ARE THE STRUCTURAL CHANGES IN MUTUAL FUNDS INVESTING DRIVING THE U.S. STOCK MARKET TO ITS CURRENT LEVELS?

We examine the long-run equilibrium relation between the net flow of funds into equity mutual funds and the S&P 500 index. Applying the Engle and Granger error correction methodology followed by a state space procedure, we find that the levels of the stock market are influenced by the net flow of funds into equity mutual funds. Our findings indicate that the U.S. equity market appears to be rationally adjusting to a structural change in the behavior of the U.S. investing public.     

Machine-Part Cell Formation Problem Using a Group Based League Championship Algorithm

This article proposes a new algorithm for grouping problems that is a grouping version of league championship algorithm (GLCA). We compare the performance of GLCA with several well-known algorithms published in the present literature and select a set of 20 most widely used benchmarks of cell formation sample problems posing as a grouping problem. We used a truncated geometric algorithm to find the number of initial cells. Our computations reveal that GLCA can reach the best-known solution for 17 of the 20 benchmark problems, and improve the solution of three others with a 1.4% average gap.     

Government and managerial influence on auditor switching under partial privatization

We investigate how auditor switching is affected by government influence, misalignment between type of auditor (government vs. private) and type of controlling shareholder (government vs. private), and misalignment between an incumbent auditor and imputed preferences of managers in a market characterized by continued substantial government ownership in listed entities. We exploit a natural policy and regulatory experiment in Iran that allows us to investigate what happens when previously government-owned entities are partially privatized as listed entities where, in many cases, the government retains significant ownership interests. At the same time, there were significant changes in the audit market, resulting in large increases in the number of private sector auditors competing for previously state-administered audits. We find the likelihood of auditor switches is strongly associated with measures of misalignment between type of auditor and type of controlling shareholder and auditor–managerial misalignment, but these associations are constrained by significant government influence. Exposing the constraining effect of significant government influence on auditor switching is an important contribution to our understanding of privatizations, government shareholder influence and auditor choice. These results have implications for policy development in other emerging and transition economies where privatization remains largely partial, and competition among private sector auditors is still emergent.     

North–South Trade Liberalization and Economic Welfare

We consider a general equilibrium model of a developing economy (the South) that opens to trade with a developed economy (the North). The southern economy is characterized by open urban unemployment and rural–urban migration, a competitive agricultural sector and a monopolistically competitive manufacturing sector. Hence, there is potential for both inter‐ and intra‐industry trade to arise on liberalization, in addition to distortionary effects of duality. Southern comparative advantage in agriculture may arise from the labor market distortion and the basis for intra‐industry trade is love for variety. We characterize various configurations of the trade pattern, and the resulting welfare consequences of opening to trade in this context. We illustrate a new mechanism under which in some circumstances it may be possible for trade liberalization to lower economic welfare in the South.     

Revisiting the paradox of whether retail buyers behave more like consumers or industrial purchasers: the case of price discounts

Marketing Letters - A long-lasting debate in marketing literature is whether retail buyers who purchase consumer products behave like consumers or like industrial purchasing managers. We address...     

Input-Orientated Data Envelopment Analysis Framework for Measuring and Decomposing Economic,Environmental and Ecological Efficiency: An Application to OECD Agriculture

This paper presents an input-orientated data envelopment analysis (DEA) framework which allows the measurement and decomposition of economic, environmental and ecological efficiency levels in agricultural production across different countries. Economic, environmental and ecological optimisations search for optimal input combinations that minimise total costs, total amount of nutrients, and total amount of cumulative exergy contained in inputs respectively. The application of the framework to an agricultural dataset of 30 OECD countries revealed that (i) there was significant scope to make their agricultural production systems more environmentally and ecologically sustainable; (ii) the improvement in the environmental and ecological sustainability could be achieved by being more technically efficient and, even more significantly, by changing the input combinations; (iii) the rankings of sustainability varied significantly across OECD countries within frontier-based environmental and ecological efficiency measures and between frontier-based measures and indicators.     

THE INFORMATION CONTENT OF ORDERS ON THE SAUDI STOCK MARKET

Using order data for the Saudi Stock Market (SSM), we employ a new specification of an existing vector autoregressive (VAR) model to assess the information content of a newly submitted order. As predicted by the asymmetric information models, we find that larger and more aggressive orders are more informative. Private information is more important for infrequently traded stocks. Compared with previous findings, our findings imply the presence of much asymmetric information on the SSM. The correlation between a relative measure of informativeness and the spread provides further support for the previous empirical observation that these two variables measure different things and should not be used interchangeably.     

Trading volume,time-varying conditional volatility,and asymmetric volatility spillover in the Saudi stock market

Despite the well known importance of volatility–volume relationship, there is a paucity of research on this topic in emerging markets. We attempt to partially fill this gap by investigating volatility–volume relationship in the most important exchange market in the Middle East. We test the effect of trading volume on the persistence of the time-varying conditional volatility of returns in the Saudi stock market. Overall our results support the mixture of distribution hypothesis at the firm level. We also use two different proxies for information arrival, intra-day volatility, and overnight indicators. We find that these are good proxies for information and are important as contemporaneous volume in explaining conditional volatility. We also test for the volatility spillover direction between large- and small-cap portfolios. Our results show that the spillover effect is larger and statistically significant from large to small companies.     

Does terrorism reduce life satisfaction?

We study the effect of terrorism on life satisfaction for a sample of 81 countries over the 1994–2009 period. We find that terrorism is robustly associated with less life satisfaction. This effect, however, translates into only modest social costs.