Efficiency and unbiasedness in the Indian stock index futures market

This paper explores potential efficiency and unbiasedness as well as the degree of efficiency in stock index futures of an emerging market using both monthly and daily data. Besides analyzing efficiency and unbiasedness with cointegration and error correction model, the degree of efficiency is further investigated after explicitly modeling the underlying state of the market (expansion or contraction) through the first-order Markov switching set-up. The results show that a relatively longer two-month horizon is more effective in eliminating arbitrage opportunities than the short run (one-month and daily) futures.

Market liquidity risk factor and financial market anomalies : evidence from the Chinese stock market

The Chinese stock market is an order-driven market and hence its characteristics are structurally different from quote-driven markets. There are no studies that consider the role of the market liquidity risk factor in determining cross-sectional stock returns in a model including financial market anomalies for order-driven markets. Our aim is to test whether financial market anomalies such as firm size, the book-to-market ratio, the turnover rate, and momentum both with and without the inclusion of the market liquidity risk factor in the case of the Chinese stock market can explain cross-sectional stock returns. The empirical framework is based on the model proposed by Avramov and Chordia (AC, 2006). Our main finding is that the AC model can capture financial market anomalies except momentum when we include the market liquidity risk factor on the Chinese stock market.

Australian consumers' views of fruit and vegetable policy options

An Internet survey was conducted among 511 respondents in Victoria, Australia, to ascertain their support for possible government fruit and vegetable promotion policies. The findings suggest that there is a strong and widespread support for policies which encourage country of origin labelling, local and increased production, subsidies, bans and taxes, and communication campaigns. The respondents’ Universalism values (e.g. valuing nature, harmony and beauty) were more pervasive predictors of their opinions than their demographic characteristics. The findings suggest that many Australians hold different views to the prevailing neoliberal views of the political establishment.

Dynamically opted protection envelope (DOPE) - A cost-effective strategy of insuring an investment portfolio

Popular ways of hedging downside risk of a stock portfolio is by means of a constant proportion portfolio insurance (CPPI) strategy or by means of an options-based portfolio insurance strategy (OBPI). However both have drawbacks in terms of practical applicability given transaction costs. Moreover they are not useful in times of very low liquidity e.g. in a market crash. Here we shall first review the common portfolio insurance techniques and then posit an alternative approach using a zero-coupon bond to extract downside coverage to the extent desired by an investor. While the posited strategy will not guarantee full downside protection for the entire investment horizon, it is unaffected by transaction costs resulting from need to periodically reallocate funds and is a lot easier to implement practically compared to options-based strategies. Unlike CPPI and OBPI, it will work in a crash situation too.

Do investors value disclosed versus recognised employee share options differently?

Prior research provides evidence consistent with footnote disclosures are being valued by investors. However, there are arguments as to whether the market would acquire and/or process disclosed versus recognised information in the same way. Prior studies have been inconclusive on the findings. This research provides evidence for the conditions under which differential valuation exist. Three factors are examined. First, I investigate whether the differential valuation is related to the reliability of the accounting estimates. Second, due to higher processing costs on disclosures relative to “recognised” information, I investigate whether sophistication of investors contributes to the differential valuation. Finally, I examine systematic biases arisen from how investors process information due to limited attention paid to disclosures. The results show that the market does process information in a complicated way. Investors discern the reliability of accounting estimates and value them differently when processing the information.

Policy change to create supportive environments for physical activity and healthy eating : which options are the most realistic for local government?

The objective is to identify and test regulatory options for creating supportive environments for physical activity and healthy eating among local governments in Victoria, Australia. A literature review identified nine potential areas for policy intervention at local government level, including the walking environment and food policy. Discussion documents were drafted which summarized the public health evidence and legal framework for change in each area. Levels of support for particular interventions were identified through semi-structured interviews conducted with key informants from local government. We conducted 11 key informant interviews and found support for policy intervention to create environments supportive of physical activity but little support for policy changes to promote healthy eating. Participants reported lack of relevance and competing priorities as reasons for not supporting particular interventions. Promoting healthy eating environments was not considered a priority for local government above food safety. There is a real opportunity for action to prevent obesity at local government level (e.g. mandate the promotion of healthy eating environments). For local government to have a role in the promotion of healthy food environments, regulatory change and suitable funding are required.