Reviews

'New technology a health and safety report'

APEX, London and Home Counties Area Sub-Committee; New Technology; a Health and Safety Report, February 1985. (Available from APEX, 3 Parkview Road, Welling, Kent, 0A16 1SZ, tel. 01-303 3407/8.)     

Syndicated Loan Announcements and Borrower Value

Announcements of syndication loans increase borrowers' shareholder wealth if they are revolving credit agreements but not if they are term loans. Share price responses to revolving credit announcements are positive and significant, whereas the wealth effect for term loans is negative and significant. The results show that announcements from both the financial press and commercial information providers can affect borrower share price reaction. Overall, single syndication announcements appear to be more newsworthy than multiple announcements reported in the financial press, and we find evidence of information leakage, post‐announcement drift, or both.     

Noise Trading and the Management of Operational Risk; Firms,Traders and Irrationality in Financial Markets*

abstract Efficient market models cannot explain the high level of trading in financial markets in terms of asset portfolio adjustment. It is presumed that much of this excessive trading is irrational ‘noise’ trading. A corollary is that there must either be irrational traders in the market or rational traders with irrational aberrations. The paper reviews the various attempts to explain noise trading in the finance literature, concluding that the persistence of irrationality is not well explained. Data from a study of 118 traders in four large investment banks are presented to advance reasons why traders might seek to trade more frequently than financial models predict. The argument is advanced that trades do not simply occur in order to generate profit, but it does not follow that such trading is irrational. Trading may generate information, accelerate learning, create commitments and enhance social capital, all of which sustain traders' long term survival in the market. The paper treats noise trading as a form of operational risk facing firms operating in financial markets and discusses approaches to the management of such risk.     

The dynamics of moonlighting in Russia1

This paper uses the Russian Longitudinal Monitoring Survey (RLMS) to analyse the dynamics of moonlighting by the working‐age population. We find that moonlighting is transitory and that a desire to switch jobs expressed in the past is positively related to moonlighting in the present and to actual job changes in the future. We also find that workers who moonlighted as self‐employed in the past represent 26.5 percent of the new self‐employed. These results suggest that moonlighting in Russia can be seen as an effective incubator for setting up new self‐employed businesses, thereby providing long‐term benefits for the economy.     

Job change and workplace learning in the public sector: the significance of new technology for unskilled work

Focussing here on local authorities and health services, this paper examines the significance of new technology to unskilled work in the public sector as it is developing and the implications for workplace learning. An argument is developed that new technology is central to a minority of examples of job change, although, significantly, it is more important to staff–initiated change and to workers' ability to fully participate in life beyond the workplace.     

Improved estimation of portfolio value‐at‐risk under copula models with mixed marginals

Portfolio value‐at‐risk (PVAR) is widely used in practice, but recent criticisms have focused on risks arising from biased PVAR estimates due to model specification errors and other problems. The PVAR estimation method proposed in this article combines generalized Pareto distribution tails with the empirical density function to model the marginal distributions for each asset in the portfolio, and a copula model is used to form a joint distribution from the fitted marginals. The copula–mixed distribution (CMX) approach converges in probability to the true marginal return distribution but is based on weaker assumptions that may be appropriate for the returns data found in practice. CMX is used to estimate the joint distribution of log returns for the Taiwan Stock Exchange (TSE) index and the associated futures contracts on SGX and TAIFEX. The PVAR estimates for various hedge portfolios are computed from the fitted CMX model, and backtesting diagnostics indicate that CMX outperforms the alternative PVAR estimators. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:997–1018, 2006     

Financial Development and Economic Growth: Empirical Evidence from Six MENA Countries

This paper examines the causal relationship between financial development and economic growth for six Middle Eastern and North African countries (Algeria, Egypt, Israel, Morocco, Syria, and Tunisia), within a quadvariate vector autoregressive framework. We employ four different measures of financial development and apply the augmented vector autoregression vector (VAR) methodology of Toda and Yamamoto to test for Granger causality. Our empirical results strongly support the hypothesis that finance leads to growth in five out of the six countries. Only in Israel could weak support be found for causality running from economic growth to financial development but no causality in the other direction. These findings suggest the need to accelerate the financial reforms that have been launched since the mid 1980s and to improve the efficiency of these countries’ financial systems to stimulate saving/investment and, consequently, long‐term economic growth.     

Looking for contagion in currency futures markets

This article tests whether there are pure contagion effects in both conditional means and volatilities among British pound, Canadian dollar, Deutsche mark, and Swiss franc futures markets during the 1992 ERM crisis. A conditional version of international capital asset pricing model (ICAPM) in the absence of purchasing power parity (PPP) is used to control for economic fundamentals. The empirical results indicate that overall there are no mean spillovers among those futures markets, but they are detected during the crisis period. That is, past return shocks originating in any one of the four markets have no impact on the other three markets during the entire sample period, suggesting that these markets are weak‐form efficient. However, this weak‐form market efficiency fails to hold during the market turmoil, especially for British pound and Swiss franc, and the sources of contagion‐in‐mean effects are mainly due to the return shocks originating in three European currency futures markets. As for the contagion‐in‐volatility, it is detected for British pound only because its conditional volatility is influenced by the negative volatility shocks from Canadian dollar, Deutsche mark, and Swiss franc, with Deutsche mark playing the dominant role in generating these shocks. JEL Classifications: C32; F31; G12. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:957–988, 2003