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.

Understanding the impact of legislative changes on child car seating and restraint practices in regional Queensland

Road crashes contribute to a significant amount of child mortality and morbidity in Australia. In fact, passenger injuries contribute to the majority of child crash road trauma. A number of factors contribute to child injury and death in motor vehicles, including inappropriate seating position, inappropriate choice of restraint, and incorrect installation and use of child restraints. Prior to March 2010, child restraint legislation in Queensland only required children twelve months and younger to be seated in a properly adjusted and fastened child restraint. This legislation left older infants and young children potentially suboptimally protected. From March 2010, new legislation specified seating position and type of child restraint required, depending on the age of the child. This research was underpinned by the Health Belief Model (HBM), which explores health related behaviour, behaviour change, environmental factors influencing behaviour change (including legislative changes) and is flexible enough to be used in relation to parents' health practices for their children, rather than parent health directly. This thesis investigates the extent to which the changes to child restraint legislation have led parents in regional areas of Queensland to use appropriate restraint practices for their children and determines the extent to which the constructs of the HBM, parental perceptions, barriers and environmental factors contribute to the appropriateness of child seating and restraint use. Study One included three sets of observations taken in two regional cities of Queensland prior to the legislative amendment, during an educative period of six months, and after the enactment of the legislation. Each child's seating position and restraint type were recorded. Results showed that the proportion of children observed occupying the front seat decreased by 15.6 per cent with the announcement the legislation. There was no decrease in front seat use at the enactment of the legislation. The proportion of children observed using dedicated child restraints increased by 8.8 per cent with the announcement of the legislation when there was one child in the vehicle. Further, there was a 10.1 per cent increase in the proportion of children observed using a seat belt that fit with the announcement when there was one child in the vehicle and with the enactment of the legislation regardless of the number of children in the vehicle (21.8 per cent for one child, 39.7 per cent for two children and 40.2 per cent for three or more children). Study Two comprised initial intercept interviews, later followed up by telephone, with parents with children aged eight years and younger at the announcement and telephone interviews at the enactment of the legislation in one regional city in Queensland. Parents reported their child restraint practices, and opinions, knowledge and understanding of the requirements of the new legislation. Parent responses were analysed in terms of the constructs in the HBM. When asked which seating position their child 'usually' used, parents reported child front seat use was nil (0.0 per cent) and did not change with the enactment of the legislative amendment. However, when parents were asked whether they allowed children to use the front seat at some point within the six months prior to the interview, reported child front seat use was 7 (5.4 per cent) children at T2 and 10 (9.6 per cent) at T3. Reported use of age-appropriate child restraints did not increase with the enactment of the legislation (p = 0.77, ns). Parents reported restraint practices were classed as either appropriate or inappropriate. Parents who reported appropriate restraint practices were those whose children were sitting in optimal restraints and seating positions for their age according to the requirements of the legislation. Parents who reported inappropriate restraint practices were those who had one or more children who were suboptimally restrained or seated for their age according to the requirements of the legislation. Neither parents' perceptions about their susceptibility of being in a crash nor the likelihood of severity of child injury if involved in a crash yielded significant differences in the appropriateness of reported parent restraint practices over time with the enactment of the legislation. A trend in the data suggested parents perceived a benefit to using appropriate restraint practices was to avoid fines and demerit points. Over 75 per cent of parents who agreed that child restraints provide better protection for children than an adult seat belt reported appropriately seating and restraining their children (2 (1) = 8.093, p<.05). The self-efficacy measure regarding parents' confidence in installing a child restraint showed a significant association with appropriate parental restraint practices (2 (1) = 7.036, p<.05). Results suggested that some parents may have misinterpreted the announcement of the legislative amendment as the announcement of the enforcement of the legislation instead. Some parents who correctly reported details of the legislation did not report appropriate child restraint practices. This finding shows that parents' knowledge of the legislative amendment does not necessarily have an impact on their behaviour to appropriately seat and restrain children. The results of these studies have important implications for road safety and the prevention of road-related injury and death to children in Queensland. Firstly, parents reported feeling unsure of how to install restraints, which suggests that there may be children travelling in restraints that have not been installed correctly, putting them at risk. Interventions to alert and encourage parents to seek advice when unsure about the correct installation of child restraints could be considered. Secondly, some parents in this study although they were using the most appropriate restraint for their children, reported using a type that was not the most appropriate restraint for the child's age according to the legislation. This suggests that intervention may be effective in helping parents make a more accurate choice of the most appropriate type of restraint to use with children, especially as the child ages and child restraint requirements change. Further research could be conducted to ascertain the most effective methods of informing and motivating parents to use the most appropriate restraints and seating positions for their children, as these results show a concerning disparity between reported restraint practices and those that were observed.

