THE LEAD–LAG RELATION BETWEEN THE S&P500 SPOT AND FUTURES MARKETS: AN INTRADAY-DATA ANALYSIS USING A THRESHOLD REGRESSION MODEL

In this paper we examine the lead–lag interaction between the futures and spot markets of the S&P500 using the threshold regression model on intraday data. The use of threshold variables to model the changes in the regression structure with respect to different market conditions enables us to investigate the lead–lag interaction in a data-based approach and avoid stratifying the data arbitrarily. Using the basis as the threshold variable, we find that the short-selling restrictions in the spot market reduce the effect of the spot index as the leading variable. To study the effect of market-wide information on the interaction between the spot and futures markets, we use the coefficient of determination in the regression of the S&P500 on the Morgan–Stanley Composite Index-US and the Major Market Index as the threshold variable. We find that the lead effect of the futures market over the spot market is stronger when there is more market-wide information. On the other hand, the lead effect of the cash market over the futures market is weaker when there is more market-wide information. In addition, we also use the lagged 45-min return of the spot market as the threshold variable. We find that the lead effect of the spot market is stronger in periods of directionless trading than in periods of good or bad markets.     

Causality between credit depth and economic growth: evidence from 24 OECD countries

Causality between the ratio of domestic private credit to GDP and growth in real GDP per capita is investigated in a country-by-country time-series framework for 24 OECD economies over the period 1980–2013. The proposed threefold methodology to test for causal linkages integrates (1) lag-augmented VAR Granger causality tests, (2) Breitung–Candelon causality tests in the frequency domain, and (3) testing for causal inference based on a fully modified OLS (FMOLS) approach. For 12 of 24 countries in the sample, the three tests yield uniform results in terms of causality presence (absence) and direction. Causality running from credit depth to economic growth is found for the UK, Australia, Switzerland, and Greece. The findings lend no support to the view that financial development shifts from a supply-leading to demand-following pattern as economic development proceeds. The aggregate results mesh well with the current discussion on “too much finance” and disintermediation effects. However, idiosyncratic country determinants also appear significant.     

The Social Ontology of Virtual Environments

This paper analyzes the ontological structure of institutional and other social entities in virtual environments. The emphasis is on institutional reality, which consists of entities (objects, events, etc.) like money, contracts, and chess pieces, which are constituted in part through collective agreements. It is studied how institutional entities are constructed in virtual environments, how they relate to institutional entities in the real world, and how they are recognized by users.     

Collective Acceptance, Social Institutions, and Social Reality

ABSTRACT . The paper presents an account of social institutions on the basis of collective acceptance. Basically, collective acceptance by some members of a group involves the members’ collectively coming to hold and holding a relevant social attitude (a “we‐attitude”), viz. either one in the intention family of concepts or one in the belief family. In standard cases the collective acceptance must be in the “we‐mode,” viz. performed as a group member, and involve that it be meant for the group. The participants must be collectively committed to what they have accepted. Social institutions are taken to be norm‐governed social practices introducing a new social and conceptual status on the practices or some elements involved in those practices. This requires that some of the involved norms be constitutive norms as opposed to merely “accidentally” regulating ones. A classification of social institutions is presented. The account is broader in scope than is Searle’s.     

中远船务：海工创新与发展并进

今年2月14日．由南通中远船务工程有限公司研发的“深海高稳件圆筒型钻探储油平台的关键设计与制造技术”项目喜获2011年度国家科技进步一等奖．     

Henry George Under the Microscope: Comments on "Henry George's Political Critics"

The annual supplement of the AJES for 2008 titled Henry George: Political Ideologue, Social Philosopher, and Economic Theorist had as its first and longest essay "Henry George's Political Critics" by Professor Michael Hudson. It offered a multitude of criticisms, most of which Prof. Hudson seemed to agree with. All purported to be criticisms of George as a political strategist, though some seem more to originate from Hudson's disagreement with theoretical positions George was bound to take. The purpose of this short paper is to show that Professor Hudson's long article fails to do what it seems intended to do. That is, it fails to show that trade unionists and especially socialists were "natural allies" of the Georgist movement, that it was George's fault that that they were not, and that George "allied" his movement irrevocably to "capital," rejecting its "natural allies."     

小茶叶，大商机

具有保健功效的普洱茶除了可以饮用之外还具有收藏价值，所以被喻为能喝的古董，自然成为收藏有和茶叶爱好者的心头爱。     

Deterministic criteria for the absence of arbitrage in?one-dimensional diffusion models

We obtain a deterministic characterisation of the no free lunch with vanishing risk, the no generalised arbitrage and the no relative arbitrage conditions in the one-dimensional diffusion setting and examine how these notions of no-arbitrage relate to each other.