Price exhaustion and number preference : time and price confluence in Australian stock prices

Confluence occurs when different trading filters generate signals that point to the same directional move. Using regression analysis, this paper investigates confluence trading signals associated with number preference and price exhaustion, for a sample of Australian stocks. The results show that certain price levels tend to act as psychological barriers, and that price exhaustion signals are a real phenomenon in the Australian stock market. It is shown also that confluence exists in the Australian stock market. Importantly, confluence is associated with price retracements that are of economic and statistical significance, offering profitable trading opportunities. The results suggest that Australian stocks do not follow a random walk.

Global factor trade with differentiated factor prices and factor intensities

Relaxing the assumption of internationally identical factor intensity techniques in the HOV model creates two challenges. First, computing actual factor intensity techniques of different countries requires detailed input-output tables and factor usage data, which are not always available. Second, determinants of the factor intensity technique differences across countries need to be identified. This paper explores the role of relative factor price differences in the determination of factor intensity technique differences across countries and proposes an inferring method that infers factor intensity techniques of different countries based on relative factor price differences. The HOV model is then modified accordingly.

Commerce mondial des facteurs de production quand les prix des facteurs sont différenciés et les intensités dans l'intensité d'utilisation des facteurs différentes. Relaxer le postulat de techniques à intensité identique de facteurs de production d'un pays à l'autre dans un modèle Heckscher-Ohlin-Vanek (HOV) pose deux défis. D'abord, mesurer les intensités en facteurs des techniques en place dans les divers pays réclame des tableaux interindustriels détaillés et des données sur l'utilisation des facteurs qui ne sont pas toujours disponibles. Ensuite, il faut identifier les déterminants des différences d'intensités en facteurs des techniques d'un pays à l'autre. Ce mémoire explore le rôle des différences dans les prix relatifs des facteurs dans la détermination des différences d'intensité en facteurs d'un pays à l'autre, et propose une méthode qui permet d'inférer les différences d'intensité en facteurs des techniques des divers pays à partir des différences dans les prix relatifs des facteurs. Le modèle HOV est alors modifié en conséquence.

Evolution of egg size and fertilisation efficiency in sea stars: large eggs are not fertilised more readily than small eggs in Patiriella (Echinodermata: Asteroidea)

Fertilisation kinetics theory suggests that, when sperm are limiting, the larger eggs of broadcast-spawning marine organisms ought to be fertilised more frequently than smaller eggs, because they provide a bigger target for searching sperm. Whilst this effect has been demonstrated within species, it is not known if this pattern holds among species. We tested whether a large difference in egg size between congeneric seastars with contrasting planktotrophic and lecithotrophic modes of development results in differences in the likelihood of eggs being fertilised in sperm-limiting situations. Measurement of egg sizes and sperm swimming speeds led to the prediction that the sperm–egg collision rate constant for Patiriella calcar (420-µm-diameter egg) should be nine times greater than for P. regularis (140-µm-diameter egg). Although the eggs of P. calcar should be fertilised at greater rates in low sperm concentrations, they were not. When gametes were allowed to mix for 10 s, the hypothesis that P. calcar eggs required less sperm than P. regularis to ensure 50% of eggs were fertilised was rejected. When gametes were mixed for 5 min, P. regularis eggs were more frequently fertilised, but the difference was not statistically significant. We conclude there must be a difference between these species in the likelihood that when a sperm finds a conspecific egg it can successfully fertilise. This apparent uncoupling of egg size and likelihood of fertilisation suggests that fertilisation is not a major constraint on the evolution of egg size in these seastars.

A range of factors influencing Sydney dwelling sale prices

This paper presents findings from an evaluation of a range of factors considered to influence dwelling sale prices in Sydney. The aim is to determine whether factors such as dwelling type, location, population structure and sales transaction type. significantly influence dwelling sale prices in Sydney. A review of the local market literature reveals that this belief has not been validated in the recent times. Hence, some of these factors may be inadequately exploited by dwelling investors. A sample of 33 dwelling Units from eight randomly selected suburbs located within 20kms of the Sydney Central Business District (CBD) was studied, and data analysed using simple Pearson's correlation. Significant associations were only found between Australian-born population proportion and dwelling type, and the sale prices. Hence, within the scope and methodology limitations. This paper concludes that, while dwelling type and Australian-born population proportion of a suburb are significantly associated with dwelling sale prices, location. population density and sales transaction type, are virtually not, as earlier held. The implication is for the amount of effort expended on location models, sales transaction marketing and population size studies. to be reviewed, at least, in relation to dwellings. This message resonates to cities and locations of similar characteristics as Sydney.

Mean reversion in stock prices: new evidence from panel unit root tests

Purpose – There are several studies that investigate evidence for mean reversion in stock prices. However, there is no consensus as to whether stock prices are mean reverting or random walk (unit root) processes. The goal of this paper is to re-examine mean reversion in stock prices.
Design/methodology/approach – The authors use five different panel unit root tests, namely the Im, Pesaran and Shin t-bar test statistic, the Levin and Lin test, the Im, Lee, and Tieslau Lagrangian multiplier test statistic, the seemingly unrelated regression test, and the multivariate augmented Dickey Fuller test advocated by Taylor and Sarno.
Findings – The main finding is that there is no mean reversion of stock prices, consistent with the efficient market hypothesis.
Research limitations/implications – One issue not considered by this study is the role of structural breaks. It may be the case that the efficient market hypothesis is contingent on structural breaks in stock prices. Future studies should model structural breaks.
Practical implications – The findings have implications for econometric modelling, in particular forecasting.
Originality/value – This paper adds to the scarce literature on the mean reverting property of stock prices based on panel data; thus, it should be useful for researchers.