Punishment and 'the People' : Rescuing Populism from its Critics

The term 'penal populism' is now reflexively used by criminologists to describe what many see as a dominant trend within penal policymaking in many western countries. The epithet 'populist' is used with no Jess frequency by media and other public commentators to refer (always pejoratively) to this or that political announcement, policy or style of political leadership, whether the context be specifically related to crime or some other arena of public affairs. In most accounts 'penal populism' (or 'populist punitiveness': Bottoms, 1995) is treated as a composite term. The two words are inseparably coupled and it is the penal that receives most of the detailed attention. As in more general political commentary, populism is tacitly understood as a negative and rather dangerous phenomenon, suggestive of manipulation, shallow-ness and demagoguery: in short, a corruption of normal, healthy democratic politics. As against such accounts, I want to suggest that debate about penal policymaking and its future -and particularly the prospects for more progressive policymaking in the area -would be assisted if populism was taken more seriously both conceptually and politically. This requires a decoupling of the concept of populism from what is habitually taken to be its punitive partner and that which defines its content. Currently the term is used without clear definition, let alone conceptual elaboration, to reference political pathology. Instead populism should be examined as a regular, meaningful dimension of contemporary political practice that has to be understood and engaged, not just denounced and extirpated. That is, I am seeking to make a case for bringing populism in from the despised margins to the centre of political practice and reflection. I will also briefly consider some of the implications this may have for penal politics specifically.

Will the new ABC Arts Council Win Back the Arts Community?

The ABC’s major arts announcement this month appears at first glance to be good news for one of its core constituencies. The national broadcaster will establish an Arts Council and will roll out several new arts programming initiatives. The Corporation’s relationship with the arts community has been strained in recent years, so the new programming initiatives should be greeted positively. But without significant new funding, coupled with the uncertainties of a looming federal budget, some commentators are seeing this as little more than a shuffling of the deckchairs.

Cut here : reshaping the ABC

Monday’s announcement that the ABC will make 80 positions redundant is just the latest move in an enforced process of change to the public service broadcaster. It has a long way yet to run. The announcement finally put the lie to Tony Abbott’s election eve pledge, live on national television, that there would be “no cuts to the ABC or SBS”. In concert with other recent announcements, it seems clear that public broadcasting – and in particular the ABC – is squarely in the government’s sights.

With budget cuts coming, ABC and SBS stand divided

Did SBS chief executive Michael Ebeid score a well-timed free kick or an own goal in his attack on the ABC this week? The ABC recently secured the free-to-air television rights for the Asian Cup football tournament to be held in Australia early next year, together with tonight’s match between the Socceroos and Japan. A lower bid by SBS – still in some circles fondly known as the “Soccer Broadcasting Service” – was rejected, dealing a significant blow to the smaller public broadcaster. The ABC was reportedly asked to make a bid by Football Federation Australia. The FFA presumably believes the ABC’s coverage will attract larger audiences to the game. This is despite SBS’s long-term success with the sport. It should not be forgotten, however, that while SBS has largely been defined by its long connection with the world game, ABC was the home of football from the late 1950s until the 1980s. But the stoush is only partly about football. It was surely no coincidence that it comes on the eve of the government’s formal announcement of the size of the cuts to public broadcasting...

