Risk exposures and international diversification: Evidence from iShares

We examine the newly developed international diversification instruments–iShares traded on the American Stock Exchange. Given the fact that iShares can be created and redeemed at will, the daily price of an iShare is expected to be equal to the daily portfolio value of the underlying assets in the home-country market. Therefore, theoretically, iShare pricing should be influenced by the risk from the iShare's home-country market and not the risk from the US market, per se. We evaluate the risk exposure of iShare prices to the US market (non-fundamental effect) as well as the home-country market (the fundamental effect). We find that most iShare returns are significantly influenced by and sensitive to the US market risk. Moreover, the US market appears to be the key permanent driving factor and the home-country market is a pronounced transitory driving force for iShare prices. These findings indicate the presence of limits of international arbitrage for iShares. As a result, the international diversification benefits of iShares become questionable.

Regulation of albumin endocytosis by PSD95/Dlg/ZO-1 (PDZ) scaffolds - Interaction of Na+-H+ exchange regulatory factor-2 with ClC-5

The constitutive reuptake of albumin from the glomerular filtrate by receptor-mediated endocytosis is a key function of the renal proximal tubules. Both the Cl- channel ClC-5 and the Na+-H+ exchanger isoform 3 are critical components of the macromolecular endocytic complex that is required for albumin uptake, and therefore the cell-surface levels of these proteins may limit albumin endocytosis. This study was undertaken to investigate the potential roles of the epithelial PDZ scaffolds, Na+-H+ exchange regulatory factors, NHERF1 and NHERF2, in albumin uptake by opossum kidney ( OK) cells. We found that ClC-5 co-immunoprecipitates with NHERF2 but not NHERF1 from OK cell lysate. Experiments using fusion proteins demonstrated that this was a direct interaction between an internal binding site in the C terminus of ClC-5 and the PDZ2 module of NHERF2. In OK cells, NHERF2 is restricted to the intravillar region while NHERF1 is located in the microvilli. Silencing NHERF2 reduced both cell-surface levels of ClC-5 and albumin uptake. Conversely, silencing NHERF1 increased cell-surface levels of ClC-5 and albumin uptake, presumably by increasing the mobility of NHE3 in the membrane and its availability to the albumin uptake complex. Surface biotinylation experiments revealed that both NHERF1 and NHERF2 were associated with the plasma membrane and that NHERF2 was recruited to the membrane in the presence of albumin. The importance of the interaction between NHERF2 and the cytoskeleton was demonstrated by a significant reduction in albumin uptake in cells overexpressing an ezrin binding-deficient mutant of NHERF2. Thus NHERF1 and NHERF2 differentially regulate albumin uptake by mechanisms that ultimately alter the cell-surface levels of ClC-5.

Marine protected areas for spatially structured exploited stocks

Many harvested marine and terrestrial populations have segments of their range protected in areas free from exploitation. Reasons for areas being protected from harvesting include conservation, tourism, research, protection of breeding grounds, stock recovery, harvest regulation, or habitat that is uneconomical to exploit. In this paper we consider the problem of optimally exploiting a single species local population that is connected by dispersing larvae to an unharvested local population. We define a spatially-explicit population dynamics model and apply dynamic optimization techniques to determine policies for harvesting the exploited patch. We then consider how reservation affects yield and spawning stock abundance when compared to policies that have not recognised the spatial structure of the metapopulation. Comparisons of harvest strategies between an exploited metapopulation with and without a harvest refuge are also made. Results show that in a 2 local population metapopulation with unidirectional larval transfer, the optimal exploitation of the harvested population should be conducted as if it were independent of the reserved population. Numerical examples suggest that relative source populations should be exploited if the objective is to maximise spawning stock abundance within a harvested metapopulation that includes a protected local population. However, this strategy can markedly reduce yield over a sink harvested reserve system and may require strict regulation for conservation goals to be realised. If exchange rates are high, results indicate that spawning stock abundance can be less in a reserve system than in a fully exploited metapopulation. In order to maximise economic gain in the reserve system, results indicate that relative sink populations should be harvested. Depending on transfer levels, loss in harvest through reservation can be minimal, and is likely to be compensated by the potential environmental and economic benefits of the reserve.

