Informed trading under different market conditions and moneyness: Evidence from TXO options

We examine the informational role of options across exercise prices under different market conditions. We analyze the influence of options' leverage effect, and market cycles on the cause–effect relation between stock and options markets based on an emerging options market—the Taiwan stock index options market. When aggregating market data irrespective of market cycles and options moneyness, we find that the equity market leads the options market. However, as we control options' moneyness and market cycles, we find that out-of-the-money options lead the stock market by up to 90 min with more pronounced results in downtrends and periods of political tension. Our findings suggest that the informational role of options is interacted with leverage effect and market conditions.     

Learning from peers in signaling game experiments

We investigate peer group effects in laboratory experiments based on Milgrom and Roberts' (1982, Econometrica 50 : 443–459) entry limit pricing game. We generalize Heckman's (1981, in Structural Analysis of Discrete Data with Econometric Applications. MIT Press: Cambridge, MA) dynamic discrete‐choice panel data models by introducing time‐lagged social interactions, using the unbiased GHK simulator to implement the computationally cumbersome maximum likelihood estimation. We find that subjects' decisions are significantly influenced by past decisions of peers on several dimensions, including potential entrants' choices and strategic play of like‐type monopolists. The proposed model and estimation method may be applicable to other experiments where peer group effects are likely to play an important role. Copyright © 2011 John Wiley & Sons, Ltd.     

The long-run causal relationship between transport energy consumption and GDP: Evidence from heterogeneous panel methods robust to cross-sectional dependence

This paper employs panel methods that address/mitigate heterogeneity and cross-sectional dependence to determine the direction and sign of long-run causality between transport energy consumption per capita and real GDP per capita. Granger-causality was determined to run from GDP to energy.     

基于3R的职业教育研究

教学质量的提高是职业教育健康发展的关键,学习和借鉴国外先进教学理念和方法有利于教学质量的提高和职业教育的发展。本文通过学习澳大利亚职业教育,提出了一种基于3R的职教思想,旨在认清职教形式、探索提高教育质量方法和途径。期待3R职教思想能为高等职业教育带来启示。     

Where are the sources of stock market mispricing and excess volatility?

Using a simple dividend model, we illustrate and synthesize the sources of stock market mispricing and excess volatility based upon two hypotheses—inflation illusion and heterogeneous beliefs. Our theoretical framework posits that equity mispricing arises when investors have subjective expectations about discount rates or dividend growth rates. We then analyze the sources of equity mispricing and market excess volatility under a VAR framework. Empirically, we find that both inflation illusion and heterogeneous beliefs explain equity mispricing. However, heterogeneous beliefs play a more important role in explaining stock mispricing in the long run. We also find that heterogeneous beliefs cause excess volatility, but inflation illusion does not. Therefore, dispersion in investors’ beliefs is a better explanation of stock market mispricing than the investors’ inability to properly discount future cash flows.     

A pair-wise approach to output convergence between European regions

We apply the Pesaran (2007) pair-wise approach of convergence to the per capita outputs of 195 European regions for the period 1980-2006. Pesaran's approach is based on the computation of the percentage ratio of output gaps which fulfil a given convergence criterion. A high ratio will be interpreted in favour of convergence. In a first step, we define stochastic convergence between two regions as level stationarity of their output gap. Deviations from its equilibrium value will only have a temporary effect. Results from several usual unit root or stationarity tests show us that the percentage ratio of level stationary output gaps is low, which stands against this definition of convergence. However, this convergence criterion excludes the possibility of changes in output gap equilibrium value or catching up between regions. To fit these cases, we combine the pair-wise approach with unit root or stationarity tests with structural breaks. Structural breaks are modelled by dummies (Zivot and Andrews, 1992; Kurozumi,2002) or as smooth structural breaks (Christopoulos and León-Ledesma, 2009). Overall results are not changed as convergence is not accepted more often. Finally, we consider the autocorrelation function approach of Caggiano and Leonida (2009). Autocorrelations and their confidence intervals are estimated for each output gap. Convergence between two regions is accepted if their per capita output gap autocorrelations become nonsignificantly different from zero after some lag. Results show that a high percentage of regions satisfy this convergence criterion. Contrary to the conclusions which could be made from previous results, shocks to output gaps seem to disappear as time passes.     

A Panel Cointegration Analysis of the Impact of Tourism on Economic Growth: Evidence from the Middle East Region

This paper examines the contribution of tourism industry to the GDP of three selected destinations in the Middle East region: Bahrain, Jordan and Saudi Arabia. We introduce a quadratic functional form and apply the advanced panel cointegration dynamic model with robust estimation to test our hypothesis. Our analysis is based on a comprehensive set of panel data of tourism receipts, education investment, foreign direct investment and fixed capital formation over the period of 1981–2008. The results show a long‐run relationship between tourism growth and GDP. We also show that tourism has a stronger impact on the economy than other related sectors. Copyright © 2013 John Wiley & Sons, Ltd.     

Proxy contest,board reelection,and managerial turnover—yes,the proxy contest outcome matters

In a previous study based on a matched sample analysis, it is found that in Taiwan top management turnover rate for the listed firms in the presence of a proxy contest is much higher than the ones without a proxy contest. In other words, the hypothesis of job security has gained empirical support. Taking account of the proxy contest outcomes, the present study extends the sample years, i.e. 1994–1999, to further examine the impact of proxy contest on managerial turnover. In conformity with expectations, the major empirical findings can be summarized as follows: the highest turnover rate of top management is observed in the firms of which the dissidents win majority seats; the second highest turnover rate is observed in the firms of which the dissidents win some seats; whereas the lowest turnover rate is observed in the firms of which the dissidents win no seats. Empirical findings of this kind provide further support to the view that proxy contest has played an effective monitoring role in disciplining incumbent management. Copyright © 2004 John Wiley & Sons, Ltd.     

Tipping and Option Trading

This study examines options’ market behavior before analysts’ initiations. We find abnormal trading activity in the options market several days prior to the release of analysts’ initiations. Informed traders recognize the content and timing of the initial recommendations. We determine that informed trading is attributed to information leakage rather than savvy investors’ stock‐picking ability. We also find a significant information transmission from the options market to the underlying equity market around the event. Our results are consistent with the tipping hypothesis and confirm the informational role of equity options.