School of Aerospace Medicine Crew Status Survey (CSS) showed that pilots rarely assessed workload and fatigue to be high-risk. Data produced by an ethnographic study somewhat contradicted the CSS findings, with some pilots claiming to be fatigued. The combined data suggested a correlation between both workload and fatigue and aviation system dynamics such as airspace manoeuvring restrictions, especially in the vicinity of busy airports. The research presented an opportunity to test claims made for the CSS, specifically that it is ‘easily understood, easy to administer and minimally intrusive’. Missing forms and errors suggest that it is not as reliable a research instrument as proponents suggest, although contextual factors may have served to reduce the volume and quality of data. It is concluded that a pre-survey, systems-thinking-informed evaluation of the host airline would suggest ways of improving buy-in.     

The nature and units of social selection

On the basis of the technical definition of selection developed by George Price (1995), we describe two forms of selection that commonly occur at the social level, subset selection and generative selection. Both forms of selection are abstract and general, and therefore also incomplete; both leave aside the question of explaining the selection criterion and why entities possess stable traits. However, an important difference between the two kinds of selection is that generative selection can accommodate an explanation of how new variation is created, while subset selection cannot. An evolutionary process involving repeated cycles of generative selection can, in principle, continue indefinitely because imperfect replication generates new variation along the way, whereas subset selection reduces variation and eventually grinds to a halt. Even if the two kinds of selection are very different, they share a number of features. First, neither subset selection nor generative selection implies improvement: neither kind of selection necessarily leads to efficiency or implies systematic outcomes. Second, both subset selection and generative selection can lead to extremely rapid effects in a social population. Third, in the social domain, both generative selection and subset selection involve choice and preference in some way: neither form of selection necessarily excludes intentionality. In concluding the article, we single out a challenge for future research in identifying the role of various units of culture in selection processes and the multiple levels at which social selection processes take place.     

Sustainable livelihood principles and urban greening in informal settlements in practice: A case of Zandspruit informal settlement,South Africa

This article looks to investigate the practice of using the ‘sustainable livelihood approach’ in a multifaceted urban greening project, Trees for Homes. The urban greening project was implemented to improve the quality of life and help marginalised citizens of an informal settlement in South Africa to adapt to climate variability through tree planting. We explored the actual execution of the independent techniques being utilised in the implementation of the Trees for Homes project and how it can promote sustainable livelihood objectives in the Zandspruit informal settlement in South Africa. Using a qualitative approach, the study was able to effectively apply sustainable livelihood principles. It was also found, however, that the multi-level principle was limited by the lack of political muscle which is endemic to many disempowered poor citizens of developing economies. Although the project was successful in many ways, political vulnerability within the development cycle threatens the longer term sustainability of the project outcomes.