Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico

This paper investigates the hypotheses that the recently established Mexican stock index futures market effectively serves the price discovery function, and that the introduction of futures trading has provoked volatility in the underlying spot market. We test both hypotheses simultaneously with daily data from Mexico in the context of a modified EGARCH model that also incorporates possible cointegration between the futures and spot markets. The evidence supports both hypotheses, suggesting that the futures market in Mexico is a useful price discovery vehicle, although futures trading has also been a source of instability for the spot market. Several managerial implications are derived and discussed. (C) 2004 Elsevier B.V. All rights reserved.

The role of R&D technology in asymmetric research joint ventures

We characterize asymmetric equilibria in two-stage process innovation games and show that they are prevalent in the different models of R&D technology considered in the literature. Indeed, cooperation in R&D may be accompanied by high concentration in the product market. We show that while such an increase may be profitable, it may be socially inefficient.

The Environment and the Selection of Aquaculture Species and Systems: An Economic Analysis

Environmental conditions play a significant role in the economic success of aquaculture. This article classifies environmental factors in a way that facilitates economic analysis of their implications for the selection of aquaculture species and systems. The implication of on-farm as on-site environmental conditions for this selection are considered first using profit-possibility frontiers and taking into account the biological law of environmental tolerance. However, in selecting, recommending and developing aquaculture species and systems, it is often unrealistic to assume the degree of managerial efficiency implied by the profit-possibility function. It is appropriate to take account of the degree of managerial inefficiency that actually exists, not all of which may be capable of being eliminated. Furthermore, experimental R&D should be geared to on-farm conditions, and the variability of these conditions needs to be taken into account. Particularly in shared water bodies, environmental spillovers between aquaculturalists can be important and as shown theoretically, can influence the socially optimal selection of aquaculture species and systems. Similarly, aquaculture can have environmental consequences for the rest of the community. The social economic implications of this for the selection of aquaculture species and systems are analyzed. Some paradoxical results are obtained. For example, if the quality of social governance of aquaculture is poor, aquaculture species and systems that cause a slow rate of environmental deterioration may be socially less satisfactory than those that cause a rapid rate of such deterioration. Socially optimal choice of aquaculture species and systems depends not only on their biophysical characteristics and market conditions but also on the prevailing state of governance of aquaculture. Failure to consider the last aspect can result in the introduction of new aquaculture species (and systems) doing more social harm than good.

Conditional risk, return and contagion in the banking sector in Asia

This paper investigates risk and return in the banking sector in three Asian markets of Taiwan, China and Hong Kong. The study focuses on the risk-return relation in a conditional factor GARCH-M framework that controls for time-series effects. The factor approach is adopted to incorporate intra-industry contagion and an analysis of spillovers between large banks and small banks. Finally, the study provides evidence on these relations before and after the Asian financial crisis of 1997. The results are generally consistent across the markets and with expectations.

Efficiency effects of agricultural economics research in the United States

Allocations of research funds across programs are often made for efficiency reasons. Social science research is shown to have small, lagged but significant effects on U.S. agricultural efficiency when public agricultural R&D and extension are simultaneously taken into account. Farm management and marketing research variables are used to explain variations in estimates of allocative and technical efficiency using a Bayesian approach that incorporates stylized facts concerning lagged research impacts in a way that is less restrictive than popular polynomial distributed lags. Results are reported in terms of means and standard deviations of estimated probability distributions of parameters and long-run total multipliers. Extension is estimated to have a greater impact on both allocative and technical efficiency than either R&D or social science research.