On the Role of Futures Trading in Spot Market Fluctuations: Perpetrator of Volatility or Victim of Regret?

We examine the role of index futures trading in spot market volatility. We use the exponential generalized autoregressive conditional heteroskedasticity (EGARCH) approach to measure volatility, analyze causality and feedback relations between volatilities in the spot and futures markets, and test various hypotheses in the context of a multivariate model that incorporates other macrostate variables. Our empirical results suggest index futures trading may not be blamed for the observed volatility in the spot market. Rather, we find stronger and more consistent support for the alternative posture that volatility in the futures market is an outgrowth of a turbulent cash market. We use the regret (cognitive dissonance) theory to explain our results.     

Cointegration of U.S. budget and current account deficits: Twins or strangers?

In this paper the authors employ the cointegration approach to explore empirically the existence of a possible long-run equilibrium relationship between the U.S. budget deficits and the current account deficits. This study uses annual nominal data in levels for the postwar period 1946–1988. Both the DW and the ADF tests confirm that the two deficits are not cointegrated. It implies that the two deficits have no possibility of reverting to a long-run equilibrium relation.     

Bioelectricity in Malaysia: economic feasibility,environmental and deforestation implications

We investigate the economic feasibility of bioelectricity production from biomass in Malaysia and its impact on greenhouse gas (GHG) emissions and storage, agricultural prices, agricultural employment and deforestation. For this purpose, we develop a partial equilibrium model that projects agricultural prices, production, imports, exports, domestic consumption and land use in 5‐year increments between 2015 and 2065. Our results show that by 2030 biomass‐generated electricity can supply 36.5 per cent of the electricity generated in Malaysia, 16 times more than the 2016 electricity supply from biomass. Increased bioelectricity production from biomass will significantly reduce GHG emissions and will help Malaysia meet its commitment in the Paris Agreement to mitigate GHG emission by 45 per cent before 2030. Our modelling shows that biomass‐generated electricity creates a derived demand for waste biomass that expands the area of oil palm plantations. The expansion lowers agricultural prices, boosts agricultural employment and leads to some deforestation as landowners clear rainforest to plant oil palm trees. Nonetheless, the deforestation does not increase GHG emissions since GHG gains from bioelectricity significantly exceed GHG losses from deforestation.     

第三方物流跨国企业在华经营面临挑战的实证研究

文章通过对五个企业的案例研究,总结出七项在华跨国物流企业所面临的挑战,即关系、价格压力、政府规制、运输成本、基础设施、信息技术能力及人才的缺乏,这些挑战可以进一步归类为:运营挑战(关系、价格压力、信息技术能力、运输成本)和成长挑战(政府规制、基础设施、人才的缺乏).为业务成长及其服务运营的考虑,在华经营的第三方物流跨国企业必须直面这些挑战.     

The Introduction of Derivatives on the Dow Jones Industrial Average and Their Impact on the Volatility of Component Stocks

This article examines the impact of trading in the Dow Jones Industrial Average (DJIA) index futures and futures options on the conditional volatility of component stocks. It investigates the contention that the introduction of futures and futures options on the DJIA could increase volatility in the 30 stocks comprising the DJIA. The conditional volatility of intraday returns for each stock before and after the introduction of derivatives is estimated with the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. Estimated parameters of conditional volatility in prefutures and postfutures periods are then compared to determine if the estimated parameters have changed significantly after the introduction of the various derivatives. The results suggest that the introduction of index futures and futures options on the DJIA has produced no structural changes in the conditional volatility of component stocks. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 633–653, 2001     

Production Efficiency of Jasmine Rice Producers in Northern and North‐eastern Thailand

The paper jointly evaluates the determinants of switching to Jasmine rice and its productivity while allowing for production inefficiency at the level of individual producers. Model diagnostics reveal that serious selection bias exists, justifying use of a sample selection framework in stochastic frontier models. Results from the probit variety selection equation reveal that gross return (mainly powered by significantly higher Jasmine rice price), access to irrigation and education are the important determinants of choosing Jasmine rice. Results from the stochastic production frontier reveal that land, irrigation and fertilisers are the significant determinants of Jasmine rice productivity. Significantly lower productivity in Phitsanulok and Tung Gula Rong Hai provinces demonstrate the influence of biophysical and environmental factors on productivity performance. The mean level of technical efficiency is estimated at 0.63 suggesting that 59% [(100 ? 63)/63] of the productivity is lost due to technical inefficiency. Policy implications include measures to keep Jasmine rice price high, increase access to irrigation and fertiliser availability, as well as investment in education targeted to farm households which will synergistically increase adoption of Jasmine rice as well as farm productivity.