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.

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.

Refractive index tomography of turbid media by bifocal optical coherence refractometry

We demonstrate tomographic imaging of the refractive index of turbid media using bifocal optical coherence refractometry (BOCR). The technique, which is a variant of optical coherence tomography, is based on the measurement of the optical pathlength difference between two foci simultaneously present in a medium of interest. We describe a new method to axially shift the bifocal optical pathlength that avoids the need to physically relocate the objective lens or the sample during an axial scan, and present an experimental realization based on an adaptive liquid-crystal lens. We present experimental results, including video clips, which demonstrate refractive index tomography of a range of turbid liquid phantoms, as well as of human skin in vivo.

The Coefficient of Variance as an index of L2 lexical processing skill

The Coefficient of Variance (mean standard deviation/mean Response time) is a measure of response time variability that corrects for differences in mean Response time (RT) (Segalowitz & Segalowitz, 1993). A positive correlation between decreasing mean RTs and CVs (rCV-RT) has been proposed as an indicator of L2 automaticity and more generally as an index of processing efficiency. The current study evaluates this claim by examining lexical decision performance by individuals from three levels of English proficiency (Intermediate ESL, Advanced ESL and L1 controls) on stimuli from four levels of item familiarity, as defined by frequency of occurrence. A three-phase model of skill development defined by changing rCV-RT.values was tested. Results showed that RTs and CVs systematically decreased as a function of increasing proficiency and frequency levels, with the rCV-RT serving as a stable indicator of individual differences in lexical decision performance. The rCV-RT and automaticity/restructuring account is discussed in light of the findings. The CV is also evaluated as a more general quantitative index of processing efficiency in the L2.

Index of refraction of a two-level atom in a squeezed vacuum field

We study the index of refraction of a two-level atom replacing the usually applied coherent driving fields by a squeezed vacuum field. This system can produce a large index of refraction accompanied by vanishing absorption when the carrier frequency of the squeezed vacuum is detuned from the atomic resonance. (C) 1998 Elsevier Science B.V.

Temperature and sowing date affect the linear increase of sunflower harvest index

The linearity of daily linear harvest index (HI) increase can provide a simple means to predict grain growth and yield in field crops. However, the stability of the rate of increase across genotypes and environments is uncertain. Data from three field experiments were collated to investigate the phase of linear HI increase of sunflower (Helianthus annuus L,) across environments by changing genotypes, sowing time, N level, and solar irradiation level. Linear increase in HI was similar among different genotypes, N levels, and radiation treatments (mean 0.0125 d(-1)). but significant differences occurred between sowings, The linear increase in HI was not stable at very low temperatures (down to 9 degrees C) during grain filling, due to possible limitations to biomass accumulation and translocation (mean 0.0091 d(-1)). Using the linear increase in HI to predict grain yield requires predictions of the duration from anthesis to the onset of linear HI increase (lag phase) and the cessation of linear RT increase. These studies showed that the lag phase differed, and the linear HI increase ceased when 91% of the anthesis to physiological maturity period had been completed.

Is the Australian wool futures market efficient as a predictor of spot prices?

Giles and Goss (1980) have suggested that, if a futures market provides a forward pricing function, then it is an efficient market. In this article a simple test for whether the Australian Wool Futures market is efficient is proposed. The test is based on applying cointegration techniques to test the Law of One Price over a three, six, nine, and twelve month spread of futures prices. We found that the futures market is efficient for up to a six-month spread, but no further into the future. Because futures market prices can be used to predict spot prices up to six months in advance, woolgrowers can use the futures price to assess when they market their clip, but not for longer-term production planning decisions. (C) 1999 John Wiley & Sons, Inc.

