Essays on volatility and liquidity in financial markets

The price formation of financial assets is a complex process. It extends beyond the standard economic paradigm of supply and demand to the understanding of the dynamic behavior of price variability, the price impact of information, and the implications of trading behavior of market participants on prices. In this thesis, I study aggregate market and individual assets volatility, liquidity dimensions, and causes of mispricing for US equities over a recent sample period. How volatility forecasts are modeled, what determines intradaily jumps and causes changes in intradaily volatility and what drives the premium of traded equity indexes? Are they induced, for example, by the information content of lagged volatility and return parameters or by macroeconomic news, changes in liquidity and volatility? Besides satisfying our intellectual curiosity, answers to these questions are of direct importance to investors developing trading strategies, policy makers evaluating macroeconomic policies and to arbitrageurs exploiting mispricing in exchange-traded funds. Results show that the leverage effect and lagged absolute returns improve forecasts of continuous components of daily realized volatility as well as jumps. Implied volatility does not subsume the information content of lagged returns in forecasting realized volatility and its components. The reported results are linked to the heterogeneous market hypothesis and demonstrate the validity of extending the hypothesis to returns. Depth shocks, signed order flow, the number of trades, and resiliency are the most important determinants of intradaily volatility. In contrast, spread shock and resiliency are predictive of signed intradaily jumps. There are fewer macroeconomic news announcement surprises that cause extreme price movements or jumps than those that elevate intradaily volatility. Finally, the premium of exchange-traded funds is significantly associated with momentum in net asset value and a number of liquidity parameters including the spread, traded volume, and illiquidity. The mispricing of industry exchange traded funds suggest that limits to arbitrage are driven by potential illiquidity.

Essays on technology adoption under uncertainty, globalization and economic growth

This thesis examines how the initial institutional and technological aspects of the economy and the reforms that alter these aspects influence long run growth and development. These issues are addressed in the framework of stochastic endogenous growth models and an empirical framework. The thesis is able to explain why developing nations exhibit diverse growth and inequality patterns. Consequently, the thesis raises a number of policy implications regarding how these nations can improve their economic outcomes.

Alveolar dose comparison of ultrafine particles for Australian and Italian children

Epidemiological studies have demonstrated that exposure to particulate air pollution is associated with several adverse health effects. Recently, interest has focused on ultrafine particles (UFPs, diameter ≤ 100 nm), due to the adverse health effects caused by their ability to induce inflammation and deposit in secondary organs [1]. These effects are much more pronounced in children because they inhale a higher dose of UFPs relative to both lung size (when compared with adults) [2] and increased breathing rates, since they are generally more physically active than adults ...

Essays on momentum investing strategies

The momentum investment strategy, which buys recent winner stocks and sells recent loser stocks, earns returns that are simply too good to be explained by traditional finance theories. This thesis extends our understanding of the sources of momentum profits. The research shows that part of the seemingly anomalous returns can be explained by the market's reaction to public news, is affected by how delisting returns are calculated, and is biased by ignoring the time-varying risk of the trading strategy.

Essays in the political economy of voting and reforms

This thesis presents four essays in the political economy of elections and reforms. The first study exploits discontinuities around school entry cut-off dates to show that early childhood conditions can impact the probability to become a top-flight politician. The second study provides empirical estimates of the effect of sequential voting on turnout and bandwagon voting outside the laboratory. The third work describes a novel nonparametric strategy to identify tactical voting patterns directly from balloting results using British election data. Finally, a study is put forward that examines the political feasibility of reforms.

Three essays on banks trading activities

With a fair share of the blame for the subprime crisis pointing to banks' extensive involvement in trading, this thesis examines three closely related issues. The first essay shows that regulatory capital arbitrage, insolvency risk, and non-interest income are all important motivations for banks to become involved in trading. The second essay support the widely held perception that trading activities such as off-balance sheet derivatives, securitization, and assets sales all are making banks more opaque. With banks' business model changing from ''originate and hold'' to ''originate, repackage, and sell'', the last essay show that trading channel exist and it has weakened the effectiveness of monetary policy transmission through banks' capital and lending channel.