Book review - Richard Goldberg, Medicinal Product Liability and Regulation (Hart Publishing, Oxford, 2013) 214pp

In December 2013, settlement was reached between approximately 100 Australian and New Zealand Thalidomide victims and the company which had acted as the Australian distributor of the infamous drug, thus putting to rest the possibility of litigation. Around the same time, Thalidomide victims in the United Kingdom (UK) launched a similar bid for compensation against the manufacturer and distributor. It is clear that despite a lengthy amount of time having passed ever since the thalidomide disaster commenced in 1962, the controversy over compensation continues. Indeed, the author of Medicinal Product Liability and Regulation (published before the announcement of the British legal claim), Professor Goldberg, notes that claims for resulting birth defects continue to emerge right into the present day. His prescient insight into the contemporary relevance of compensation for pharmaceutical injuries thus makes Medicinal Product Liability and Regulation a very relevant addition to the small body of scholarship that is available on this rather specific and complex issue.

Direct measurement of prosthetic loading for evidence-based practice

The demand for an evidence-based clinical practice involving lower limb amputees is increasing. Some of the critical care decisions are related to the loading applied on the residuum partially responsible for comfort and functional outcome. This loading can be assessed using inverse dynamics equations. Typically, this method requires a gait laboratory (e.g., 3D motion analysis system, force-plates). It is mainly suited for the analysis only few steps of walking while being expensive and labour intensive. However, recent scientific and industrial developments demonstrated that discrete and light portable sensors can be placed within the prosthesis to measure accurately the loading during an unlimited number of steps and activities of daily living. Several studies indicated that method based on direct measurements might provide more realistic results. Furthermore, it is a user-friendly method more accessible to clinicians, such as prosthetists. The purpose of this symposium will be to give an overview of these additional opportunities for clinicians to obtain relevant data for evidence-based practice. The three main aims will be: • To present some of the equipment used for direct measurements, • To propose ways to analyse some key data sets, • To give some practical example of data sets for transtibial and transfemoral amputees.

Bone-anchored prosthesis: Update in international developments

This symposium will provide hand-on update on the current development of the load sensors measuring the inner prosthetic loading that can strongly contribute the ever increasing demand for evidence-based clinical practice. Surgical implantations of osseointegrated fixations for bone-anchored prosthesis are developing at an unprecedented pace worldwide (e.g., Australia, UK, Sweden, US). This option is becoming accessible to a wide range of individuals with limb loss. With these new developments come new potential challenges and opportunities for all the stakeholders involved in the prosthetic care of these patients. Clearly, there is a need for those stakeholders, particularly those attending the ISPO, to be informed of the current and upcoming international developments in bone-anchored prostheses. The objectives of this symposium will be: • To present an overview of the current growth of the procedures worldwide (e.g., identification of key players, centers of activities, growth trend) with a strong focus on the introduction of the framework to evaluate the availability of the procedure at national level (e.g., number of patients treated, range of the levels of implantation, number of commercial fixations accessible), • To provide first-hand updates on the latest cutting-edge scientific and clinical developments of fixations and rehabilitations programs (e.g., Innovative design of implant, cost-effectiveness, long-terms rehabilitation outcomes for screw-type fixation, current developments in US, comparative analysis for press-fit type of implant, potential moves toward single-stage surgeries).

Tesla motors’ open source revolution: Intellectual property and the carbon crisis

On the 12th June 2014, Elon Musk, the chief executive officer of the electric car manufacturer, Tesla Motors, announced in a blog that ‘all our patents belong to you.’ He explained that the company would adopt an open source philosophy in respect of its intellectual property in order to encourage the development of the industry of electric cars, and address the carbon crisis. Elon Musk made the dramatic, landmark announcement: Yesterday, there was a wall of Tesla patents in the lobby of our Palo Alto headquarters. That is no longer the case. They have been removed, in the spirit of the open source movement, for the advancement of electric vehicle technology.