Between-year fluctuations in schizophrenia birth rate and associations with the Southern Oscillation Index, cloud cover and sunshine

Our group have recently proposed that low prenatal vitamin D may be a risk-modifying factor for schizophrenia. Climate variability impacts on vitamin D levels in a population via fluctuations in the amount of available UV radiation. In order to explore this hypothesis, we examined fluctuations in the birthrates for people with schizophrenia born between 1920 and 1967 and three sets of variables strongly associated with UV radiation. These included: (a) the Southern Oscillation Index (SOI), a marker of El Nino which is the most prominent meteorological factor that influences Queensland weather: (b) measures of cloud cover and (c) measures of sunshine. Schizophrenia births were extracted from the Queensland Mental Health register and corrected for background population birth rates. Schizophrenia birth rates had several apparently non-random features in common with the SO1. The prominent SO1 fluctuation event that occurred between 1937 and 1943 is congruent with the most prominent fluctuation in schizophrenia birth rates. The relatively flat profile of SOI activity between 1927 and 1936 also corresponds to the flattest period in the schizophrenia time series. Both time series have prominent oscillations in the 3 ~, year range between 1946 and 1960. Significant associations between schizophrenia birth rates and measures of both sunshine and cloud cover were identified,and all three time series shared periodicity in the 3-4 year range. The analyses suggest that the risk of schizophrenia is higher for those born during times of increased cloud cover,reduced sunshine and positive SO1. These ecological analyses provide initial support for the vitamin D hypothesis, however alternative non-genetic candidate exposures also need to be considered. Other sites with year-to-year fluctuations in cloud cover and sunshine should examine patterns of association between these climate variables and schizophrenia birth rates. The Stanley Foundation supported this project.

Inequitable distribution of general practitioners in Australia: estimating need through the Robin Hood Index

Objective: From Census data, to document the distribution of general practitioners in Australia and to estimate the number of general practitioners needed to achieve an equitable distribution accounting for community health need. Methods: Data on location of general practitioners, population size and crude mortality by statistical division (SD) were obtained from the Australian Bureau of Statistics. The number of patients per general practitioner by SD was calculated and plotted. Using crude mortality to estimate community health need, a ratio of the number of general practitioners per person:mortality was calculated for all Australia and for each SD (the Robin Hood Index). From this, the number of general practitioners needed to achieve equity was calculated. Results: In all, 26,290 general practitioners were identified in 57 SDs. The mean number of people per general practitioner is 707, ranging from 551 to 1887. Capital city SDs have most favourable ratios. The Robin Hood Index for Australia is 1, and ranges from 0.32 (relatively under-served) to 2.46 (relatively over-served). Twelve SDs (21%) including all capital cities and 65% of all Australians, have a Robin Hood Index > 1. To achieve equity per capita 2489 more general practitioners (10% of the current workforce) are needed. To achieve equity by the Robin Hood Index 3351 (13% of the current workforce) are needed. Conclusions: The distribution of general practitioners in Australia is skewed. Nonmetropolitan areas are relatively underserved. Census data and the Robin Hood Index could provide a simple means of identifying areas of need in Australia.

Long range forecasts of the numbers of Helicoverpa punctigera and H-armigera (Lepidoptera : Noctuidae) in Australia using the Southern Oscillation Index and the Sea Surface Temperature

The use of long-term forecasts of pest pressure is central to better pest management. We relate the Southern Oscillation Index (SOI) and the Sea Surface Temperature (SST) to long-term light-trap catches of the two key moth pests of Australian agriculture, Helicoverpa punctigera (Wallengren) and H. armigera (Hubner), at Narrabri, New South Wales over 11 years, and for H. punctigera only at Turretfield, South Australia over 22 years. At Narrabri, the size of the first spring generation of both species was significantly correlated with the SOI in certain months, sometimes up to 15 months before the date of trapping. Differences in the SOI and SST between significant months were used to build composite variables in multiple regressions which gave fitted values of the trap catches to less than 25% of the observed values. The regressions suggested that useful forecasts of both species could be made 6-15 months ahead. The influence of the two weather variables on trap catches of H. punctigera at Turretfield were not as strong as at Narrabri, probably because the SOI was not as strongly related to rainfall in southern Australia as it is in eastern Australia. The best fits were again given by multiple regressions with SOI plus SST variables, to within 40% of the observed values. The reliability of both variables as predictors of moth numbers may be limited by the lack of stability in the SOI-rainfall correlation over the historical record. As no other data set is available to test the regressions, they can only be tested by future use. The use of long-term forecasts in pest management is discussed, and preliminary analyses of other long sets of insect numbers suggest that the Southern Oscillation Index may be a useful predictor of insect numbers in other parts of the world.