Stock discrimination and movements of narrow-barred Spanish mackerel across northern Australia as indicated by parasites

The parasite fauna of Spanish mackerel Scomberomorus commerson from 10 sites across northern Australia and one site in Indonesia, was examined to evaluate the degree of movement and subsequent stock structure of the fish. Kupang fish (Indonesia) had very few Terranova spp.. Grillotia branchi, Otobothrium cysticum or Pterobothrium sp. compared to Australian fish, indicating that no Australian fish enter the Kupang fishery. Univariate and discriminant function analysis of four 'temporary' parasite species, the copepod Pseudocyenoides armatus and the monogeneans Gotocotyla bivaginalis, Pricea multae and Pseudothoracocotyla ovalis, demonstrated little similarity between areas of northern Australia, indicating minimal short-term exchange between neighbouring groups of S. commerson. Analyses of five 'permanent' parasite species, the larval helminths G. branchi, O. cysticum, Pterobothrium sp., Callitetrarhynchus gracilis and Paranybelinia balli, also revealed large differences between areas thus indicating long-term separation. There are at least six parasitological stocks across northern Australia: Fog Bay/Bathurst Island, Cape Wessel. Groote/Sir Edward Pellew. Mornington Island, Weipa. and the Torres Strait. The occurrence of a few irregular fish in the samples suggested that LIP to 5% of fish moved between stocks during their lifetime. The similarity of within-school variability to that between schools showed that the fish do not form long-term school associations. (C) 2003 The Fisheries Society of the British Isles.

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.

Free-Surface Aeration and Momentum Exchange at a Bottom Outlet

This study aims to provide some new understanding of the air-water flow properties in high-velocity water jets discharging past an abrupt drop. Such a setup has been little studied to date despite the relevance to bottom outlets. Downstream of the step brink, the free-jet entrains air at both upper and lower air-water interfaces, as well as along the sides. An air-water shear layer develops at the lower nappe interface. At the lower nappe, the velocity redistribution was successfully modelled and the velocity field was found to be similar to that in two-dimensional wake flow. The results highlighted further two distinct flow regions. Close to the brink (Wex < 5000), the flow was dominated by momentum transfer. Further downstream (Wex > 5000), a strong competition between air bubble diffusion and momentum exchanges took place.

Differential patterns of Male and Female mtDNA exchange across the Atlantic Ocean in the blue mussel, Mytilus edulis

Comparisons among loci with differing modes of inheritance can reveal unexpected aspects of population history. We employ a multilocus approach to ask whether two types of independently assorting mitochondrial DNAs (maternally and paternally inherited: F- and M-mtDNA) and a nuclear locus (ITS) yield concordant estimates of gene flow and population divergence. The blue mussel, Mytilus edulis, is distributed on both North American and European coastlines and these populations are separated by the waters of the Atlantic Ocean. Gene flow across the Atlantic Ocean differs among loci, with F-mtDNA and ITS showing an imprint of some genetic interchange and M-mtDNA showing no evidence for gene flow. Gene flow of F-mtDNA and ITS causes trans-Atlantic population divergence times to be greatly underestimated for these loci, although a single trans-Atlantic population divergence time (1.2 MYA) can be accommodated by considering all three loci in combination in a coalescent framework. The apparent lack of gene flow for M-mtDNA is not readily explained by different dispersal capacities of male and female mussels. A genetic barrier to M-mtDNA exchange between North American and European mussel populations is likely to explain the observed pattern, perhaps associated with the double uniparental system of mitochondrial DNA inheritance.

