Order book characteristics and the volume–volatility relation: Empirical evidence from a limit order market

Using unique data, we address the issue of price formation in a limit order market. A standard volume–volatility relation is documented with the number of trades acting as the important component of volume. The main contribution of the paper is to identify strong evidence that volume, volatility, and the volume–volatility relation are negatively related to the order book slope. These results are robust to the inclusion of several liquidity measures. A significant empirical relationship between the order book slope and the coefficient of variation in earnings forecasts by financial analysts suggests that the slope is proxying for disagreement among investors. Hence, our results support models where investor heterogeneity intensifies the volume–volatility relation.     

The co-occurrence of self-observed norm-conforming behavior,reduction of zero observations and remaining measurement quality

Norm-violating behavior is characterized by clear social norms which prescribe the non-occurrence of that behavior. From the theoretical framework of Allport it is derived that specifically norm-conformation is consistent, while violating norms is expected to be inconsistent and more circumstantial. This is in contrast to test-theoretic approaches of delinquent behavior that assume that various norm-violating responses form a consistent answer pattern that is scalable and reliable. In this study we study the inter-correlations, scalability and reliability of norm-violating responses and their relation with the reduction of zero observations. In concordance with Allport’s view it is expected that different norm-violating self-report items have limited interrelatedness and are limited in scalability and reliability in the norm-violating sub-population. The NLSY98 self-report data show that a large majority of respondents (69 %) conform systematically to all ten different norms, while only nine percent admits more than two different violations. The results show that in subsamples of norm-violating respondents, the correlations between items become closer to zero, dependent on the amount of zero reduction. Furthermore, both Loevinger’s H coefficient of scalability and scale reliability become unsatisfactorily low, when 35 % or more strict norm-conforming subjects are removed.     

The Europeanization of organic agriculture and conflicts over agricultural policy

Organic agriculture was Europeanized through two EU regulations which defined and provided financial support for it. In transposing these regulations, member states have had to deal with political aspects of the conflict between mainstream and organic agriculture. A comparison of 13 new (including former socialist states) and old member states illustrates that the level of conflict had an impact only on the level of financial support transposed, while other aspects of transposition were explained by formal institutional preconditions. Low financial support was found in those member states with a high level of conflict or a low value-based level of conflict. Medium financial support was found in one new and one old member state characterized by medium level conflicts. High financial support appeared in three member states characterized by truly low level conflicts in terms of common organic and mainstream agriculture interests.     

The mortality among industrial insured lives in Norway during the war

In the Norwegian life insurance company Fram a continuous mortality investigation takes place in connection with the yearly valuation of policies issued with weekly premiums. The investigation gives the aggregate mortality, the unit is the policy and the year of observation is the calendar year. A detailed account of the method used has been given by Fredrik Borch in his paper: “The mortality among industrial insured lives in Norway 1931–1940” in this journal 1943. The most important results of the investigation from the years 1940–1946 are rendered below.     

Is more competition conducive to the macroeconomic performance in the euro area?

One of the main goals of the European Union, laid down, inter alia, in the Lisbon Strategy and in the “Europe 2020” Strategy, is to raise employment. One important means of supporting the creation of new jobs is to increase competition. In this paper, it is shown that on average the mark-up, i.e. the deviation of prices from marginal cost in the euro area still exceeds the levels observed in the UK and in the US. After completion of the Single Market Programme in 1993, the mark-up has declined in the euro area and even more in the UK. Nevertheless, there is a strong cross-country variation between Member States, with a particularly high mark-up ratio found for Italy. Panel estimations show that total factor productivity growth, labour productivity growth and the labour market performance in the euro area could be improved by reducing the mark-up. This could be achieved by a proper institutional design. More competition could indeed improve the macroeconomic performance.