Small traders in currency futures markets

This study examines the interrelation between small traders' open interest and large hedging and speculation in the Canadian dollar, Swiss franc, British pound, and Japanese yen futures markets. The results, based on Granger‐causality tests and vector autoregressive models, suggest that small traders' open interest is closely related to large speculators' open interest. Small traders and speculators tend to herd, which means that small traders are long [short] when speculators are long [short] as well. Moreover, small traders and speculators are positive feedback traders whereas hedgers are contrarians. Regarding information flows, speculators lead small traders in three of the four currency futures markets. The results therefore suggest that small traders are small speculators who follow the large speculators, indicating that they are less well informed than the large speculators. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:898–913, 2011     

Knowledge Flows Between Advertising and Other Disciplines: A Social Exchange Perspective

Knowledge flows between advertising and other academic disciplines are examined to identify the structure of scientific knowledge, the extent of social exchange and the scientific status of the field. Bibliometric analysis is used to identify who is citing our research and who we cited. Cocitation patterns for the leading advertising journals (Journal of Advertising [JA], Journal of Advertising Research [JAR], International Journal of Advertising [IJA], Journal of Interactive Advertising [JIA], and Journal of Current Issues and Research in Advertising [JCIRA]) and the top 50 citing and cited journals with citation relationships from 2005 to 2014 were examined. Findings revealed that advertising is citing advertising scholarship the most, followed by marketing, consumer research, psychology, and communication. This suggests a “maturing field” where scholars look within the discipline's body of knowledge. In turn, advertising research is cited by advertising, marketing, business (general), communication, and psychology. The overall citing-to-cited ratio suggests that advertising is more a “receiver” than “provider” of knowledge to other disciplines; however, there is variation across the advertising journals. The positioning of advertising journals in the larger disciplinary framework shows close relationships to consumer research and interactive communication. The most common focus among the top-cited articles is digital media, with few articles focusing on traditional advertising. The implications of our findings for the field of advertising are discussed.     

The behavior and performance of major types of futures traders

This article examines the behavior and performance of speculators and hedgers in 15 U.S. futures markets. We find that after controlling for market risk factors, speculators are contrarians, but respond positively to market sentiment. In contrast, hedgers engage in positive feedback trading and trade against market sentiment. We also find that trades of speculators (hedgers) are positively (negatively) correlated with subsequent abnormal returns; however, it does not appear that speculators possess superior forecasting power. Therefore, hedging pressure effects likely explain the negative relation between the performance of speculators and hedgers. The positive feedback trading by hedgers together with their negative performance suggests that hedgers have a destabilizing impact on futures prices. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1–31, 2003     

网络-信道联合编码的DmF协作通信技术

提出了一种采用网络-信道编码的解调前传(DmF)协作通信方案。与译码前传（DF）相比, DmF协作方式在中继处只对信号进行解调而非译码,因此,大大降低了中继节点的复 杂度。在由两个用户、一个中继节点和一个基站组成的通信模型中,采用LDPC信道编码 与网络编码结合的方式,构造了一种DmF协作传输方式。在基站处,通过构造的〖WTHX〗H〖 WTBZ〗矩阵对 来自两用户及中继的信号进行联合译码。仿真结果表明：所给方案的性能优于非协作方 式及无网络编码的协作通信方式,随着信噪比的增加这种优势会更加明显;另外,DmF的性 能与DF的非常接近,但其设备复杂度却大大降低,因此DmF比DF方式更具实用性。 同时,该方案在降低设备复杂度、减少延迟、有效对抗无线信道慢衰落、提高通信性能及频 谱利用率等方面都是非常有效的。     

Response rates in international mail surveys: Results of a 22-country study

Researchers embarking on their first international mail survey find very little guidance in the present academic literature. In 1988, two articles were published in the fall issue of the Journal of International Business Studies that claimed that: “at the moment the crossnational researcher has very little evidence upon which to base his judgments about [mail] survey design” [Jobber and Saunders (1988) An experimental investigation into cross-national mail survey response rates, Journal of International Business Studies19, 488] and “Literature concerned with response rates from industrial samples drawn from multiple countries is nearly absent” [Dawson and Dickinson (1988) Conducting international mail surveys: the effect of incentives on response rates within an industrial population, Journal of International Business Studies19, 492]. Unfortunately, not much has changed since. Still, very little is known about how respondents from different countries react to mail surveys. This article intends to fill part of this gap by describing the results of a large scale international mail survey in 22 countries. Response rates are shown to vary considerably across countries in a way that contradicts much of the earlier (American) research on this subject. Several explanations for these differences in response rates are put forward.     

