Back from beyond the bid-ask spread: perspectives on liquidity

Research into the topic of liquidity has greatly benefited from the availability of data. Although bid-ask spreads were inaccessible to researchers, Roll (1984) provided a conceptual model that estimated the effective bid-ask prices from regular time series data, recorded on a daily or longer interval. Later data availability improved and researchers were able to address questions regarding the factors that influenced the spreads and the relationship between spreads and risk, return and liquidity. More recently transaction data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the impact of transactions on price movements (Clayton and McKinnon, 2000) on a trade-by-trade analysis. This paper aims to use techniques that combine elements from all three approaches and, by studying US data over a relatively long time period, to throw light on earlier research as well as to reveal the changes in liquidity over the period controlling for extraneous factors such as market, age and size of REIT. It also reveals some comparable results for the UK market over the same period.

Back from beyond bid-ask spread: estimating liquidity in international markets

Research on the topic of liquidity has greatly benefited from the improved availability of data. Researchers have addressed questions regarding the factors that influence bid-ask spreads and the relationship between spreads and risk, return and liquidity. Intra-day data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the price impact of transactions on a trade-by-trade analysis. The growth in the creation of tax-transparent securities has greatly enhanced the visibility of securitized real estate, and has naturally led to the question of whether the increased visibility of real estate has caused market liquidity to change. Although the growth in the public market for securitized real estate has occurred in international markets, it has not been accompanied by universal publication of transaction data. Therefore this paper develops an aggregate daily data-based test for liquidity and applies the test to US data in order to check for consistency with the results of prior intra-day analysis. If the two approaches produce similar results, we can apply the same technique to markets in which less detailed data are available and offer conclusions on the liquidity of a wider set of markets.

The molecular structure of propylene sulphide (methylthiirane) by gas-phase electron diffraction and theoretical calculations: a molecule used in MOCVD

Gas-phase electron-diffraction (GED) data together with results from ab initio molecular orbital calculations have been used to determine the structure of propylene sulphide. Values found for the main structural parameters for the molecule are consistent with those obtained from microwave studies and are compared here with those found for similar sulphur containing rings of general formula S(CH2)n (n = 2–5). A high ring strain enthalpy was calculated for propylene sulphide which is consistent with the small C–S–C angle (48.2(6)degrees) and the relatively long C–S bond lengths (ra = 1.831(2) Å). This is thought to account for the ease of ring opening in propylene sulphide observed in MOCVD reactions and the ready polymerisation of the molecule.

The anions [(ZrOH(CO3)3)2]6− and [(ZrOH(C2O4)3)2]6−: single crystal X-ray diffraction studies of the complexes guanidinium zirconium carbonate [(C(NH2)3)3ZrOH(CO3)3·H2O]2 and sodium zirconium oxalate Na6(ZrOH(C2O4)3)2·7H2O

The complex [(C(NH2)3)3ZrOH(CO3)3·H2O]2 (A) has been shown by means of a single crystal X-ray diffraction study to contain [C(NH2)3]+ cations and dimeric anions of formulation [(ZrOH(CO3)3)2]6−. The anion is centrosymmetric with each metal being bonded to two bridging OH groups and three chelating CO2−3 ions. The Zr atoms are thus eight coordinate with a dodecahedral environments. The ZrO distances formed by the bridgng OH groups are shorter than those formed through zirconiu carbonate interactions. The non-bonded Zr…Zr distance is 3.47(2) Å. An infrared spectroscopic investigation of A provides data which support the findings of the crystallographic study. Likewise the complex Na6(ZrOH(CO2O4)3)2·7H2O (B) contains the anion [(ZrOH(C2O4)3)2]6−. This anion is structurally related to the anion in A as each Zr atom has an eight-coordinate dodecahedral environment being bonded to two bridging OH groups and three chelating oxalate ligands, but has no imposed crysallographic symmetry. The Zr…Zr non-bonded distance is 3.50(1) Å. The OZrO bridge angles are 69.7(4)° and A and 67.4(3)° in B.

