Intraday Volatility in Interest‐Rate and Foreign‐Exchange Markets: ARCH,Announcement, and Seasonality Effects

We explore the determinants of intraday volatility in interest‐rate and foreign‐exchange markets, focusing on the importance and interaction of three types of information in predicting intraday volatility: (a) knowledge of recent past volatilities (i.e., ARCH or Autoregressive Conditional Heteroskedasticity effects); (b) prior knowledge of when major scheduled macroeconomic announcements, such as the employment report or Producer Price Index, will be released; and (c) knowledge of seasonality patterns. We find that all three information sets have significant incremental predictive power, but macroeconomic announcements are the most important determinants of periods of very high intraday volatility (particularly in the interest‐rate markets). We show that because the three information sets are not independent, it is necessary to simultaneously consider all three to accurately measure intraday volatility patterns. For instance, we find that most of the previously documented time‐of‐day and day‐of‐the‐week volatility patterns in these markets are due to the tendency for macroeconomic announcements to occur on particular days and at particular times. Indeed, the familiar U‐shape completely disappears in the foreign‐exchange market. We also find that estimates of ARCH effects are considerably altered when we account for announcement effects and return periodicity; specifically, estimates of volatility persistence are sharply reduced. Separately, our results show that high volatility persists longer after shocks due to unscheduled announcements than after equivalent shocks due to scheduled announcements, indicating that market participants digest information much more quickly if they are prepared to receive it. However, contrary to results from equity markets, we find no evidence of a meaningful difference in volatility persistence after positive or negative price shocks. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 517–552, 2001     

On the utility premium of Friedman and Savage

We re-examine the utility premium of Friedman–Savage [Friedman, Milton and Savage, Leonard J., “The Utility Analysis of Choices Involving Risk.” Journal of Political Economy 56, 1948, pp. 279–304.]. This measure is useful in understanding risky choices. For instance its reaction to an increased wealth equates to a precautionary demand for saving. We also analyze its two components.     

Technological Scanning by Small Canadian Manufacturers

Given that in many industries new production and information technologies have fundamentally changed the way in which firms must operate and compete, the technological aspect of environmental scanning has become a critical success factor for many small and medium-sized manufacturing enterprises. As little is presently known about how technological scanning manifests itself in these organizations and about what determines the nature and level of this activity, a survey study of 324 Canadian firms was done. Testing a research model resulted in identifying four interrelated dimensions of scanning activity, namely scanning objectives, type of information, information sources, and management practices. Key determinants of this activity were also identified, including the firms' strategy, environmental uncertainty, production technology, level of R&D, information networks, and the owner-manager's education level.     

Interindustry differences in advertising in U.S. manufacturing: 1963–1977

Although there has been substantial research on the nature of the advertising-concentration relationship, there has been virtually no systematic investigation of the intertemporal stability of that relationship. The purpose of this study is not only to determine whether concentration has a linear or non-linear effect on advertising but also if this effect is stable over the 1963–1977 period. A consistent model and sample are maintained over the entire time period which eliminates the possibility that any differences in empirical results over time are due to differences in either the sample or model used in the analysis. The major findings are that the magnitude of the effect of concentration on advertising intensities has, in general, been stable over time and that the relationship has been quadratic in nature.     

The T-Group: Short cut or short circuit?

T-group or sensitivity training has become popular in recent years. A T -group includes eight to twelve people and a qualified leader; its purpose can be to provide therapy or to promote personal improvement or organization development. Beset by organizational problems, some top executives have instituted T-groups, thinking they may be a panacea. In some cases this approach has improved morale and even increased productivity. In other cases the hierarchical structure of the company has been damaged, economic gain has been condemned, and profits have been affected. T-groups can have a useful role if top management rationally decides the proper ends and means for this powerful tool.     

Economists versus engineers: Two approaches to environmental problems

The Review of Austrian Economics - There are two distinct and partly irreconcilable approaches to analyzing environmental problems. The first, we call the engineering approach and the other the...     

Industrial life cycles and learning curves: Interaction of marketing and production

The price-oriented experience curve has been widely utilized as a model to design marketing strategies. Yet, it is cost over which many firms exercise the most control. This article explores the cost-oriented learning curve in conjunction with the product life cycle model as joint strategy constructs. Implications of variations in the learning curve parameters are examined.