An analysis of illiquidity in commodity markets

We examine the liquidity and insurance premia demanded by hedgers and speculators in commodity markets. We find that hedgers and speculators demand a higher premium for illiquid commodities for providing insurance and liquidity, respectively. Decomposing illiquidity into turnover and size components, we find evidence of a size premium associated with the insurance premium such that speculators demand a larger insurance premium for smaller commodities. We also find that the liquidity premium demanded by hedgers for illiquid commodities varies across bullish and bearish markets with hedgers demanding a larger premium from speculators trading in illiquid commodities in bearish markets.     

Meeting Scheduling: Face-to-Face,Automatic Scheduler,and Email Based Coordination

We conducted laboratory experiments based on small groups (4 to 5 participants) to compare the performance of 4 different mechanisms of meeting scheduling: (a) face-to-face coordination wherein individuals negotiate in person and arrive at a consensus on the timing of the meeting, (b) email as the sole communication medium with no structured support, (c) the calendar-based scheduling mechanism using email, and (d) an automated scheduler. Participants of the experiment were drawn from a university in Hong Kong. The experiment was implemented based on the real task of meeting scheduling among project groups that had to meet several times during a 3-month period to work on their project (regardless of this experiment). Postexperimental surveys were used to assess satisfaction with agreed meeting time and perceived efficiency in coordination. The frequency of scheduling conflicts also was measured. Data analysis indicates that even with higher scheduling conflicts among the group members, participants in general showed more satisfaction with the meeting time reached during the face-to-face meeting and also concurred on the efficiency of face-to-face coordination. Overall, they preferred communication-oriented approaches such as face-to-face coordination over decision-oriented ones such as the automated scheduler. We discuss the result of data analysis from the perspective of cultural implications on meeting scheduling and on virtual process management.     

A transaction level study of the effects of central bank intervention on exchange rates

We study the effects of sterilised intervention operations executed on behalf of the Swiss National Bank (SNB) using tick-by-tick transactions data between 1986 and 1995. We extend the preliminary analysis of [Economic Journal 109 (1999) 662] by matching these data with indicative intra-day exchange rate quotes and news-wire reports of central bank activity. Using an event study approach we find that intervention has important short-run effects on exchange rate returns. In particular, among various results, we find that i) intervention has a stronger impact when the SNB moves with-the-market and when its activity is concerted with that of other central banks and ii) exchange rate returns move in the 15 min interval prior to interventions.     

Volatility and trading demands in stock index futures

In this study we examine how volatility and the futures risk premium affect trading demands for hedging and speculation in the S&P 500 Stock Index futures contracts. To ascertain if different volatility measures matter in affecting the result, we employ three volatility estimates. Our empirical results show a positive relation between volatility and open interest for both hedgers and speculators, suggesting that an increase in volatility motivates both hedgers and speculators to engage in more trading in futures markets. However, the influence of volatility on futures trading, especially for hedging, is statistically significant only when spot volatility is used. We also find that the demand to trade by speculators is more sensitive to changes in the futures risk premium than is the demand to trade by hedgers. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:399–414, 2003     

Predictive abilities of speculators in energy markets

Using nonparametric methodology, I find that speculators are successful in taking profitable positions in energy futures markets, although the magnitude of this effect is lower than that found previously for agricultural markets. A plausible explanation for this difference is that price forecasting is more difficult for energy commodities. Moreover, I find that the energy speculators’ returns are due to the existence of the risk premiums rather than to speculators’ forecasting abilities. Futures risk premium is highly time-variant; notably, energy investors’ profits have been very limited in the GFC and post-GFC period, which coincided with the financialization of commodity markets.     