Temperature dependence of the magnetic susceptibility for triangular-lattice antiferromagnets with spatially anisotropic exchange constants

We present the temperature dependence of the uniform susceptibility of spin-half quantum antiferromagnets on spatially anisotropic triangular lattices, using high-temperature series expansions. We consider a model with two exchange constants J1 and J2 on a lattice that interpolates between the limits of a square lattice (J1=0), a triangular lattice (J2=J1), and decoupled linear chains (J2=0). In all cases, the susceptibility, which has a Curie-Weiss behavior at high temperatures, rolls over and begins to decrease below a peak temperature Tp. Scaling the exchange constants to get the same peak temperature shows that the susceptibilities for the square lattice and linear chain limits have similar magnitudes near the peak. Maximum deviation arises near the triangular-lattice limit, where frustration leads to much smaller susceptibility and with a flatter temperature dependence. We compare our results to the inorganic materials Cs2CuCl4 and Cs2CuBr4 and to a number of organic molecular crystals. We find that the former (Cs2CuCl4 and Cs2CuBr4) are weakly frustrated and their exchange parameters determined through the temperature dependence of the susceptibility are in agreement with neutron-scattering measurements. In contrast, the organic materials considered are strongly frustrated with exchange parameters near the isotropic triangular-lattice limit.

The role of affect, fairness, and social perception in team member exchange

Accumulating evidence suggests that Team-member exchange (TMX) influences employee work attitudes and behaviours separately from the effects of leader-member exchange (LMX). In particular, little is known of the effect of LMX differentiation (in-group versus out-group) as a process of social exhange that can, in turn, affect TMX quality. To explore this phenomenon, this chapter presents a multi-level model of TMX in organizations, which incorporates LMX differentiation, team identification, team member affect at the individual level, and fairness of LMX differentiation and affective climate at the group-level. We conclude with a discussion of the implications of our model for theory, research, and practice.

Effect of ionic strength and clay mineralogy on Na-Ca exchange and the SAR-ESP relationship

The relationship between sodium adsorption ratio (SAR) and exchangeable sodium percentage (ESP) for all soils has traditionally been assumed to be similar to that developed by the United States Salinity Laboratory (USSL) in 1954. However, under certain conditions, this relationship has been shown not to be constant, but to vary with both ionic strength and clay mineralogy. We conducted a detailed experiment to determine the effect of ionic strength on the Na+-Ca2+ exchange of four clay minerals (kaolinite, illite, pyrophyllite, and montmorillonite), with results related to the diffuse double-layer (DDL) model. Clays in which external exchange sites dominated (kaolinite and pyrophyllite) tended to show an overall preference for Na+, with the magnitude of this preference increasing with decreasing ESP. For these external surfaces, increases in ionic strength were found to increase preference for Na+. Although illite (2:1 non-expanding mineral) was expected to be dominated by external surfaces, this clay displayed an overall preference for Ca2+, possibly indicating the opening of quasicrystals and the formation of internal exchange surfaces. For the expanding 2:1 clay, montmorillonite, Na+-Ca2+ exchange varied due to the formation of quasicrystals (and internal exchange surfaces) from individual clay platelets. At small ionic strength and large ESP, the clay platelets dispersed and were dominated by external exchange surfaces (displaying preference for Na+). However, as ionic strength increased and ESP decreased, quasicrystals (and internal exchange surfaces) formed, and preference for Ca2+ increased. Therefore, the relationship between SAR and ESP is not constant and should be determined directly for the soil of interest.

Regulation of photosynthetic pigments in micro-algae by multiple environmental factors: a dynamic balance hypothesis

Environmental effects on the concentration of photosynthetic pigments in micro-algae can be explained by dynamics of photosystem synthesis and deactivation. A model that couples photosystem losses to the relative cellular rates of energy harvesting (light absorption) and assimilation predicts optimal concentrations of light-harvesting pigments and balanced energy flow under environmental conditions that affect light availability and metabolic rates. Effects of light intensity, nutrient supply and temperature on growth rate and pigment levels were similar to general patterns observed across diverse micro-algal taxa. Results imply that dynamic behaviour associated with photophysical stress, and independent of gene regulation, might constitute one mechanism for photo-acclimation of photosynthesis.