Learning by supplying and competition threat

Review of World Economics - This study proposes a model of learning by supplying in an international outsourcing framework, where the supplier of a relationship-specific input can reverse engineer...     

Properties and the predictive power of implied volatility in the New Zealand dairy market

This study develops a dairy implied volatility index (DVIX), derived from New Zealand Exchange traded options on whole milk powder (WMP) futures. We document an inverse return–volatility relation which is asymmetric, where increases in WMP futures prices are associated with larger absolute changes in the DVIX than decreases. In sample, the results strongly suggest that the DVIX has a high information content regarding conditional variance and that the inclusion of historical information further improves the predictive power. Out of sample, we find that the DVIX provides substantial information about future realized volatility. We also document that a combination of historical volatility and the DVIX provides the best out-of-sample forecasts.     

Contemporaneous Spillover Effects between the U.S. and the U.K. Equity Markets

We use high frequency data and the “identification through heteroskedasticity” approach of Rigobon (2003) to capture the contemporaneous volatility spillover effects between the U.S. and U.K. equity markets. We demonstrate the relevance of taking into account the information present during simultaneous trading hours by comparing the results generated by our structural vector autoregression with those of a traditional reduced-form vector autoregression. Our findings clearly demonstrate that contemporaneous relations matter and that ignoring them leads to inappropriate conclusions regarding the magnitude and direction of volatility spillover.     

Main Determinations of Female Entrepreneurs in the Construction Industry in Malaysia

This paper explores the determination of female entrepreneurs in the construction industry based on masculine and feminine characteristics in the Malaysian construction industry, using the Bem Sex‐Role Inventory (BSRI). The median split method determined that female construction entrepreneurs have masculine traits. The results are not robust because of the limited number of responses; nonetheless, the findings can be used as a platform for future research on female construction entrepreneurs in the construction industry in Malaysia. To enhance the findings’ contributions, this paper also discusses the industry characteristics, which are considered to have significantly contributed to the masculinity of female construction entrepreneurs.     

Transfer price and equilibrium in multidivisional firms: an examination of divisional autonomy and central control

The problem faced by a firm that oversees two divisions, one of which produces and one of which uses an intermediate good, is considered. Since divisions have information that is not available to the centre, it is useful to allow the divisions some autonomy in their sales and procurement decisions. The analysis allows the centre to specify the transfer price that must be used in trades between divisions as well as placing restraints on their ability to trade with outside firms. In most of the models presented in this paper, the centre cannot observe the market price of the intermediate product, and in some models it cannot observe divisional costs. It is shown how the centre can obtain the full information solution in the simplest case by using a penalty factor that encourages internal trade. However, when divisional costs are not observable, the full information outcome is not obtainable. In this case, the optimal value of the penalty factor implies a tradeoff between the benefits of allowing divisions to act to take advantage of price opportunities in outside markets and savings in transactions costs of trades between divisions.     

New Zealand mutual funds: measuring performance and persistence in performance

The present study investigates the performance of New Zealand mutual funds using a survivorship‐bias controlled sample of 143 funds for the period of 1990–2003. Our overall results suggest that New Zealand mutual funds have not been able to provide out‐performance. Alphas for equity funds, both domestic and international, are insignificantly different from zero, whereas balanced funds underperform significantly. There is no evidence of timing abilities by the fund managers. In the short term, significant evidence of return persistence for all funds is observed. This persistence, however, is driven by ‘icy hands’ rather than ‘hot hands’. Finally, we find the risk‐adjusted performance for equity funds to be positively related to fund size and expense ratio and negatively related to load charges.     

Do Criminal Sanctions Deter Insider Trading?

Many developed markets have taken what appears to be a tough stance on illegal insider trading through the use of criminal sanctions. Although criminal sanctions represent a much greater penalty than civil sanctions, the higher burden of proof required makes their enforceability weaker. This trade off between severity and enforceability makes the impact of criminal sanctions ambiguous. We empirically examine this issue by studying the deterrence of insider trading following the introduction of criminal sanctions in a developed market. Significant changes in sanction regimes are rare, especially when criminal sanctions are introduced without other changes. In February 2008, New Zealand introduced criminal sanctions for insider trading. This change of law offers a unique setting in which to examine the deterrence effect of criminalization. Using measures for the cost of trading, degree of information asymmetry, and probability of informed trading, we find that the enactment of this law led to a worsening in these measures. These findings suggest that the weaker enforceability of criminalization outweighs the associated increased severity of the penalties in New Zealand.     

Constructing a fuzzy Shewhart control chart for variables when uncertainty and randomness are combined

In this paper we introduce a fuzzy chart for variables which is used in situations when uncertainty and randomness are combined. It is showed that the Shewhart chart’s control limits must be adjusted in these situations. However, this chart is based on a fuzzy acceptance region and this method arises when a decision should be made by referring to the grade of a sample statistic belonging to the fuzzy acceptance region.     

Appointment scheduling of outpatient surgical services in a multistage operating room department

This article addresses the appointment scheduling of outpatient surgeries in a multistage operating room (OR) department with stochastic service times serving multiple patient types. We discuss many challenges, such as the limited availability of multiple resources (e.g., staff, operating rooms, surgeons, and recovery beds), and the compatibility of patient and surgeon types. In addition, availability of surgeons is restricted by time window constraints. Three simulation-based optimization methods have been proposed to minimize the patients’ wait time, patients’ completion time, and number of surgery cancellations. The first method is simulation-based tabu search (STS). It combines discrete-event simulation and tabu search to schedule surgery cases. The second and third methods are integer programming enhanced tabu search (IPETS) and binary programming enhanced tabu search (BPETS). IPETS and BPETS improve on STS by incorporating integer programming and binary programming models, respectively. This article includes a case study of an OR department in a major Canadian hospital. We further expand the actual data obtained in the case study to cover a wide range of parameters in sets of test problems, and provide analysis on the efficiency and effectiveness of the proposed methods in comparison with several scheduling rules. Finally, comments on the applications of the proposed methods are provided.     

Risk appetite,carry trade and exchange rates

Using exchange rate data from four different countries (time zones), we examine the relationship between the Yen exchange rate against major currencies (i.e. USD/JPY, EUR/JPY, GBP/JPY, AUD/JPY and NZD/JPY) and measures of risk appetite (i.e. the S&P500 index, Dow Jones Industrial Average index and the VIX index). Our results show that the equity indexes, especially the Dow Jones Industrial Average, play a more important role in the determination of the Yen cross rates than VIX. The popular carry-trade currencies, i.e. NZD/JPY, AUD/JPY and GBP/JPY, are more affected by the US equity market than USD/JPY and EUR/JPY. While the long-term relationships are consistent across the four different time zones, the short-term dynamics are different. We find that the response of NZD/JPY, AUD/JPY and GBP/JPY to changes in the US stock market is much greater in the New Zealand and Australian zones than in the UK or US. Although the short-term relationship between exchange rates and the equity index is quite strong, the error correction speed is very sluggish. We also find evidence of asymmetric adjustment in the response of exchange rates to changes in global risk aversion. Carry trade currencies tend to appreciate gradually when conditions are favorable but fall sharply when market risk increases.