The effect of net positions by type of trader on volatility in foreign currency futures markets

We investigate the effect of net positions by type of trader on return volatility in six foreign currency futures markets using the weekly Commitments of Traders (COT) data. When net positions are decomposed into expected and unexpected components, we find that expected net positions by type of trader generally do not co‐vary with volatility. However, volatility is positively associated with shocks (in either direction) in net positions of speculators and small traders, and negatively related to shocks (in either direction) in net positions of hedgers. This evidence suggests that changes in speculative positions destabilize the market. Consistent with dispersion of beliefs models and noise trading theories, hedgers appear to possess private information, whereas speculators and small traders are less informed in these markets. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:427–450, 2002     

Currency crises with the threat of an interest rate defence

While virtually all currency crisis models recognise that the decision to abandon a peg depends on how tenaciously policy makers defend it, this is seldom modelled explicitly. We add the threat of an interest rate defence to the global game model of Morris and Shin (American Economic Review 88, 1998). With an endogenous defence, actions of speculators may become strategic substitutes instead of the usual complements. Nevertheless, our generalised model remains tractable and has a unique threshold equilibrium. It provides additional insights. For instance, the threat of an interest rate defence makes speculation riskier and this may be sufficient to keep speculators out when fundamentals are still relatively strong.     

The link between intraday signals and call warrant mispricing

This study proposes a linkage between intraday variables (signal amounts and signal duration) and the mispricing of Taiwan call warrant prices, based on the lower boundary condition of Merton [1973. Theory of rational option pricing. Bell Journal of Economics and Management Science, 4(1), 141–183] as modified by Galai [1978. Empirical tests of boundary conditions for CBOE options. Journal of Financial Economics, 9(2), 321–346]. Trading mispriced call warrants associated with a riskless hedging strategy over the period January 2004–December 2005 on average produces abnormal profits after taking into account transaction costs, as indicative of an inefficient market.     

The Journal of Business-to-Business Marketing at 21 and My Perspective on the Field of B to B Marketing

ABSTRACT

Purpose: The author shares his thoughts on the progression of the Journal of Business-to-Business Marketing and the field of business-to-business (B to B) marketing over the last 21 years. The author discusses the field of B to B marketing research and examines the gaps that exist between theory and practice and in the quality of papers among the top-tier marketing journals and the three journals that are dedicated to B to B marketing research.

Methodology[#x0002F]approach: Because the article represents both the author[#x02019]s perspective on the current state of B to B research and his views on how well the Journal of Business-to-Business Marketing has contributed to and influenced the field, the approach taken is primarily conceptual. Also, the approach allowed the author to opine as to the future direction of the field.

Findings: Although much progress has been made in improving the quality and relevance of B to B research, there still exists a relative gap in the number of submitted papers, the quality of these papers, and the impact, with some exceptions, that B to B scholars have on marketing theory and practice. Much of the gap can be attributed to the lack of adequate doctoral training. The gap is more a relative comparison to those who would follow a business-to-consumer (B to C) research path.

Research implications: Doctoral training for those interested in B to B marketing need to explore other fields of study (e.g., political science, sociology) as well as to be better equipped in more rigorous methods by which to examine the phenomenon that they select to study. The quality of the research in the domain referred to as B to B marketing has improved over the years. The belief that it is more difficult to conduct B to B research than it might be in the B to C world is no longer an excuse for a poorly conceived and executed study. The journal gives a voice to those who wish to study and conduct research in B to B marketing.

Practical implications: The implications for practice are immediate and would result in an increase in the dialogue between academics and practicing managers. Given the importance of B to B marketing to the world[#x02019]s economy, B to B scholars ought to pursue problems that are relevant to the world of practice.

Originality[#x0002F]value[#x0002F]contribution: In light of the fact that this is the 21^st anniversary of the journal, I was asked by Editor-in-Chief David Lichtenthal to present my

opinions as to the state of both the journal and the state of the field. I believe that the article builds on the work of others and hopefully sets a direction for future B to B scholars.     

Are speculators informed?

The positions of hedgers and speculators are correlated with returns in a number of futures markets, but there is much debate as to the interpretation of such a relationship—whether it reflects private information, liquidity, or trend‐chasing behavior. This paper studies the relationship between positioning of hedgers and speculators and returns in equity futures markets. I propose a novel test of the private information hypothesis: analyzing the effect of public announcements about futures positions on prices, using high‐frequency data in short windows around the announcements. I find that the revelation of speculators' positions is informative to investors more broadly, supporting the private information view. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark     

Devaluation without common knowledge

In an economy with a fixed exchange rate regime that suffers a random adverse shock, we study the strategies of imperfectly and sequentially informed speculators that may trigger an endogenous devaluation before it occurs exogenously. The game played by the speculators has a unique symmetric Nash equilibrium which is a strongly rational expectation equilibrium in the set of all strategies with delay. Uncertainty about the extent to which the Central Bank is ready to defend the peg extends the ex ante mean delay between the exogenous shock and the devaluation. We determine endogenously the rate of devaluation.     

