The impact of time duration between trades on the price of treasury note futures contracts

Recent research in finance has indicated that the institutional structure in which financial asset prices are determined can have a nontrivial impact on pricing. This report examines transaction level data for Treasury Note futures contracts traded at the Chicago Board of Trade (CBOT) to identify institutional, or market microstructure, impacts on the pricing of these contracts. Relatively few articles have conducted empirical research on the microstructure of U.S. futures trading due to the limited availability of comprehensive transaction level data from the futures exchanges. This report uses the CBOT's Computerized Trade Reconstruction database, a comprehensive transaction level dataset, to identify the price impact of the time duration between trades in a manner analogous to that of A. Dufour and R. F. Engle (2000). Unique differences from prior research include the application to futures contracts with their relative higher frequency of trading, as well as the investigation of the price impact of the number of active traders present on the trading floor and the trading volume. Subsequent price and sign of trade significantly relate to the time duration between trades, the number of floor brokers, and the trading volume. © 2004 Wiley Periodicals, Inc. Jrl. Fut Mark 24:965–980, 2004     

Revisiting the Miles and Snow strategic framework: uncovering interrelationships between strategic types,capabilities, environmental uncertainty,and firm performance

The Miles and Snow strategic type framework is re‐examined with respect to interrelationships with several theoretically relevant batteries of variables, including SBU strategic capabilities, environmental uncertainty, and performance. A newly developed constrained, multi‐objective, classification methodology is modified to empirically derive an alternative quantitative typology using survey data obtained from 709 firms in three countries (China, Japan, United States). We compare the Miles and Snow typology to the classification empirically derived utilizing this combinatorial optimization clustering procedure. With respect to both variable battery associations and objective statistical criteria, we show that the empirically derived solution clearly dominates the traditional P‐A‐D‐R typology of Miles and Snow. Implications and directions for future research are provided. Copyright © 2004 John Wiley & Sons, Ltd.     

Regional convergence of growth,inequality and poverty in India—An empirical study

The paper attempts to examine whether there is regional convergence of per capita consumption, inequality and poverty across various states in India. Using panel unit root tests that are robust to cross-sectional dependence, we find that inequality and poverty indicators converge at both rural and urban levels. Further, per capita consumption converges at urban level but not at rural level. Based on factor analysis, we find two groups of states for rural sectors, viz., low-growth and high-growth states, for each of which per capita consumption converges. We also attempt at identifying the responsible entities — central or state governments or both in cases where convergence is not achieved.     

Diffusion of innovations in globally stable Walrasian equilibrium

When all products in the economy are weak gross substitutes, preferences are homothetic, and firms face menu costs then all prices in an industry move together at the same rate. In the closed-loop Nash noncooperative equilibrium, all firms invest in productivity and reduce real prices. As a result, in the case of quadratic menu costs, the outputs of industries and the economy go up along S-shaped time paths characteristic of diffusion of innovations.     

Role of quality management capabilities in developing market-based organisational learning capabilities: Case study evidence from four Indian business process outsourcing firms

Business-to-business marketing literature acknowledges the value firms, including business process outsourcing firms, realise through their supplier networks. Such value realisation is often possible through a dynamic exchange of complementary organisational capabilities between a firm and its network partners. However, little is known about how outsourcing firms develop these capabilities and thus realise value. This paper addresses an unexplored theoretical gap of developing market-based organisational learning capabilities in business process outsourcing firms. Using a capabilities lens, this study assesses the impact of quality management capabilities in developing market-based organisational learning capability. Findings from a case study of four business process outsourcing firms in India suggest that effective knowledge transfer, diffusion and the development of market-based organisational learning capabilities are contingent upon the strength of a firm's quality management capabilities. Implications for theory and practice are discussed.     

Rankings Methodology for International Comparisons of Institutions and Individuals: an Application to Economics in Australia and New Zealand

Abstract.  The objectives of this paper are threefold. First, we critically survey and analyse the different methodologies that have been adopted in the rankings literature. Second, using journal articles included in the ECONLIT database and on the basis of two criteria – one based on citations and the other on perceptions of journal quality, we rank economics teaching departments in Australia and New Zealand for 1988–2002 and 1996–2002 and for individual academic economists for the periods 1988–2002, 1988–1995 and 1996–2002. Furthermore, we identify individual star performers and recognize them in a designated 'Hall of Fame' for 1988–2002. Third, our methodology enables us to make international comparisons on total and per capita bases. Previous multi-country ranking studies in economics do not rank economics departments. They provide rankings based on total publications in economics in universities regardless of whether the economists are in the economics departments or in other departments. Thus, no rankings on per capita bases are provided. We correct this shortcoming by providing total and per capita rankings and analysing the correlations between total and per capita rankings. This is the first study to examine whether the size of the economics department matters with regard to productivity.