Impact of tobacco tax reforms on tobacco prices and tobacco use in Australia

OBJECTIVE: To document the impact of changes to tobacco taxes on the range and price of tobacco sold during the period when the National Tobacco Campaign (NTC) was run.

DATA SOURCES: Information about brand availability, pack size, and price was extracted from Australian Retail Tobacconist. A retail observational survey was undertaken to monitor actual retail prices. Data on cigarette prices, brands, packet configurations, and outlets from which they were purchased were obtained from the benchmark and three follow up population telephone surveys conducted to evaluate the NTC.

METHOD: Data from the three sources were compared to see the extent to which the impact of tax changes had been offset by greater retail discounting and a more concerted effort by consumers to purchase cheaper products.

RESULTS: Smokers were unable to cushion themselves from the sharp price increases that occurred during the third phase of the NTC. Both average recommended retail prices of manufactured cigarettes and average actual cigarette prices paid by smokers increased by 25% in real prices.

CONCLUSION: The fall in smoking prevalence over the first two phases of the NTC was substantially greater than would be expected due to tax changes alone. The fall in smoking consumption over the first two phases was slightly less than would be expected and in the third considerably higher than would be expected.

A winner determination algorithm for multi-unit combinatorial auctions with reserve prices

Combinatorial auction mechanisms have been used in many applications such as resource and task allocation, planning and time scheduling in multi-agent systems, in which the items to be allocated are complementary or substitutable. The winner determination in combinatorial auction itself is a NP-complete problem, and has attracted many attentions of researchers world wide. Some outstanding achievements have been made including CPLEX and CABOB algorithms on this topic. To our knowledge, the research into multi-unit combinatorial auctions with reserve prices considered is more or less ignored. To this end, we present a new algorithm for multi-unit combinatorial auctions with reserve prices, which is based on Sandholm's work. An efficient heuristic function is developed for the new algorithm. Experiments have been conducted. The experimental results show that auctioneer agent can find the optimal solution efficiently for a reasonable problem scale with our algorithm.

Do shocks to G7 stock prices have a permanent effect? : evidence from panel unit root tests with structural change

There is a plethora of studies that investigate evidence for the behaviour of stock prices using univariate techniques for unit roots. Whether or not stock prices are characterised by a unit root have implications for the efficient market hypothesis, which asserts that returns of a stock market are unpredictable from previous price changes. The extant literature has found mixed evidence on the integrational properties of stock prices. In this paper, for the first time, we provide evidence on the unit root hypothesis for G7 stock price indices using the Lagrangian multiplier panel unit root test that allows for structural breaks. Our main finding is that stock prices are stationary processes, inconsistent with the efficient market hypothesis.

Can oiled shorebirds and their nests and eggs be successfully rehabilitated? A case study involving the threatened Hooded plover Thinornis rubricollis in South-eastern Australia

Although shorebirds are detrimentally affected by marine oil spills, they are often overlooked during rescue and rehabilitation efforts. This note describes a rescue and successful rehabilitation effort of an oiled adult and a juvenile Hooded Plover (Thinornis rubricollis) in Victoria, south-eastern Australia, during an oil-spill which oiled almost 1% of the State’s population of this threatened beach-nesting species. Two birds requiring intervention were located, selectively captured, cleaned and released. Both have survived at least two years after the spill and have bred, with at least one successfully fledging young. The fledgling has also successfully bred. Two nests with eggs present during clean-up operations were protected and hatched successfully. This small case study indicates that at least some groups of breeding shorebirds, such as plovers and dotterels, can be effectively rescued and rehabilitated during oil spills, and hence should not be overlooked during such circumstances.

Exchange rate pass-through and relative prices : an industry-level empirical investigation

In this paper we explore the extent of exchange rate pass-through for the USA, UK and Japan using a post-Bretton Woods industry-level dataset. We investigate how different channels of exchange rate pass-through affect domestic and import prices. Our analysis is suggestive of two channels of transmission and we find considerable variation in the extent of pass-through across industries and countries.

Estimating impacts of consumer prices on house prices

Real estate is widely considered as a reliable hedge of inflation rate and there have been many literatures examining the inflation-hedging characteristics of the real estate.  The study described in the paper focuses on testing the significances of impacts of consumer price on house price in eight Australia's capital cities.  The Autoregressive Distributed Lag model is introduced to obtain  the estimates of the coefficient.  The significances of the impacts are defined as the accept probability of t statistics of the coefficients.  Analyses and comparisons of these significances suggested that the impacts of consumer prices on house prices depend on the inherent characteristics of cities. 

Random walk versus multiple trend breaks in stock prices : evidence from 15 European markets

This letter extends research reported in Narayan and Smyth (2005) by employing multiple trend break unit root tests to examine the random walk hypothesis for 15 European stock market indices. The results provide strong support for the view that stock prices are characterized by a random walk.