A note on execution costs for stock index futures: Information versus liquidity effects

This paper examines execution costs and the impact of trade size for stock index futures using price-volume transaction data from the London International Financial Futures and Options Exchange. Consistent with Subrahmanyam [Rev. Financ. Stud. 4 (1991) 11] we find that effective half spreads in the stock index futures market are small compared to stock markets, and that trades in stock index futures have only a small permanent price impact. This result is important as it helps to better understand the success of equity index products such as index futures and Exchange Traded Funds. We also find that there is no asymmetry in the post-trade price reaction between purchases and sales for stock index futures across various trade sizes. This result is consistent with the conjecture in Chan and Lakonishok [J. Financ. Econ. 33 (1993) 173] that the asymmetry surrounding block trades in stock markets is due to the high cost of short selling and the general reluctance of traders to short sell on stock markets. (C) 2004 Elsevier B.V. All rights reserved.

Quantifying effects of soil heterogeneity on groundwater pollution in four sites in the USA

Four sites located in the north-eastern region of the United States of America have been chosen to investigate the impacts of soil heterogeneity in the transport of solutes (bromide and chloride) through the vadose zone (the zone in the soil that lies below the root zone and above the permanent saturated groundwater). A recently proposed mathematical model based on the cumulative beta distribution has been deployed to compare and contrast the regions' heterogeneity from multiple sample percolation experiments. Significant differences in patterns of solute leaching were observed even over a small spatial scale, indicating that traditional sampling methods for solute transport, for example the gravity pan or suction lysimeters, or more recent inventions such as the multiple sample percolation systems may not be effective in estimating solute fluxes in soils when a significant degree of soil heterogeneity is present. Consequently, ignoring soil heterogeneity in solute transport studies will likely result in under- or overprediction of leached fluxes and potentially lead to serious pollution of soils and/or groundwater. The cumulative beta distribution technique is found to be a versatile and simple technique of gaining valuable information regarding soil heterogeneity effects on solute transport. It is also an excellent tool for guiding future decisions of experimental designs particularly in regard to the number of samples within one site and the number of sampling locations between sites required to obtain a representative estimate of field solute or drainage flux.