Simple technical trading rules of stock returns: evidence from 1987 to 1998 in Chile

This paper tests two of the simplest and most popular trading rules — moving average and trading range break-out — in the Chilean stock market. Overall, our results are similar to the ones of Brock et al. (1992), providing strong support for the technical strategies. In fact, buy signals consistently generate higher returns than sell signals. Moreover, returns following sell signals are negative, which is not easily explained by any of the currently existing equilibrium models. However, we do not observe any difference regarding the risk for the signs of buys and sells, a result explained by the fact that the Chilean stock market is highly concentrated and illiquid.     

Non-preferential trading clubs

This paper examines the welfare implications of non-discriminatory tariff reforms by a subset of countries, which we term a non-preferential trading club. We show that there exist coordinated tariff reforms, accompanied by appropriate income transfers between the member countries, that unambiguously increase the welfare of these countries while leaving the welfare of non-members unaltered. In terms of economic policy implications, our results show that there exist regional, MFN-consistent arrangements that lead to Pareto improvements in world welfare.     

Insider trading revisited

A recent article in this Journal argued that insider trading is an unethical practice leading to an inefficiently functioning market. The debate on this topic has primarily pitted ethical defenses of prohibition against economic arguments extolling its allowance. In addition to being incomplete, this approach ignores other unwanted economic effects of prohibition itself and unethical implications of its existence. This article shows that Adam Smith's free market concept, when properly interpreted, provides all the incentive structure necessary for an efficient and ethical marketplace even when insider trading is permitted. Deryl W. Martin has presented his research at several regional and national conferences, and has published in the Journal of Economics and Business, the Journal of Strategic and Financial Decisions, The Moneypaper, and several proceedings and newspapers. He is currently Assistant Professor of Finance at Tennessee Technological University in Cookeville, TN.Jeffrey H. Peterson is a doctoral candidate in finance at the University of Alabama. He also has presented his research at several regional and national meetings, and is currently Instructor of Finance at St. Bonaventure University in Olean, NY.     

Reassessing Portfolio Entrepreneurship

Portfolio entrepreneurship, that is the simultaneous ownership of several businesses, is becoming an important theme in the small business research literature. To date, however, there have been few dedicated empirical investigations of the phenomenon. This article analyses research on portfolio entrepreneurship that has been derived from a wide range of subject literatures, including economic sociology, cultural anthropology and agricultural economics. The aim is to provide a deeper understanding of the motivations for portfolio entrepreneurship approaches and the processes associated with it.     

Half-day trading and spillovers

This paper investigates the linkage of returns and volatilities between the United States and Chinese stock markets from January 2010 to March 2020. We use the dynamic conditional correlation (DCC) and asymmetric Baba–Engle–Kraft–Kroner (BEKK) GARCH models to calculate the time-varying correlations of these two markets and examine the return and volatility spillover effects between these two markets. The empirical results show that there are only unidirectional return spillovers from the U.S. stock market to the Chinese stock market. The U.S. stock market has a consistently positive spillover to China’s next day’s morning trading, but its impact on China’s next day’s afternoon trading appears to be insignificant. This finding implies that information in the U.S. stock market impacts the performance of the Chinese stock market differently in distinct semi-day trading. Moreover, with respect to the volatility, there are significant bidirectional spillover effects between these two markets.     

Carbon trading in pipeline

The country is set to begin domestic carbon trading programs during its 12th Five-Year Plan period （2011-2015） to help it meet its 2020 carbon intensity target.     