Expectations and exchange rate dynamics: A state-dependent pricing approach

This paper presents a two-country DSGE model with state-dependent pricing as in Dotsey et al. [Dotsey, M., King, R.G., and Wolman, A.L., 1999. State-dependent pricing and the general equilibrium dynamics of money and output. Quarterly Journal of Economics 114, 655-690] and variable demand elasticity as in Kimball [Kimball, M.S., 1995. The quantitative analytics of the basis neomonetarist model. Journal of Money, Credit, and Banking 27, 1241-1277]. Following a domestic monetary expansion, the model predicts: (i) positive hump-shaped responses of domestic output and consumption, (ii) positive spillover effects on foreign output and consumption, (iii) a high international output correlation relative to consumption correlation, (iv) a delayed increase in domestic and foreign inflation, (v) a delayed nominal exchange rate overshooting, (vi) a deterioration in the terms of trade, and (vii) a J-curve in the trade balance. The model matches the impulse responses from an identified VAR more closely than an otherwise identical model with time-dependent pricing.     

A closer look at co-movements among stock returns

Correlation among financial assets is widely recognized; however, the mechanics of the relationship are not well understood. This paper investigates the microstructure of the co-movement of stock returns. The goal is to improve our understanding of correlation among stock returns by examining the conditions under which asset returns co-move on an intra-day basis. The methodology combines a traditional lead–lag model with a modified or pseudo-error correction model. Empirical evidence is presented to suggest the speed of adjustment between paired asset intra-day returns is a function of asymmetric information. Specifically, the wider an asset's spread, the faster the asset will converge to the intra-day returns of other similar assets. This result is consistent with partial adjustment model presented by Chan (Chan, K. (1993). Imperfect information and cross-autocorrelation among stock prices. The Journal of Finance:1211–1230.) which suggests market makers gain from monitoring other market makers in periods of uncertainty.     

Market volatility and the demand for hedging in stock index futures

This study examines the relation between stock market volatility and the demand for hedging in S&P 500 stock index futures contracts. Open interest is used as a proxy for hedging demand. The analysis employs unique data that identify separately the open interest of large hedgers, large speculators, and smaller traders. Volatility estimates are decomposed into expected and unexpected components, to assess whether traders’ reactions to volatility depend upon its predictability. Results indicate that daily open interest for hedgers increases when unexpected volatility increases. Increases in unexpected volatility may cause hedgers to raise their estimates of future expected volatility, and hence increase their demand for hedging. Open interest of speculators is not related to expected volatility, and is only weakly related to unexpected volatility. The increase in the participation of hedgers in periods of higher volatility is significantly larger than the increase in the participation of speculators. The results suggest that increases in stock market volatility increase the demand for hedging. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 105–125, 2000     

Coordination Structures and System Restrictiveness in Distributed Group Support Systems

Most GSS research has studied the impact of restricting group interaction to GSS-prescribed coordination structures with face-to-face groups, while Distributed GSS (DGSS) has been largely ignored. Due to the nature of mediated communication in asynchronous interaction, it is relatively difficult to coordinate distributed groups, and a special coordination structure must be arranged to overcome these difficulties. This study examines the effect of system restrictiveness of coordination structures in an asynchronous environment. A 2 × 2 factorial experiment was designed with two independent variables – sequential vs. parallel coordination mode, and with vs. without a leader – to construct coordination structures with varying degrees of restrictiveness. The study finds that less restrictive coordination structures are more appropriate to support asynchronously interacting distributed groups. Objective decision quality is equal for both parallel and sequential coordination mode, but is significantly better with a group leader. Groups with parallel coordination mode have a stronger belief that the decisions they made are of higher quality than those of groups with sequential coordination mode. In groups with a leader, communication effectiveness is better. Satisfaction with a decision process is higher in parallel coordination groups and in groups with a leader. There is also a significant interaction effect. Satisfaction with the decision process is higher in sequential coordination groups with a leader than sequential coordination groups without a leader.