Industrial slavery in the United States: the North Carolina turpentine industry 1849-61

The operation of the North Carolina turpentine industry in the late Antebellum period (1849-61) depended upon labour supplied by slaves who were either owned or hired. The nature of the work, which covered thousands of acres of forestland, led to the use of a task system whereby each slave was assigned a large tract of forest that was worked with little supervision over several months. An important finding is the content and significance of the production records for the slaves assigned to these long-term tasks. The slaves, like those in other industries and on plantations, could earn a certain amount of money for themselves by taking on extra chores. Details of those payments appear in these records. The conditions of life, including food, clothing, and the forest environment are reconstructed where possible. The records raise some questions about the relationship between the payments, extra work and slave behaviour which however, remain unanswered.     

Examining dynamic currency linkages amongst South Asian economies: An empirical study

In this paper, we examine the currency market linkages of South Asian member countries using daily data from 6 January 2004 to 31st March 2016. Time invariant and varying Copula GARCH models show that South Asian countries, except for India and Nepal/Bhutan, have low levels of currency market linkages which can be ascribed to poor levels of intra-regional trade intensity and portfolio flows. We reconfirm the copula results through Diebold and Yilmaz methodology and document that currency market connectedness is very limited in the South Asian region. The trends of the fundamental determinants of currency co-movements for the South Asian member countries were compared with its neighbouring regional economic bloc in Asia which has a much longer history and a wider membership base i.e ASEAN + 6. From a comparative analysis, it was found that South Asia member states have to work on their governance parameters, improve on their trade linkages and trade tariffs and work towards greater degree of capital account convertibility with adequate safeguards to achieve higher levels of currency market linkages.     

Consolidation, fragmentation, and the disclosure of trading information

It is commonly believed that fragmented security markets havea natural tendency to consolidate. This article examines thisbelief, focusing on the effect of disclosing trading informationto market participants. We show that large traders who placemultiple trades can benefit from the absence of trade disclosurein a fragmented market, as can dealers who face less price competitionthan in a unified market. Consequently, a fragmented marketneed not coalesce into a single market unless trade disclosureis mandatory. We also compare and contrast fragmented and consolidatedmarkets. Fragmentation results in higher price volatility andviolations of price efficiency.     

Maize and the Free Trade Agreement between Mexico and the United States

Setting the price of maize in rural Mexico above the world priceis inefficient and likely to have negative distributional effectsbecause many subsistence producers, and all landless workers,are net buyers; in fact it screens out the relatively poor ratherthan the relatively rich. The policy objective, therefore, shouldbe to move toward free trade. This would yield large gains inefficiency. The Free Trade Agreement provides an ideal opportunity to pursuethis objective. It will provide freer entrance into the UnitedStates for other agricultural products as well as a broad rangeof manufactured products. Insuring secure and sustained accessfor labor-intensive agricultural and manufactured products canhelp ease the impact on the labor market of a transition awayfrom subsistence maize cultivation.     

Pricing to market with trade liberalization: The role of market heterogeneity and product differentiation in India’s exports

This paper studies the links between pricing to market (PTM) and trade liberalization using data for India’s exports (at the 4-digit level of classification) during the economic reforms period (1992–2005). We estimate a PTM model for exports to the G3 and three other emerging markets (Brazil, China and South Africa), distinguishing homogeneous from differentiated goods and correcting for changes in the level of protection faced by India’s exporters (import tariffs in destination markets), inflation and openness in the export destination market, a macroeconomic policy index partly reflecting changes in exporter’s costs, the share of the exporter in the destination market and the share of the product in the exporter’s total exports. We find that market heterogeneity changes the level of PTM, but PTM does not significantly differ between homogeneous and differentiated products. Indian exporters practice PTM by absorbing exchange rate changes into their mark-up in G3 markets, where they face tougher competition, but fully pass-through exchange rate changes in emerging markets. On the contrary, Indian exporters seem to be taking advantage of trade liberalisation in destination markets by marginally increasing exporter currency prices into emerging markets but not into the G3. However, in the case of differentiated goods, we find this effect of trade liberalisation for both G3 and emerging markets.     

Flight of the young flamingoes: alternative futures for young entrepreneurs in South Africa

The opening of South Africa’s once-protected borders to global trade has severely affected the employment opportunities and wealth creation of traditional industry in the country. Alongside this, the enormous political change with the abolition of apartheid and the presence of majority rule creates a new political regime and new expectations of the people of South Africa. Young people cannot look to traditional ways for their future. Instead of being dependent on others they must learn to be enterprising and self-dependent. Many forms of small businesses can be created as part of the economic development, and there are a range of government and industry-backed programmes to engender the ‘can do’ mindset and the market conditions and intelligence needed to succeed.     

