Settlement procedures and stock market efficiency

This study examines why most derivatives markets that settle on the day following expiration choose the opening rather than the closing price as the final settlement price (FSP), whereas most markets that settle on the expiration day select an average rather than a single price as the FSP. Four exogenous changes in the Taiwan Futures Exchange settlement procedures provide an experimental basis for studying the settlement procedures’ impact on underlying assets. Greatest market efficiency is observed when the FSP is determined by a single rather than an average price and hypothesize that manipulation is prevented at the expense of market quality.     

ECONOMIC TRANSITION AND LABOUR MARKET DYNAMICS IN CHINA: AN INTERPRETATIVE SURVEY OF THE ‘TURNING POINT’ DEBATE

Has the Chinese economy approached the ‘Lewisian turning point’ that marks the ending of the initial phase of industrial transformation fuelled by surplus labour? In this paper we undertake an interpretative survey of the literature on this issue, in the context of China's labour market conditions prior to the reforms and structural change of the past three decades. The available evidence is mixed, and our assessment makes a strong case for probing institutional constraints to labour mobility from an economy‐wide perspective, going beyond the confines of the rural economy.     

Financial development,economic growth and convergence clubs

To study the role of financial development in economic growth, we apply an array of convergence tests designed to capture nonlinear transitional dynamics to real outputs per capita. Strong evidence of multiple convergence clubs is observed, implying that the clubs are formed based on the initial level of real output per capita and average growth rate. Our empirical results show that the stage of economic growth of each country plays an important role for the composition of the convergence clubs. Furthermore, financial development emerges to be a significant determinant, albeit plays differently in the economic growth of each convergence club.     

Plantation Slavery and Economic Development in the Antebellum Southern United States

The relationship of plantation slavery in the Americas to economic and social development in the regions it was dominant has long been a subject of scholarly debate. The existing literature is divided into two broad interpretive models –'planter capitalism' (Fogel and Engerman, Fleisig) and the 'pre-bourgeois civilization' (Genovese, Moreno-Fraginals). While each grasps aspects of plantation slavery's dynamics, neither provides a consistent and coherent historical or theoretical account of slavery's impact on economic development because they focus on the subjective motivations of economic actors (planters or slaves) independent of their social context. Borrowing Robert Brenner's concept of 'social property relations', the article presents an alternative analysis of the dynamics of plantation slavery and their relation to economic development in the regions it dominated.     

Is Volatility the Best Predictor of Market Crashes?

The objective of this paper is to determine the best predictor of equity market crashes by focusing particularly on volatility and market liquidity. In finance, volatility has traditionally been regarded as the best measure of market risk. However, this paper shows that the forecast value of market liquidity, in particular our modified calculated market depth, predicts equity market crashes much more accurately than does the forecast values of EGARCH or Implied Volatility.     

Contrarian Investment in the Dutch Stock Market

The efficient markets hypothesis states that at any times security prices fully reflect all available information. Contrarian investment strategies do not recognize the efficiency of capital markets. They call for buying undervalued stocks, i.e. stocks with a low price relative to their fundamentals. The idea behind such a strategy is to take advantage of the extrapolation behaviour of naive investors. Using a fresh and extensive data set from the Dutch stock market, we found that these strategies yield an outperformance without a higher risk. Our results make it hard to maintain the efficient market hypothesis.     

Firm ownership and internal labour practices in a transition economy

One feature common to many post‐socialist transition economies is a relatively compressed wage structure in the state‐owned sector. We conjecture that this compressed wage structure creates weak incentives for work effort and worker skill acquisition and thus presents adverse consequences for the entire transition economy if a substantial portion of the labour force works in the state sector. We explore firm wage incentives and worker training, as well as other labour practices and outcomes, in a transition setting with matched firm and worker data collected in one of the largest provinces of Vietnam – Ho Chi Minh City. The Vietnamese state sector exhibits a compressed wage distribution in relation to privately owned firms with foreign ownership. State wage practices stress tenure over worker productivity and their wage policies result in flatter wage–experience profiles and lower returns to education. The state work force is in greater need of formal training, a need that is in part met through direct government financing. In spite of the opportunities for government financed training and at least partly due to inefficient worker incentives, state firms, by certain measures, exhibit lower levels of labour productivity. The private sector comparison group to state firms for all of these findings is foreign owned firms. The internal labour practices of foreign firms are more consistent with a view of profit‐maximizing firms operating with no political constraints. This is not the case for Vietnamese de novo private firms that exhibit much more idiosyncratic behaviour and whose labour practices are often indistinguishable from state firms. The exact reasons for this remain a topic of on‐going research yet we conjecture that various private sector constraints, including limited access to formal capital, play an important role.     

论法律不完备性与政府介入期货市场

在期货市场上，法律不完备性问题表现得较为突出，法律对于侵害行为的阻吓作用非常有限、期货市场法律的不完备性，主要取决于期货市场的特点和性质。政府采取相关的监管方式管理期货市场非常必要，监管的介入需要满足标准化和损害（外部性）足够高的条件。政府管理期货市场立法和法院执法的作用不可或缺，但更主要的是采用监管的方式。     

中国的金融市场开发与借款证券化

在当今社会，市场对金融运行的压力越来越大，传统的融资方式已难以满足投资者的需要。一种新的金融形式——贷款证券化，使资金拥有者可以通过这一渠道将资金转移到贷款者手中。通过这种形式，可以很好地解决当今社会许多融资难的问题。目前，这种融资形式正在引起我国许多业界人士的注意，这种形式如果能够在我国的金融体系中得到完善，将会极大地促进我国的经济建设，也能很好地解决我国投融资体系中存在的诸多现实问题。     

Market microstructure in a global B2B network

On‐line marketplaces raise several interesting issues, among them the relevance of location when content is digitized, and the assessment of a supplier's capabilities when buyers worldwide only have electronic contact with sellers. In global B2B on‐line marketplaces, market microstructures, i.e. which firms compete for the same customers, are thus likely to be influenced by how customers value location and firm capabilities in their decisions to do business with different suppliers on‐line. We suggest that both these sets of attributes will continue to matter on‐line—firms possessing similar capabilities, as well as firms that are similar in location by country, time zones or clusters, will compete for business from the same customers. We model the similarity in competitive positions between pairs of firms based on the overlap in their customer networks, using data on actual interactions between supplier and customer banks on an electronic trading system. Using QAP network regression techniques on the 100 largest banks in this industry, we find that similarity in capabilities influences who competes with whom, and that location still matters in a global B2B exchange. Interestingly, location influences who a firm's competitors are, but not where its customers are from. Copyright © 2001 John Wiley & Sons, Ltd.