中国车险结构向责任险转换

回眸2004年，尽管汽车市场持续萧条、低迷，但中国汽车责任保险制度取得了实质性的进展，中国汽车保险产品结构开始从车损险向责任险的结构迈进。如果将轿车加速进入家庭的2002年称为中国的汽车元年，那么2004年就应当被称为中国汽车责任保险的元年。     

Strategic Portfolio Management Model

Abstract

Institutional investors look forward to extra-ordinary returns in the new millennium. Yet, many have not displayed knowledge of scientific models such as modern portfolio theory, capital asset pricing model, and other financial assets investment management approaches, particularly within the local setting. They indiscriminately take risk by investing in subjectively determined options. We surveyed 44 quoted and unquoted companies, typical of emerging economies using Nigeria as a case. The test of hypotheses reveals that the firms' basis of portfolio selection is traditional. Investment risk is taken for granted. Also the homogeneity of portfolio components, though attractive in the short-run, adversely affect investment returns in the long-run. We, therefore, recommend the departmentalization and standardization of the corporate investment management process, reorientation and direction of organizational functionaries towards effective adoption of scientific approaches as integrally represented by the strategic portfolio management model, exemplified in this work.     

Optimal Sure Portfolio Plans

This paper is a sequel to the author's "Certainty Equivalence in the Continuous-Time Portfolio-cum-Saving Model" in Applied Stochastic Analysis (eds. M. H. A. Davis and R. J. Elliot), where a model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time was considered in which the vector process representing returns to investment is a general semimartingale with independent increments and the welfare functional has the discounted constant relative risk aversion (CRRA) form. A problem of optimal choice of a sure (i.e., nonrandom portfolio plan can be defined in such a way that solutions of this problem correspond to solutions of optimal choice of a portfolio-cum-saving plan, provided that the distant future is sufficiently discounted. This has been proved in the earlier paper, and is in part proved again here by different methods. Using the canonical representation of a PII-semimartingale, a formula of Lévy-Khinchin type is derived for the bilateral Laplace transform of the compound interest process generated by a sure portfolio plan. With its aid. the existence of an optimal sure portfolio plan is proved under suitable conditions, and various causes of nonexistence are identified. Programming conditions characterizing an optimal sure portfolio plan are also obtained.     

Technical analysis and computer trading

The efforts of the central banks of Western industrial countries to stabilize exchange rates following the Louvre Agreement demonstrated yet again how difficult it can be to influence events in the foreign exchange markets. What factors are currently affecting exchange rates? What significance attaches to technical analysis in this context?     

Interdealer trading in futures markets

Trading amongst dealers on the floor of the futures exchange is examined. Since there is only one trading venue, the common floor area, trading between dealers is carried on in the presence of trades involving customer orders as well, offering a unique setting for testing the effect of inventory on dealer pricing. The findings are that these futures floor traders implicitly engage in interdealer trading as an inventory management tool. Interdealer trades are more likely to be position reducing than other trades, at higher costs than offsetting with customers. In addition, the concept of a dealer hierarchy is developed, where some floor traders, who generally are more successful, profit from their trades with other dealers. Furthermore, these more successful traders are more likely to use interdealer trading in position reducing trades, which is consistent with the existence of a dealer hierarchy. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:923–944, 2004     

轨道交通与商圈

轨道交通与商圈主要有四个方面的内容,一个是轨道交通对商圈的推动作用,以及上海目前轨道交通与商圈的互动情况,以及未来的规划以及国际的介绍.     

Limits of semistatic trading strategies

We show that pointwise limits of semistatic trading strategies in discrete time are again semistatic strategies. The analysis is carried out in full generality for a two-period model, and under a probabilistic condition for multiperiod, multistock models. Our result contrasts with a counterexample of Acciaio, Larsson, and Schachermayer, and shows that their observation is due to a failure of integrability rather than instability of the semistatic form. Mathematically, our results relate to the decomposability of functions as studied in the context of Schrödinger bridges.     

