Does orthogonalization really purge equity based property valuations of their general stock market influences?

This paper uses a recently developed nonlinear Granger causality test to determine whether linear orthogonalization really does remove general stock market influences on real estate returns to leave pure industry effects in the latter. The results suggest that there is no nonlinear relationship between the US equity-based property index returns and returns on a general stock market index, although there is evidence of nonlinear causality for the corresponding UK series.

Predicting stock index volatility: can market volume help?

This paper explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the NYSE. An application of linear and non-linear Granger causality tests highlights evidence of bidirectional causality, although the relationship is stronger from volatility to volume than the other way around. The out-of-sample forecasting performance of various linear, GARCH, EGARCH, GJR and neural network models of volatility are evaluated and compared. The models are also augmented by the addition of a measure of lagged volume to form more general ex-ante forecasting models. The results indicate that augmenting models of volatility with measures of lagged volume leads only to very modest improvements, if any, in forecasting performance.

Hot and cold IPO markets : the case of the stock exchange of Mauritius

The aim of this study is to assess the characteristics of the hot and cold IPO markets on the Stock Exchange of Mauritius (SEM). The results show that the hot issues exhibit, on average, a greater degree of underpricing than the cold issues, although the hot issue phenomenon is not a significant driving force in explaining this short-run underpricing. The results are consistent with the predictions of the changing risk composition hypothesis in suggesting that firms going public during hot markets are on average relatively more risky. The findings also support the time adverse selection hypothesis in that the firms’ quality dispersion is statistically different between hot and cold markets. Finally, the study concludes that firms which go public during hot markets do not underperform those going public in cold markets over the longer term.

Enhancement in corneal permeability of riboflavin using calcium sequestering compounds

Ethylenediaminetetraacetic acid, ethylenediamine-N,N′-disuccinic acid and ethylene glycol-bis(2-aminoethylether)-N,N,N′,N′-tetraacetic acid are polyaminocarboxylic acids that are able to sequester metal ions. Calcium is implicated in maintenance of intercellular matrix, zonula occludens (tight junctions) and zonula adherens of epithelium and endothelium cells. Corneal epithelium is impervious to many aqueous formulations due to it being lipophilic, whereby transcellular drug transit is resisted, whilst tight junctions restrict access via the paracellular route. Research has shown that integrity of tight junctions breaks down through loss of Ca2+ for endothelial and epithelial cells. This study investigates different Ca2+ sequestering compounds and their effect on corneal permeability of riboflavin at physiological pH. Riboflavin is a topically administered ocular drug applied during UV-induced corneal cross-linking for the treatment of keratoconus.

N1 enhancement in synesthesia during visual and audio-visual perception in semantic cross-modal conflict situations: an ERP study

Synesthesia entails a special kind of sensory perception, where stimulation in one sensory modality leads to an internally generated perceptual experience of another, not stimulated sensory modality. This phenomenon can be viewed as an abnormal multisensory integration process as here the synesthetic percept is aberrantly fused with the stimulated modality. Indeed, recent synesthesia research has focused on multimodal processing even outside of the specific synesthesia-inducing context and has revealed changed multimodal integration, thus suggesting perceptual alterations at a global level. Here, we focused on audio-visual processing in synesthesia using a semantic classification task in combination with visually or auditory-visually presented animated and in animated objects in an audio-visual congruent and incongruent manner. Fourteen subjects with auditory-visual and/or grapheme-color synesthesia and 14 control subjects participated in the experiment. During presentation of the stimuli, event-related potentials were recorded from 32 electrodes. The analysis of reaction times and error rates revealed no group differences with best performance for audio-visually congruent stimulation indicating the well-known multimodal facilitation effect. We found enhanced amplitude of the N1 component over occipital electrode sites for synesthetes compared to controls. The differences occurred irrespective of the experimental condition and therefore suggest a global influence on early sensory processing in synesthetes.

Is there a gold social seal? The financial effects of additions to and deletions from social stock indices

This study investigates the financial effects of additions to and deletions from the most well-known social stock index: the MSCI KLD 400. Our study makes use of the unique setting that index reconstitution provides and allows us to bypass possible issues of endogeneity that commonly plague empirical studies of the link between corporate social and financial performance. By examining not only short-term returns but also trading activity, earnings per share, and long-term performance of stocks that are involved in these events, we bring forward evidence of a ‘social index effect’ where unethical transgressions are penalized more heavily than responsibility is rewarded. We find that the addition of a stock to the index does not lead to material changes in its market price, whereas deletions are accompanied by negative cumulative abnormal returns. Trading volumes for deleted stocks are significantly increased on the event date, while the operational performances of the respective firms deteriorate after their deletion from the social index.

Speculative bubbles and the cross-sectional variation in stock returns

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative bubbles to affect stock returns. We show that stocks incorporating larger bubbles yield higher returns. The bubble deviation, at the stock level as opposed to the industry or market level, is a priced source of risk that is separate from the standard market risk, size and value factors. We demonstrate that much of the common variation in stock returns that can be attributable to market risk is due to the co-movement of bubbles rather than being driven by fundamentals.