1950s made in Brisbane : Italian tailors and the continental suit

During the 1950s and 1960s, when the French couturiers Dior, Balenciaga, Givenchy and Chanel dominated the fashion industry, the Italian community in Brisbane, Australia, was very active in the local industry through retail, dress-making and tailoring. Australia is geographically at the margins of the developed countries and has been dependent on European trends and taste. In the 1950s, communication was based on magazines and especially newsreels and film; each ethnic group dressed as they liked and according to their custom. Moreover, ‘Made in Italy’ was not yet the prestigious concept that revolutionized ready-to-wear design from the 1970s. However, Italian tailors and demi-couturiers brought to Brisbane their trans-national sense of elegance (the Italian style) and the taste in fashion that influenced new generations in England and elsewhere in Europe from the 1950s. They brought quality and workmanship, offering excellence through the use of quality fabrics from prestigious English and Italian brands. These tailors and dress-makers also contributed towards the local industry through passing on the skills that they brought from Italy. This article is based on a project that seeks to understand the connection between fashion, history and place. The area under examination is the Valley, short for Fortitude Valley, an area adjacent to the Brisbane CBD. Fundamental to this connection between place and fashion was the presence of many Italian migrants in the area. Through archival research and oral history, the aim of this ethnographic project is to bring to the fore an untold story about the economic and aesthetic contribution of Italian migrants to Queensland. Central to the understanding of this aesthetic change is the Italian suit. This research is innovative in that it opens a new area of study in Australian fashion history, connected to the history of migrants and their identity.

A behavioural economics inquiry into inequality in education: Three empirical essays

This thesis investigates behavioural processes for inequality in education and solutions to mitigate such effects, applying conceptual and methodological insights from behavioural and experimental economics. It explores relative age differences in economic preferences of young individuals, the influence of stereotypes and positive discrimination on performance, and evaluates a program that offers strong encouragement for educational achievement of indigenous high school students.

Team building activities in dance and discoveries from reflective essays

The purpose of this study was to determine if using team building activities within a university Latin dance course enhances cohesion. Students (N=30) completed the Group Environment Questionnaire (GEQ; Carron, Widmeyer, & Brawley, 1985), which measures group integration (individuals’ perceptions of the closeness, similarity, and bonding within the group as a whole) and individual attractions to the group in terms of both task and social cohesion. Students also completed an evaluation of the team building activities and wrote reflective essays about their experiences in the course. The course consisted of twenty 90-minute classes. In the third class students were provided an information sheet describing the research. In the fourth class the students completed a demographics questionnaire and the GEQ. The students completed the GEQ again during the ninth class. In classes 10 to 14 team building activities took up roughly the first third of each class. The students completed the GEQ again in classes 15 and 20. In class 16 the students completed the evaluation. The reflective essays were submitted two weeks after the last class. There were no significant differences across time in social cohesion. Group integration task, however, was significantly higher at times 3 and 4 compared to time 1. Students agreed that the team-building activities helped to bond class members, and felt it was valuable for these activities to be included in the unit in the future. The reflective essays indicated the students felt the team building activities improved social factors, and interpersonal, dance, and personal mental skills.

Improving SEA procedures within Italian regions: Towards a more effective evaluation of urban sustainability

Sustainable urban development, a major issue at global scale, will become more relevant according to population growth predictions in developed and developing countries. Societal and international recognition of sustainability concerns led to the development of specific tools and procedures, known as sustainability assessments/appraisals (SA). Their effectiveness however, considering that global quality life indicators have worsened since their introduction, has promoted a re-thinking of SA instruments. More precisely, Strategic Environmental Assessment (SEA), – a tool introduced in the European context to evaluate policies, plans, and programmes (PPPs), – is being reconsidered because of several features that seem to limit its effectiveness. Over time, SEA has evolved in response to external and internal factors dealing with technical, procedural, planning and governance systems thus involving a shift of paradigm from EIA-based SEAs (first generation protocols) towards more integrated approaches (second generation ones). Changes affecting SEA are formalised through legislation in each Member State, to guide institutions at regional and local level. Defining SEA effectiveness is quite difficult. Its’ capacity-building process appears quite far from its conclusion, even if any definitive version can be conceptualized. In this paper, we consider some European nations with different planning systems and SA traditions. After the identification of some analytical criteria, a multi-dimensional cluster analysis is developed on some case studies, to outline current weaknesses.