Price,trade size,and information in securities markets

This paper investigates the effect of trade size on security prices. We show that trade size introduces an adverse selection problem into security trading because, given that they wish to trade, informed traders perfer to trade larger amounts at any given price. As a result, market makers' pricing strategies must also depend on trade size, with large trades being made at less favorable prices. Our model provides one explanation for the price effect of block trades and demonstrates that both the size and the sequence of trades matter in determining the price-trade size relationship.     

Locals, foreigners, and multi-market trading of equities: Intraday evidence from Thailand

We study stock market orders and trades in a developing country, Thailand, where foreign ownership limits partially segment local and foreign investors into two distinct markets. Some foreigners forgo voting rights and distributions to trade on the “local board”, while some locals forgo such benefits and pay a price premium to trade on the “foreign board”. Regardless of nationality, these cross-market traders typically submit orders when liquidity is high, fill orders at relatively beneficial prices, exploit patterns in stock prices across markets, display profitable holding-period returns, and enhance price discovery. This suggests that skilled, informed trading that affects market quality does not depend on trader nationality.     

Free trade agreements and market integration: Evidence from South Korea

We consider the effects of free trade agreements on market integration between South Korea and its solo and trade-bloc FTA partners. Free trade agreements should reduce tariffs and trade costs and lead to faster home-to-foreign price convergence. We investigate these ideas with a non-linear self-exciting threshold autoregressive (TAR) model, by introducing a threshold break at the effective FTA date. This strategy allows us to consider: (1) whether trade costs have declined after the free trade agreement; and (2) whether the speed of mean reversion in the home-foreign price differential is faster after the FTA. Our study includes nine of South Korea’s free trade agreements and covers twenty-eight partner countries. We find evidence that after free trade agreements, trade costs have been reduced for nine countries, providing evidence that greater market integration has been achieved on this score. However, evidence on whether the speed of home-to-foreign price convergence increases after free trade agreements is lacking.     

韩国证券市场的发展历程、特征及其启示

本文通过回顾韩国证券市场自20世纪50年代以来的发展历程,认真梳理和总结了韩国证券市场发展过程中的成功经验和失败教训,以期对我国证券市场的发展提供借鉴。     

汇率波动、生产网络与股市风险--基于中美贸易摩擦背景的分析北大核心

本文从生产网络视角出发,研究中美贸易摩擦期间汇率变动对中美两国股票市场的直接影响以及由行业间生产联系带来的网络影响。从静态一般均衡模型可推出具有空间自回归(SAR)模型形式的实证模型,其中以行业间投入产出关系作为空间权重矩阵。实证结果发现,中美双边汇率变动对两国股市的影响在贸易摩擦期间均比之前更为显著,人民币贬值导致中国股市收益率下降,其中约50%是由行业间生产联系带来的网络效应,而美元升值导致了美国股市收益率下降,其中约37%是网络效应。关税制裁波及的行业与未波及行业的股票收益率均受汇率变动影响,但后者受到的网络影响更大,且各行业受到的网络影响主要由其下游行业传递。     

影响我国贸易收支的结构性因素浅析

本文分析了市场结构、产品结构、产业结构及产业组织结构对我国贸易收支的影响 ,提出加入WTO将使我国进一步融入到经济全球化的进程中 ,从长期来看 ,维持贸易收支平衡 ,关键在于解决好我国的经济结构问题。     

Market transparency,liquidity externalities,and institutional trading costs in corporate bonds

We develop a simple model of the effect of public transaction reporting on trade execution costs and test it using a sample of institutional trades in corporate bonds, before and after initiation of the TRACE reporting system. Trade execution costs fell approximately 50% for bonds eligible for TRACE transaction reporting, and 20% for bonds not eligible for TRACE reporting, suggesting the presence of a “liquidity externality.” The key results are robust to changes in variables, such as interest rate volatility and trading activity that might also affect execution costs. Market shares and the cost advantage to large dealers decreased post-TRACE. These results indicate that market design can have first-order effects, even for sophisticated institutional customers.     

Trade size clustering and the cost of trading at the London Stock Exchange

For the London Stock Exchange, this paper investigates differences in trading costs between market maker (off-book) and order book trades, in the context of clustering in trade sizes and prices. We report several substantial findings. Even after controlling for differences in trade size, the realised spread measure is lower for off-book trades. For the order book, trade size clustering is not associated with differences in transaction costs nor with differences in the information content of trades. For the off-book market, trades in clustered (popular) sizes carry significantly more information than non-clustered trades. Despite the significant differences in the price impact estimates between the order book and off-book, we show that traders placing large orders off-book are still better off than trading via the order book as they benefit from a large discount from the current midpoint price. Additionally, we highlight that price and size clustering tend to occur simultaneously rather than being substitutes in this market setting.     

