A Pilot Exploration of Random Period Duration in Experimental Financial Markets: A Treatment Variable?

This exploratory paper reports a pilot study of the impact of random period duration on the trading behaviour observed in experimental financial markets. Results reported in earlier experimental studies, many of which report a flurry of trade just prior to the end of a trading period, may have been influenced by knowledge of trading period duration. These exploratory findings suggest that the introduction of random period duration results in an increased volume of trade early in a period, which may then impinge upon the informational efficiency of the asset markets. These findings necessitate that future refinements to theoretical models of bid, ask and transaction price behaviour in double auctions explicitly address the influence of known period duration. However, no significant difference between the two markets is found with respect to allocational efficiency. © 1997 John Wiley & Sons, Ltd.     

Harvest contract price volatility for cotton

Changes in agricultural and international trade policy have increased attention to issues of price volatility and risk management. Previous work in the area of price volatility has typically focused on grains, with little work dealing with cotton. The objective of this analysis was to examine the determinants of price volatility for cotton, focusing on the growing season volatility of the harvest contract. Different econometric techniques, including ARCH/GARCH, were employed to estimate the effects of a set of variables on price volatility. The potential for a nonlinear relationship between price and volatility was examined. Findings suggest a significant seasonal pattern to volatility as well as a nonlinear relationship between price and volatility. The results also suggest that cotton price volatility has not significantly changed with respect to changes in agricultural policy. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 717–733, 1999     

Seasonal hotel jobs: an occupation and a way of life

Research for the present study was undertaken in the summer of 1995. This paper seeks to identify whether Salaman's notion of ‘occupational communities’ exists in a sample of six British seasonal seaside hotels, a relatively unexplored sector of the hotel industry. Briefly, occupational communities have as their major focus the job itself and they are also characterised by a fusing of work and leisure activities. Interviews with 30 hotel workers indicate that seasonal, and particularly live-in workers, tend to form distinct ‘occupational communities’. These communities, however, are different to ‘traditional’ occupational communities in a number of respects. Most importantly, instead of the job itself being the focus for community formation, job importance is replaced by work situations characterised by hedonism and close social bonding. Copyright © 1999 John Wiley & Sons, Ltd.     

Contrarian strategies and investor overreaction under price limits

This study investigates the effects of price limits on investment performance of contrarian trading strategies in Taiwan’s stock market over the period 1997 to 2006. All contrarian strategies in intraday limit-hit stocks lead to superior returns relative to the benchmark index return, and the findings support the overreaction effect. Also, there is evidence of delayed overreaction reflected by price continuations for the overnight period and price reversals for the subsequent trading day. Moreover, investment performance of contrarian strategies is related to firm characteristics where investors tend to overreact more in small-size, high-turnover, and non-high-tech stocks. Finally, price overreaction is strong for up-hit stocks in the aftermath of catastrophic events. If overreaction exists, price-limit regulation designed to cool off investors and reduce price volatility may not be effective.     

How prior realized outcomes affect portfolio decisions

Investors have been shown to have particular preferences when it comes to the characteristics of stock they hold in their portfolios, while prior gains and losses have been shown to impact on individuals’ economic decisions, both in an investment context and more widely. This paper is the first to investigate how prior gains and losses affect investors’ preferences for particular stock characteristics and so shape their portfolio compositions. Using a rich dataset combination from China, we conclude that prior realized outcomes play an important role in shaping portfolio composition through their impact on the characteristics of stocks that investors choose to hold. We find that positive prior realized outcomes encourage investors to select stocks with a variety of characteristics broadly consistent with higher risk taking (for example, higher betas and higher levels of idiosyncratic risk), though there are some differences across investor classes. While our empirical results are in line with what one would expect from the existing literature on the disposition and house money effects, we also consider other possible interpretations of the results.     