Consumer insurance

This report sets out the legal requirements which the European Consumer Law Group believes ought to be incorporated into consumer insurance contracts.The opening sections deal primarily with the law and practice governing pre-contractual negotiations. Subject areas covered include: (I) the need for accurate information about the cost of insurance and the extent of cover; (II) the use of consumer protection devices such as the cooling-off period and/or the offre préalable; (III) whether there should be a right to insurance per se; (IV) the unfairness of the law governing declarations of risk and non-disclosure.The next section of the paper analyses the terms of the insurance contract by commenting upon: (V) the wording form and language of contracts; (VI) the law governing warranties and Obliegenheiten; (VII) the legal effect of false replies to questionnaires and basis of the contract clauses; (VIII) whether the terms of insurance contracts should be subject to general consumer legislation.The penultimate section of the paper is concerned with (IX) the duration and (X) the termination of insurance contracts. The paper concludes by addressing itself to (XI) a number of miscellaneous matters and by (XII) stressing the need for effective redress procedures in the insurance field. The recommendations contained therein are then annexed in summary form.

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Verbraucher und Versicherung

Zusammenfassung Die European Consumer Law Group, eine Vereinigung von Rechtslehrern und Rechtspraktikern des Verbraucherrechts in Europa, macht in ihrem hier veröffentlichten Bericht eine Reihe von Vorschlägen über die grundlegenden Anforderungen, die aus der Sicht des Verbrauchers an die Gestaltung von Versicherungsverträgen zu richten sind. Dabei wird bewußt versucht, unter Absehen von den außerordentlichen regulatorischen Unterschieden innerhalb der Mitgliedstaaten der EG und der anderen europäischen Staaten ein auf Verbraucher zugeschnittenes Versicherungsvertragsmodell zu entwickeln. Zuerst geht es dabei um die Phase der Vertragsverhandlungen. Der Verbraucher benötigt exakte Informationen über die Kosten der Versicherung und den Deckungsumfang (I). Vorgesehen ist die Verankerung von verbraucherschützenden Regeln Über ein Widerrufsrecht und/oder die Verpflichtung des Versicherungsunternehmens zur Abgabe eines bindenden Angebots (Grundsatz der offre préalable) mit vorläufigem Deckungsschutz (II). Erörtert wird weiterhin die Frage eines Kontrahierungszwanges des Versicherungsunternehmens, wie sie im Schwedischen Verbraucherversicherungsgesetz vorgesehen ist (III). Die Angabepflichten des Versicherungsnehmers bezüglich des versicherten Risikos sind klar zu gestalten und hinsichtlich der Rechtsfolgen bei Verstoß vor unnötigen Härten freizuhalten (IV).Der nächste Teil des Papieres geht auf die Versicherungsbedingungen im einzelnen ein. Dazu gehören Sprache und Gestaltung des Vertrages (V), Regeln über Obliegenheiten und sogenannte warranties (Zusicherungen des Versicherungsnehmers bezüglich des versicherten Risikos) (VI), Rechtsfolgen bei Verstoß gegen Vertragsbestimmungen (VII) und Notwendigkeit der Anwendung allgemeiner verbraucherschützender Regeln, etwa über allgemeine Geschäftsbedingungen, auch auf Versicherungsverträge (VIII).Danach wendet sich das Papier der Dauer (IX) und der Beendigung (X) von Versicherungsverträgen zu. Zum Schluß werden eine Reihe sonstiger Fragen des Versicherungsvertrages behandelt (XI), um schließlich die Notwendigkeit effektiver Beschwerde- und Rechtsdurchsetzungsmechanismen (XII) hervorzuheben. Ein Annex faßt die konkreten rechtspolitischen Empfehlungen zusammen.

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The European Consumer Law Group (E.C.L.G) is a group of lawyers and law scholars in the EEC, concerned with legal aspects of consumer protection. Correspondence regarding this paper should be directed to: Mr. Alex Schuster, Lecturer in Law, Trinity College, Dublin 2, Ireland.     

The ethics of insider trading

Despite the fact that a number of economists and philosophers of late defend insider trading both as a viable and useful practice in a free market and as not immoral, I shall question the value of insider trading both from a moral and an economic point of view. I shall argue that insider trading both in its present illegal form and as a legalized market mechanism undermines the efficient and proper functioning of a free market, thereby bringing into question its own raison d'etre. It does so and is economically inefficient for the very reason that it is immoral. Thus this practice cannot be justified either from an economic or a moral point of view.

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