VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES

We analyze intraday volatility behavior for the Bund futures contract that is traded simultaneously at two competing exchanges. We investigate the transmission of volatility between the exchanges. We find that the lead/lag relations are restricted to a few minutes and do not reveal a dominant leader. We then analyze patterns in intraday volatility. We find that volatility behaves similarly at both exchanges; i.e., it decreases from the opening until early afternoon and increases thereafter. The same pattern is detected in explanatory variables such as traded volume and time-between-trades.     

Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility

Recent evidence suggests option implied volatilities provide better forecasts of financial volatility than time‐series models based on historical daily returns. In this study both the measurement and the forecasting of financial volatility is improved using high‐frequency data and long memory modeling, the latest proposed method to model volatility. This is the first study to extract results for three separate asset classes, equity, foreign exchange, and commodities. The results for the S&P 500, YEN/USD, and Light, Sweet Crude Oil provide a robust indication that volatility forecasts based on historical intraday returns do provide good volatility forecasts that can compete with and even outperform implied volatility. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1005–1028, 2004     

The political economy of the ‘recurrent cost problem’ in the West African Sahel

The syndrome of development projects in agriculture and the social sectors languishing after completion of their foreign-aided establishment phase, due to lack of host government budget support, is particularly characteristic of, though by no means limited to, the eight countries of the West African Sahel. A two-year study of the problem by a multilateral working group attributed the problem substantially to donor policies causing recipients to attach a low opportunity cost, only a fraction of nominal value, to project-specific aid resources, as against the high opportunity cost, corresponding to a shadow price well over 1.0, attached to use of their own uncommitted budget resources.     

Transitions in a globalising world

The increasing complexity of our global society means that sustainable development cannot be addressed from a single perspective or scientific discipline. By using the concept of transitions, we examine current and future tensions between welfare, well-being and the environment, and focus on four major issues that are of global importance: two of our key natural resources, water and biodiversity; the health of human populations; and the developments related to global tourism. In our global assessment, we base ourselves on the most recent scenario efforts of the Intergovernmental Panel on Climate Change (IPCC). Future developments are explored along the lines of four development paths (scenario groups), defined along two dimensions (global versus regional dynamics and emphasising economic objectives versus environmental and equity objectives.     

MUTUAL FUNDS SELECTION BASED ON FUNDS CHARACTERISTICS

The popular investment strategy in the literature is to use only past performance to select mutual funds. We investigate whether an investor can select superior funds by additionally using fund characteristics. After considering the fund fees, we find that combining information on past performance, turnover ratio, and ability produces a yearly excess net return of 8.0%, whereas an investment strategy that uses only past performance generates 7.1%. Adjusting for systematic risks, and then using fund characteristics, increases yearly alpha significantly from 0.8% to 1.7%. The strategy that also uses fund characteristics requires less turnover.     

Return Characteristics of State‐Owned and Non‐State‐Owned Chinese A Shares

This study examines and compares stock returns and volatilities between state‐owned (SO) and non‐state‐owned (NSO) firms on the Shanghai and Shenzhen stock exchanges. Results vary significantly by exchange. Returns for both firm types, on both exchanges, exhibit negative skewness and high kurtosis inconsistent with a normal distribution. Returns display significant autocorrelation, even after the removal of lower‐order effects. Granger causality tests reveal that Shenzhen returns significantly lead Shanghai returns. Within both exchanges, SO firms lead NSO firms. Neither SO nor NSO firm shares are dominated in terms of second‐order stochastic dominance.     

Individual Investors' Perceptions Regarding the Meaning of US and UK Audit Report Terminology: 'Present Fairly in Conformity with GAAP' and 'Give a True and Fair View'

The standard unqualified audit report in the United States contains the phrase 'present fairly ... in conformity with generally accepted accounting principles' (PFGAAP), while in the United Kingdom, the corresponding phrase is 'give a true and fair view' (TFV). Despite the former phrase existing in audit reports since 1939 and the latter since 1947, there is little agreement as to what the respective phrases represent. Accordingly, this paper examined UK and US individual investors' perceptions towards various dimensions of the meanings of the phrases including whether they imply that the financial statements are not misleading and free from bias. The results indicate that a majority of both groups perceive that the UK phrase precludes misleading financial statements. A smaller percentage of both groups feel that the US terminology achieves this objective. The results are similar as to whether the respective wording implies that the financial statements are free from bias. In general, the respondents awarded a greater level of confidence to the UK 'true and fair view' than the US 'present fairly in conformity with generally accepted accounting principles.' No policy recommendation is drawn from these results, however, since there is also evidence that as long as audit report language is pre-determined by law or some official body, investors will evince indifference as to the kind of language prescribed.