The long-run performance of IPOs: the case of the Stock Exchange of Mauritius

This study examines the long-run performance of initial public offerings on the Stock Exchange of Mauritius (SEM). The results show that the 3-year equally weighted cumulative adjusted returns average −16.5%. The magnitude of this underperformance is consistent with most reported studies in different developed and emerging markets. Based on multivariate regression models, firms with small issues and higher ex ante financial strength seem on average to experience greater long-run underperformance, supporting the divergence of opinion and overreaction hypotheses. On the other hand, Mauritian firms do not on average time their offerings to lower cost of capital and as such, there seems to be limited support for the windows of opportunity hypothesis.

Eastward propagation of a plasma convection enhancement following a southward turning of the interplanetary magnetic field

On October 27th 1984, high-latitude ionospheric convection was observed by the European incoherent scatter (EISCAT) radar. For a nine-hour period, simultaneous observations of the interplanetary magnetic field (IMF) were obtained sunward of the Earth's bow shock. During this period, the IMF abruptly turned southward, having previously been predominantly northward for approximately three hours, and a strong enhancement in convection was observed 11 ± 1 minutes later. Using the very high time resolution of the EISCAT data, it is shown that the convection enhancement propagated eastward, around the afternoon magnetic local time sector, at a speed of the order of 1 kms−1. These results are interpreted in terms of the effects of an onset of steady IMF-geomagnetic field merging and are the first to show how a new pattern of enhanced convection is established in the high latitude ionosphere.

Time-varying price discovery in the eighteenth century: empirical evidence from the London and Amsterdam stock markets

This paper examines the time-varying nature of price discovery in eighteenth century cross-listed stocks. Specifically, we investigate how quickly news is reflected in prices for two of the great moneyed com- panies, the Bank of England and the East India Company, over the period 1723 to 1794. These British companies were cross-listed on the London and Amsterdam stock exchange and news between the capitals flowed mainly via the use of boats that transported mail. We examine in detail the historical context sur- rounding the defining events of the period, and use these as a guide to how the data should be analysed. We show that both trading venues contributed to price discovery, and although the London venue was more important for these stocks, its importance varies over time.

Sensory enhancement, a pilot perceptual study of subdermal magnetic implants

Subdermal magnetic implants originated as an art form in the world of body modification. To date an in depth scientific analysis of the benefits of this implant has yet to be established. This research explores the concept of sensory extension of the tactile sense utilising this form of implantation. This relatively simple procedure enables the tactile sense to respond to static and alternating magnetic fields. This is not to say that the underlying biology of the system has changed; i.e. the concept does not increase our tactile frequency response range or sensitivity to pressure, but now does invoke a perceptual response to a stimulus that is not innately available to humans. Within this research two social surveys have been conducted in order to ascertain one, the social acceptance of the general notion of human enhancement, and two the perceptual experiences of individuals with the magnetic implants themselves. In terms of acceptance to the notion of sensory improvement (via implantation) ~39% of the general population questioned responded positively with a further ~25% of the respondents answering with the indecisive response. Thus with careful dissemination a large proportion of individuals may adopt this technology much like this if it were to become available for consumers. Interestingly of the responses collected from the magnetic implants survey ~60% of the respondents actually underwent the implant for magnetic vision purposes. The main contribution of this research however comes from a series of psychophysical testing. In which 7 subjects with subdermal magnetic implants, were cross compared with 7 subjects that had similar magnets superficially attached to their dermis. The experimentation examined multiple psychometric thresholds of the candidates including intensity, frequency and temporal. Whilst relatively simple, the experimental setup for the perceptual experimentation conducted was novel in that custom hardware and protocols were created in order to determine the subjective thresholds of the individuals. Abstract iv The overall purpose of this research is to utilise this concept in high stress scenarios, such as driving or piloting; whereby alerts and warnings could be relayed to an operator without intruding upon their other (typically overloaded) exterior senses (i.e. the auditory and visual senses). Hence each of the thresholding experiments were designed with the intention of utilising the results in the design of signals for information transfer. The findings from the study show that the implanted group of subjects significantly outperformed the superficial group in the absolute intensity threshold experiment, i.e. the implanted group required significantly less force than the superficial group in order to perceive the stimulus. The results for the frequency difference threshold showed no significant difference in the two groups tested. Interestingly however at low frequencies, i.e. 20 and 50 Hz, the ability of the subjects tested to discriminate frequencies significantly increased with more complex waveforms i.e. square and sawtooth, when compared against the typically used sinewave. Furthermore a novel protocol for establishing the temporal gap detection threshold during a temporal numerosity study has been established in this thesis. This experiment measured the subjects’ capability to correctly determine the number of concatenated signals presented to them whilst the time between the signals, referred to as pulses, tended to zero. A significant finding was that when altering the length of, the frequency of, and the number of cycles of the pulses, the time between pulses for correct recognition altered. This finding will ultimately aid in the design of the tactile alerts for this method of information transfer. Preliminary development work for the use of this method of input to the body, in an automotive scenario, is also presented within this thesis in the form of a driving simulation. The overall goal of which is to present warning alerts to a driver, such as rear-to-end collision, or excessive speeds on roads, in order to prevent incidents and penalties from occurring. Discussion on the broader utility of this implant has been presented, reflecting on its potential use as a basis for vibrotactile, and sensory substitution, devices. This discussion furthers with postulations on its use as a human machine interface, as well as how a similar implant could be used within the ear as a hearing aid device.