Informed trading in the index option market: The case of KOSPI 200 options

This study examines if informed trading is present in the index option market by analyzing the KOSPI 200 options, the most actively traded derivative product in the world. The spread decomposition model developed by Madhavan, Richardson, and Roomans (1997) is utilized and the adverse‐selection cost component of the spread estimated by the model is then used as a proxy for the degree of informed trading. We find that adverse‐selection costs constitute a nontrivial portion of the transaction costs in index options trading. Approximately one‐third of the spread can be accounted for by information asymmetry costs. A further analysis indicates that adverse‐selection costs are positively related with option delta. Our regression analysis shows that option‐related variables are significantly associated with estimated information asymmetry costs, even when controlling for proxies for informed trading in the index futures market. Finally, we find the evidence that foreign investors are better informed compared to domestic investors and that domestic institutions have an edge in terms of information over domestic individuals. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1118–1146, 2008     

The Effects of Fear Appeal: A Moderating Role of Culture and Message Type

This study explores the moderating role that culture plays on the effects of fear-appeal advertisements on subjects’ message acceptance. Secondly, this study investigates the role of message type in two different cultures (South Korea and the United States). As predicted, culture played as a moderating variable in the process of fear-arousing, antismoking ads. The main difference, however, was found in the collectivistic culture; although no significant difference was found for the individualistic culture. Further, the findings also suggest that the different message strategy should be considered in the different cultures to increase message acceptance among people.     

The adoption of sustainable laundry technologies by US consumers

The adoption of sustainable laundry technologies by US consumers has lagged behind that of other countries and even behind the projections for adoption made by the US government. Most US household currently own and use the top‐loading vertical axis (v‐axis) agitator type washers, which use large amounts of water as well as additional energy to heat the water. More sustainable laundry practices include the use of energy‐ and water‐efficient front‐loading horizontal‐axis (h‐axis) washers. These washers have been demonstrated to use 38% less water and 58% less energy than the standard top‐loading v‐axis models. The adoption of more energy‐efficient washing technologies is of interest to many, including policy makers, because of their water‐ and energy‐saving potential. Little is known about the attributes and issues consumers use in their decision to adopt high‐efficiency washers for their home. This study uses Roger's Diffusion of Innovations Theory to understand the adoption of h‐axis washers by US consumers. An online survey of 330 consumers who own washing machines found that 23% currently own h‐axis washers and 24% of consumers intend to purchase an h‐axis when they replace their top‐loading vertical (v‐axis) washers. Energy and water savings are the most frequently cited reasons overall for adopting the h‐axis washer and cost was the main reason for not adopting the technology. Other issues, such as dissatisfaction with cleaning power and problems with machine cleanliness and maintenance, did not play a major role in adoption. Specific marketing and education channels, where US consumers are looking for information about h‐axis washers, are also identified. Overall, the results suggest that the rate of h‐axis adoption in the US is accelerating, but that many of the benefits of the technology are not easily observed by non‐owners.     

Corporate social responsibility signaling,evaluation, identification,and revisit intention among cruise customers

Abstract

Improvements in customer knowledge and interest in cruise tourism have facilitated the growth of the cruise industry. However, the cruise industry has limited research attention from tourism and hospitality scholars. Furthermore, in the cruise setting, although a large number of corporate social responsibility (CSR) messages are sent to customers, it seems reasonable to suspect that not all CSR activities are effective to achieve the sustainable growth of the company. Therefore, this study aims to expand the existing knowledge of cruise CSR by examining the impact of customers’ perceived value of socially responsible consumption behavior on brand-related outcomes. Data from 292 cruise customers in the United States are collected through online surveys. Findings support the evidence that CSR signaling influences customers’ positive evaluation and identification with a cruise brand, but no direct impact on their behavioral intention is observed. Also, the mediating role of evaluation and identification in the relationship between CSR signaling and revisit intention is examined. In this study, the signaling and social identity theories are supported by an empirical study to addresses the importance of customers’ socially responsible consumption trait in sustainable growth.     

A Note on Testing the Nested Structure in Multivariate Regression Models

In this article we propose a simple method of identifying, at an earlier stage of analysis, the nested structure among the coefficient matrices in multivariate regression models. When the limiting distribution of the estimators of the coefficient matrices are jointly normal, the Wald type statistics based on the proposed method is asymptotically a chi-squared random variable. A numerical example that arises in cointegration analysis is provided to illustrate the method and a small simulation study is provided to illustrate its effectiveness.     

Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations

We investigate the relation between returns on stock indicesand their corresponding futures contracts to evaluate potentialexplanations for the pervasive yet anomalous evidence of positive,short-horizon portfolio autocorrelations. Using a simple theoreticalframework, we generate empirical implications for both microstructureand partial adjustment models. The major findings are (i) returnautocorrelations of indices are generally positive even thoughfutures contracts have autocorrelations close to zero, and (ii)these autocorrelation differences are maintained under conditionsfavorable for spot-futures arbitrage and are most prevalentduring low-volume periods. These results point toward microstructure-basedexplanations and away from explanations based on behavioralmodels.     

When the going gets tough,ads become straightforward but multi-appealed: The influence of the recession on financial services advertising appeals

Although many scholars and researchers have contributed to the sizeable literature on the relationship between advertising and society, few have examined economic circumstances as a meaningful force shaping advertising. This study provides the empirical evidence that changes in economic conditions, the recession in particular, can transform advertising appeals. The analysis of 1488 financial services ads placed in two popular US magazines showed that the patterns of appeals have turned to direct assertive styles in the wake of the economic crisis of the period 2008–2009. At the same time, however, ads during this recession period have used a far wider variety of strategic and tactical appeals than those in pre-recession era.     

Resource-based and institution-based approaches to biotechnology industry development in Malaysia

In this study, we use both resource-based and institution-based theories to examine potential sources of competitive advantage in the relatively new and rapidly growing biotechnology sector. We then use those theories as the basis for a multimethod study to assess the priorities, capabilities, and competitiveness of the emerging biotechnology industry in Malaysia. Multifunctional experts from a biotechnology industry organization in Malaysia identified the use of biotechnology for agriculture and biofuels as key country priorities, with access to funding and talent cited as key capabilities required for successful sector development. The gap between capabilities required and strategic priorities provides a “to do” list for industry development, with government institutions playing a central role in accelerating technology development and providing the capital flows necessary to bridge this gap. Implications include the need for public–private sector collaboration to enable biotech firms to efficiently obtain international investment and alliances to ensure sustainability, as well as to develop bold and creative approaches for developing and recruiting talent both at home and abroad.     

Spillover, Competition and Better R&D Organization

This paper examines several types of R&D organization, including one noncooperative (independent R&D) form and three cooperative ones (R&D coordination, an R&D consortium and a research joint venture (RJV)). We consider the sharing of both research inputs and outputs in an R&D consortium and an RJV. We show that the superiority of a form of R&D organization cannot be determined uniquely, but should be judged by four parameters. In addition, it is shown that there exist possible mixes of these parameters in which an R&D consortium is superior to either R&D coordination or an RJV in terms of technological improvement and social welfare.
JEL Classification Numbers: L13, L41.     

Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong

We investigate the role of limit orders in the liquidity provision in a pure order-driven market. Results show that market depth rises subsequent to an increase in transitory volatility, and transitory volatility declines subsequent to an increase in market depth. We also examine how transitory volatility affects the mix between limit orders and market orders. When transitory volatility arises from the ask (bid) side, investors will submit more limit sell (buy) orders than market sell (buy) orders. This result is consistent with the existence of limit-order traders who enter the market and place orders when liquidity is needed.