Improving SEA prodedures within Italian regions: Towards a more effective evaluation of urban sustainability

Sustainable urban development, a major issue at global scale, will become more relevant according to population growth predictions in developed and developing countries. Societal and international recognition of sustainability concerns led to the development of specific tools and procedures, known as sustainability assessments/appraisals (SA). Their effectiveness however, considering that global quality life indicators have worsened since their introduction, has promoted a re-thinking of SA instruments. More precisely, Strategic Environmental Assessment (SEA), – a tool introduced in the European context to evaluate policies, plans, and programmes (PPPs), – is being reconsidered because of several features that seem to limit its effectiveness. Over time, SEA has evolved in response to external and internal factors dealing with technical, procedural, planning and governance systems thus involving a shift of paradigm from EIA-based SEAs (first generation protocols) towards more integrated approaches (second generation ones). Changes affecting SEA are formalised through legislation in each Member State, to guide institutions at regional and local level. Defining SEA effectiveness is quite difficult. Its’ capacity-building process appears quite far from its conclusion, even if any definitive version can be conceptualized. In this paper, we consider some European nations with different planning systems and SA traditions. After the identification of some analytical criteria, a multi-dimensional cluster analysis is developed on some case studies, to outline current weaknesses.

Lung cancer risk of airborne particles for Italian population

Airborne particles, including both ultrafine and supermicrometric particles, contain various carcinogens. Exposure and risk-assessment studies regularly use particle mass concentration as dosimetry parameter, therefore neglecting the potential impact of ultrafine particles due to their negligible mass compared to supermicrometric particles. The main purpose of this study was the characterization of lung cancer risk due to exposure to polycyclic aromatic hydrocarbons and some heavy metals associated with particle inhalation by Italian non-smoking people. A risk-assessment scheme, modified from an existing risk model, was applied to estimate the cancer risk contribution from both ultrafine and supermicrometric particles. Exposure assessment was carried out on the basis of particle number distributions measured in 25 smoke-free microenvironments in Italy. The predicted lung cancer risk was then compared to the cancer incidence rate in Italy to assess the number of lung cancer cases attributed to airborne particle inhalation, which represents one of the main causes of lung cancer, apart from smoking. Ultrafine particles are associated with a much higher risk than supermicrometric particles, and the modified risk-assessment scheme provided a more accurate estimate than the conventional scheme. Great attention has to be paid to indoor microenvironments and, in particular, to cooking and eating times, which represent the major contributors to lung cancer incidence in the Italian population. The modified risk assessment scheme can serve as a tool for assessing environmental quality, as well as setting up exposure standards for particulate matter.

Indoor Air Quality in Naturally Ventilated Italian Classrooms

Characterization of indoor air quality in school classrooms is crucial to children’s health and performance. The present study was undertaken to characterize the indoor air quality in six naturally ventilated classrooms of three schools in Cassino (Italy). Indoor particle number, mass, black carbon, CO2 and radon concentrations, as well as outdoor particle number were measured within school hours during the winter and spring season. The study found the concentrations of indoor particle number were influenced by the concentrations in the outdoors; highest BC values were detected in classrooms during peak traffic time. The effect of different seasons’ airing mode on the indoor air quality was also detected. The ratio between indoor and outdoor particles was of 0.85 ± 0.10 in winter, under airing conditions of short opening window periods, and 1.00 ± 0.15 in spring when the windows were opened for longer periods. This was associated to a higher degree of penetration of outdoor particles due to longer period of window opening. Lower CO2 levels were found in classrooms in spring (908 ppm) than in winter (2206 ppm). Additionally, a greater reduction in radon concentrations was found in spring. In addition, high PM10 levels were found in classrooms during break time due to re-suspension of coarse particles. Keywords: classroom; Ni/Nout ratio; airing by opening windows; particle number