Demographic Dividends in the ‘South’, Ageing ‘North’, and ‘South-South’ Trade Diversification

The absence of clear convergence in incomes per capita and welfare between the North and the South, even in the face of spectacular growth rates in GDP in the emerging South, might be due to a terms of trade deterioration resulting from an expansion of production in the South which depresses the product’s price on world markets. This may originate from a “technical catch up” and also from a “demographic dividend” in the South relative to an ageing North. This article illustrates that some South-South trade diversification might mitigate the terms of trade deterioration and increase welfare gains in the South. We use a multicountry overlapping-generation general equilibrium model to simulate the magnitude of the terms of trade effect due to a demographic dividend in Turkey, and show that some trade diversification away from EU toward the South is a welfare improving policy for Turkey.     

A Bangladesh soap opera: privatisation, accounting, and regimes of control in a less developed country

This paper reports an intensive case study of a soap manufacturing company in Bangladesh that was nationalised upon Bangladesh's independence in 1971 and privatised in 1993. Theoretically it is informed by Burawoy's contributions to labour process theory, especially how the consent of labour is manufactured through internal states, internal labour markets and games, and how regimes of control in less developed ex-colonial countries are transformed by state and production politics. How the role of accounting systems may shape and be shaped by these processes is traced. Nationalisation brought state attempts to manufacture consent by the methods described in Burawoy's depiction of hegemonic regimes. However, idealistic attempts to secure accountability, rational planning and control, and consent through bureaucratic means were subverted and transformed into a regime of political hegemony. Here control was secured by political interventions, often at the behest of trade unions, for party political rather than commercial ends. Detailed systems of accounting for control and accountability were maintained but became marginal, ritualistic, and de-coupled from operations. Privatisation brought changes consistent with Burawoy's prediction of coercive controls within a new despotic regime. New owners destroyed the internal state and internal labour markets and, following widespread redundancies, most workers were hired through internal subcontracting. The changes heightened worker divisions and rendered workers powerless to resist. Gaming was observed but this relieved the pressures of work intensification and proved functional to management. Significant changes to accounting controls were made. External reporting ceased in violation of legal requirements — financial accounting became the preserve of the owning family and was beset with irregularities. Budgets became more market oriented and were transmitted downwards in a physical form to reinforce coercive pressures upon managers and thence the shop floor. The paper concludes by relating the findings to a revised model of transformation of control regimes in Bangladesh     

关于用双向交易模式来降低股市风险的相关分析

从2001年开始,中国股市进入到一轮长达4年的调整期。究其所以,就是因为中国股市实行的单向交易模式使得风险不断累积,最后集中爆发而形成的。要改变这种状况,就要变革这种单向交易模式,建立能够“卖空”个股的双向交易模式。     

Option market making under inventory risk

We propose a mean-variance framework to analyze the optimal quoting policy of an option market maker. The market maker’s profits come from the bid-ask spreads received over the course of a trading day, while the risk comes from uncertainty in the value of his portfolio, or inventory. Within this framework, we study the impact of liquidity and market incompleteness on the optimal bid and ask prices of the option. First, we consider a market maker in a complete market, where continuous trading in a perfectly liquid underlying stock is allowed. In this setting, the market maker may remove all risk by Delta hedging, and the optimal quotes will depend on the option’s liquidity, but not on the inventory. Second, we model a market maker who may not trade continuously in the underlying stock, but rather sets bid and ask quotes in the option and this illiquid stock. We find that the optimal stock and option quotes depend on the relative liquidity of both instruments as well as on the net Delta of the inventory. Third, we consider an incomplete market with residual risks due to stochastic volatility and large overnight moves in the stock price. In this setting, the optimal quotes depend on the liquidity of the option and on the net Vega and Gamma of the inventory.      

Sensation Seeking, Overconfidence, and Trading Activity

This study analyzes the role that two psychological attributes—sensation seeking and overconfidence—play in the tendency of investors to trade stocks. Equity trading data from Finland are combined with data from investor tax filings, driving records, and mandatory psychological profiles. We use these data, obtained from a large population, to construct measures of overconfidence and sensation seeking tendencies. Controlling for a host of variables, including wealth, income, age, number of stocks owned, marital status, and occupation, we find that overconfident investors and those investors most prone to sensation seeking trade more frequently.