Testing for structural stability of factor augmented forecasting models

Mild factor loading instability, particularly if sufficiently independent across the different constituent variables, does not affect the estimation of the number of factors, nor subsequent estimation of the factors themselves (see e.g.  Stock and Watson (2009)). This result does not hold in the presence of large common breaks in the factor loadings, however. In this case, information criteria overestimate the number of breaks. Additionally, estimated factors are no longer consistent estimators of “true” factors. Hence, various recent research papers in the diffusion index literature focus on testing the constancy of factor loadings. However, forecast failure of factor augmented models can be due to either factor loading instability, regression coefficient instability, or both. To address this issue, we develop a test for the joint hypothesis of structural stability of both factor loadings and factor augmented forecasting model regression coefficients. Our proposed test statistic has a chi-squared limiting distribution, and we are able to establish the first order validity of (block) bootstrap critical values. Empirical evidence is also presented for 11 US macroeconomic indicators.     

New Borders and Trade Flows: A Gravity Model Analysis of the Baltic States

The objective of this paper is to provide evidence on the effects of an economic and political union by studying the trade flows of the three Baltic countries of Estonia, Latvia and Lithuania after the breakup of the Soviet Union. We specify and estimate a gravity model of exports for the Nordic countries which enables us to determine the size and direction of trade flows in the Baltic states had they not been affected by the political institutions of the Soviet Union. Our results suggest that Baltic foreign trade was not only reduced significantly but also diverted to the members of the former Soviet Union. Consistent with our estimates, we also find that these consequences of the former political union are quickly dissipating, and the Baltic countries are increasing their share of exports to the European Union and the U.S.     

The role of relationship quality in the stratification of vendors as perceived by customers

Companies implement preferred supplier programs to reduce their vendor relationships to a reasonable few. Consequently, vendors who do not effectively manage their customer-based relationships are strong candidates for deletion from a customer’s list of long-term suppliers. The emergence of preferred supplier programs suggests that businesses are beginning to formally recognize and reward differences between their qualified vendors. Vendor stratification is proposed as a framework for understanding the evolution of preferred vendor programs. With the growing interest in relationship marketing, a study was conducted to empirically examine the extent to which businesses use relationship quality perceptions to differentiate their qualified vendors. The findings support the notion that relationship quality is a higher-order construct that can be used as a basis for developing vendor stratification systems. The article concludes with a discussion of the managerial and research implications of the study findings. Michael J. Dorsch (Ph.D., University of Arkansas) is an associate professor of marketing at Clemson University. His research has been published in theJournal of the Academy of Marketing Science, theJournal of Business Research, and theJournal of Personal Selling and Sales Management, among others. His research interests include issues concerning relationship marketing and marketing research methods. Scott R. Swanson (Ph.D., University of Kentucky) is an assistant professor of marketing at East Carolina University. He previously spent 9 years as a purchasing executive and his research interets include issues related to services marketing, atmospherics, and marketing ethics. His research has been published in theJournal of Business to Business Marketing, theInternational Journal of Quality and Reliability Management, AMA Educators’ Proceedings, andRetailing: Theories and Practices for Today and Tomorrow. Scott W. Kelley (D.B.A., University of Kentucky) is an associate professor of marketing. His research has been published in theJournal of the Academy of Marketing Science, theJournal of Retailing, theJournal of Business Research, theJournal of Advertising, and theJournal of Personal Selling and Sales Management, among others. His research interests include issues concerning services marketing and marketing ethics.     

Decoupled Farm Payments and Expectations for Base Updating

The degree to which U.S. farm programs are decoupled from production has been a central issue in recent trade disputes. Several authors have suggested producer expectations for base acreage and yield updating in future farm bills create an incentive to alter planting and input decisions. This article reports analysis of the subjective expectations of producers for base updating and an analysis of the effect these expectations have on producer willingness to accept a buyout of the right to update. On average, producers think the chances of updating in the next farm bill are about 40%, but less than 17% indicate adjusting acreage or yields in anticipation of updating.