Reactions of methylvinyl and phenylvinyl ketones with a tricyclic ketone derived from 2-tetralone: characterization of crystalline products by X-ray diffraction

Base catalysed reaction of the tricyclic ketone (6 ⇌ 7) with methylvinyl ketone gave the tetracyclic ketols, 11, 13, 15, 16, and the pentacyclic ketols, 12, 17. With phenylvinyl ketone, the tetracyclic ketol (18) was formed. The stereostructures of the ketols were identified by X-Ray diffraction. The base-catalysed title reactions gave the cyclic ketols and derived compounds shown below whose structures were identified by X-ray diffraction.

Reaction of (±)-1,1′-binaphthyl-2,2′-diyl hydrogen phosphate {(±)-phosH} with copper(II), cobalt(II) and iron(II) compounds; Identification by x-ray diffraction of [Co(CH3OH)4(H2O)2][(+)-phos][(−)-phos]. 2CH3OH·H2O

[Cu2(μO2CCH3)4(H2O)2], [CuCO3·Cu(OH)2], [CoSO4·7H2O], [Co((+)-tartrate)], and [FeSO4·7H2O] react with excess racemic (±)- 1,1′-binaphthyl-2,2′-diyl hydrogen phosphate {(±)-PhosH} to give mononuclear CuII, CoII and FeII products. The cobalt product, [Co(CH3OH)4(H2O)2]((+)-Phos)((−)-Phos) ·2CH3OH·H2O (7), has been identified by X-ray diffraction. The high-spin, octahedral CoII atom is ligated by four equatorial methanol molecules and two axial water molecules. A (+)- and a (−)-Phos− ion are associated with each molecule of the complex but are not coordinated to the metal centre. For the other CoII, CuII and FeII samples of similar formulation to (7) it is also thought that the Phos− ions are not bonded directly to the metal. When some of the CuII and CoII samples are heated under high vacuum there is evidence that the Phos− ions are coordinated directly to the metals in the products.

Unsaturated σ-hydrocarbyl transition-metal complexes. Part 3. Crystal and molecular structure of trans-chlorobis(diethylphenylphosphine)(vinyl)platinum(II)

The molecular structure of trans-[PtCl(CHCH2)(PEt2Ph)2] has been determined by X-ray diffraction methods. The crystals are orthorhombic, space group Pbcn, with a= 10.686(2), b= 13.832(4), c= 16.129(4)Å, and Z= 4. The structure has been solved by the heavy-atom method and refined by full-matrix least squares to R 0.044 for 1 420 diffractometric intensity data. The crystals contain discrete molecules in which the platinum co-ordination is square planar. The Pt–Cl bond vector coincides with a crystallographic diad axis about which the atoms of the vinyl group are disordered. Selected bond lengths (Å) are Pt–Cl 2.398(4), Pt–P 2.295(3), and Pt–C 2.03(2). The Pt–CC angle is 127(2)°. From a survey of the available structural data it is concluded that there is little, if any, back donation from platinum to carbon in platinum–alkenyl linkages.

X-ray diffraction study of the influence of temperature on the structural correlations of poly(2-hydroxypropyl ether of bisphenol A)

The X-ray diffraction pattern of glassy poly(2-hydroxypropyl ether of bisphenol A) is studied at room temperature on oriented samples in order to associate its different peaks to different structural correlations. On the other hand, X-ray diffraction patterns have been obtained at different temperatures from Tg − 50 K up to Tg + 50 K for the above-mentioned polymer. Attention has been paid to the evolution with temperature of the position of the wide diffraction maximum corresponding to interchain correlations in the polymer. The temperature evolution of this parameter shows a marked discontinuity just at the glass transition temperature.

Diffraction from thermotropic copolyester molecules

Analytical expressions for the meridional scattering from highly oriented random copolyesters are presented. These procedures are utilised in developing the relationship of the features in the diffraction pattern to compositions and relative lengths of the constituent monomer units. The difference between the scattering patterns for random and block copolymers are discussed. The theory is applied to an example of a liquid crystal froming random copolyester.