Job uncertainty and personal control during downsizing: A comparison of survivors and victims

This study developed and tested a model of job uncertainty for survivors and victims of downsizing. Data were collected from three samples of employees in a public hospital, each representing three phases of the downsizing process: immediately before the announcement of the redeployment of staff, during the implementation of the downsizing, and towards the end of the official change programme. As predicted, levels of job uncertainty and personal control had a direct relationship with emotional exhaustion and job satisfaction. In addition, there was evidence to suggest that personal control mediated the relationship between job uncertainty and employee adjustment, a pattern of results that varied across each of the three phases of the change event. From the perspective of the organization’s overall climate, it was found that levels of job uncertainty, personal control and job satisfaction improved and/or stabilized over the downsizing process. During the implementation phase, survivors experienced higher levels of personal control than victims, but both groups of employees reported similar levels of job uncertainty. We discuss the implications of our results for strategically managing uncertainty during and after organizational change.

The impact of project announcements on property values: An empirical analysis

The study examines the property value impacts of an announcement of a project which has potential environmental impacts as distinct from other studies that address costs associated with under-construction and the operating impacts of developments. The hypothesis is that the announcement of a proposed project with potential environmental impact creates uncertainty in the property market of the affected area, and this impact is greater on properties closer to the project than those farther from it. The results of the study confirm the hypothesis and indicate that the marginal willingness to pay for properties within a 5 km distance declined by AU$17,020 per km proximity to the proposed heavy vehicle route, after the proposed route was announced. The results support the need for more holistic measurement of cost–benefit analysis of projects and provide a basis for improved consideration by policy makers of the rights of affected parties.

The differential impact of monetary policy announcements and explanatory minutes releases on the Australian interest rate futures market

Unlike US and Continental European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or comprehensive summaries that explain the decision process. This information is disclosed 2 weeks later when the explanatory minutes of the Reserve Bank board meeting are released. This paper is the first study to exploit the features of the Australian monetary policy environment in order to examine the differential impact of monetary policy announcements and explanatory statements on the Australian interest rate futures market. We find that both monetary policy announcements and explanatory minutes releases have a significant impact on the implied yield and volatility of Australian interest rate futures contracts. When the differential impact of these announcements is examined using the full sample, no statistically significant difference is found. However, when the sample is partitioned based on stable periods and the Global Financial Crisis, a differential impact is evident. Further, contrary to the findings of Kim and Nguyen (2008), Lu et al. (2009), and Smales (2012a), the response along the yield curve, is found to be indifferent between the short and medium terms.

The effect of ground leases on house prices in Helsinki

One imperfection in housing markets is imperfect knowledge about legal interests such as ground leases. Both actual reduced legal interest as well as uncertainty surrounding rights and future lease payments for houses constructed on leased land may affect prices relative to houses built on freehold land. We use regression analysis of sales prices of condominium transactions in Helsinki to examine the effect ground leases have on house prices. We find that prices on condominiums constructed on leased lots are discounted at least 5 %, on average. In addition, we see that the announcement of potentially large increases in base rents upon renewal contributes to the discount.

Teacher professional conversations – the oz- Teachers story

The oz-Teachers listserv, an email list for teachers, ran continuously for 20 years, from 1995 to 2015. It provided the technical infrastructure for professional communication with the majority of its members being Australian teachers based in classrooms across the country. An analysis of the list archives provides us with interesting insights as to how teachers learn from and within communities of their peers and how such communities offer social and educational affordances to allow teachers to generate and enhance their own learning. This paper begins with a brief review of the response to the announcement of the list’s closure. It then moves to a report of the types of communication which emerged from the list over time with comparisons drawn from extant research, namely, an early analysis of email lists and a more contemporary study of teacher communication through microblogging. We identified 14 categories with eight of these being paired, namely, as asking/seeking and responding/giving. The key finding of this analysis was that the list, and its professional discussions, were sustained through reciprocity and collective intelligence, that is, sharing of information and resources and that this was evident through the life of the listserv.