The temporal price relationship between the stock index futures and the underlying stock index : evidence from Malaysia

The stock index futures was introduced in Malaysia in December 1995 with the launching of the futures contract on the Kuala Lumpur Stock Exchange Composite Index. Due to its recentness in the country, many issues pertaining to this equity derivatives instrument have not been explored. Thus, the development of stock index futures opens many opportunities for research in this area. This study examines the temporal relationship between the price of the Kuala Lumpur Stock Exchange Composite Index futures contract (FKLI) and its underlying stock index, the Kuala Lumpur Stock Exchange Composite Index (KLSE CI). The five-year period under study is split into three subperiods to observe the price co-movement pattern under different volatility levels. The study finds that futures market tends to lead the spot market by one day during the periods of stable market, and there is a mixed lead-lag relationship between the two markets during the period of highly volatile market.

Composite indices: rank robustness, statistical association, and redundancy

This article evaluates the robustness of rankings obtained from composite indices that combine information from two or more components via a weighted sum. It examines the empirical prevalence of robust comparisons using the method proposed by Foster et al. (2010). Indices examined are the Human Development Index (HDI), the Index of Economic Freedom (IEF), and the Environmental Performance Index (EPI). Key theoretical results demonstrate links between the prevalence of robust comparisons, Kendall’s tau rank correlation coefficient, and statistical association across components. Implications for redundancy among index components are also examined.

Invisible walls: Do psychological barriers really exist in stock index levels?

We investigate whether the levels of a stock market index contain any evidence of a behavioural bias depending on the proximity of the index level to 'psychological barriers'. These are certain index levels (usually in multiples of 100) at which the market tends to stick before breaking out either up or down. Extant behavioural finance literature has attributed this to investors' subjective perception of 'something special' about certain index levels where in fact no rational economic basis exists for such a perception. We carry out an empirical analysis of the NASDAQ Composite index and find that barrier effects are indeed present in that stock index. We employ simulation analysis to validate of our obtained results.

The impact of ownership structure on corporate debt policy : two stage least square simultaneous model approach for post crisis period : evidence from Kuala Lumpur Stock Exchange

Ownership concentration as a governance mechanism has received considerable attention among academician, practitioners as well as policy makers because large-block shareholders are increasingly active in their demands that corporations adopt effective governance mechanisms to control managerial decisions, which include corporate debt policy. Earlier study on the agency model of the firm widely recognizes that the managerial ownership and external debt play an important role in mitigating agency conflicts and enhancing firm value. They also found that increase in the external monitors, for example the institutional investors, can actually play a useful role in limiting agency problems in the firm. This paper, using 100 Composite Index companies from Brusa Malaysia between 1998 to 2002 explores the impact of institutional holdings on managerial ownership and debt policy in an integrated framework by using a simultaneous equations estimation procedure (2SLS). The findings show that there is a significant impact of institutional ownership which serves effective control mechanism on managerial ownership and corporate debt policy as hypothesized. Findings of such evidence suggest that institutional holding thus have played an important role in managers' strategic management decision and reduce agency conflict. In addition, corporate debt policy too is governed by managerial ownership and exhibited a negative relation.

Corporate governance structure and firm performance : empirical evidence from Brusa Malaysia, Kuala Lumper

The issue of corporate governance has been emerging as important phenomena that has been searched extensively both in developed countries due to its strategic impact on the monitoring of management activities and firms’ performance. Yet little attempt has been made in developing countries like Malaysia to ascertain what constitute corporate governance and its impact on firm's performance. Therefore, this study aims at examining the structure of the corporate governance and its impact on firm’s performance. This study is based on 100 firms, which are the component of the Composite Index (CI) serve as market barometer. This study employs cross-sectional annual multiple regression model to examine, what constitutes the corporate governance structure and its impact on performance of the firm. The analysis was based on annual regression over 5 years period from 1997 through 2001. Three different blend of surrogate for corporate governance were developed for good corporate governance structure. These are the independent non-executive (outside) directors, audit committee and remuneration committee. To isolate the size effect from the impact of corporate governance structure on firm’s performance, firm’s size was also included are variable in the model. The ratio of net income before tax to total asset is used as a surrogate for firm’s performance. Evidence from the study indicates that there is partial relation between corporate governance structure and corporate performance. The presence of both audit and remuneration committee serves as an important monitoring device to control management activities that lead to increase firm's performance. While on average, the presence of independent nonexecutive directors does not provide any significant explanation for the firm's performance. However, the firm size appears to have significant impact on corporate performance.

Neighborhood disadvantage, individual-level socioeconomic position, and self-reported chronic arthritis : a cross-sectional multilevel study

Objective To examine the association between individual- and neighborhood-level disadvantage and self-reported arthritis.

Methods We used data from a population-based cross-sectional study conducted in 2007 among 10,757 men and women ages 40–65 years, selected from 200 neighborhoods in Brisbane, Queensland, Australia using a stratified 2-stage cluster design. Data were collected using a mail survey (68.5% response). Neighborhood disadvantage was measured using a census-based composite index, and individual disadvantage was measured using self-reported education, household income, and occupation. Arthritis was indicated by self-report. Data were analyzed using multilevel modeling.

Results The overall rate of self-reported arthritis was 23% (95% confidence interval [95% CI] 22–24). After adjustment for sociodemographic factors, arthritis prevalence was greatest for women (odds ratio [OR] 1.5, 95% CI 1.4–1.7) and in those ages 60–65 years (OR 4.4, 95% CI 3.7–5.2), those with a diploma/associate diploma (OR 1.3, 95% CI 1.1–1.6), those who were permanently unable to work (OR 4.0, 95% CI 3.1–5.3), and those with a household income <$25,999 (OR 2.1, 95% CI 1.7–2.6). Independent of individual-level factors, residents of the most disadvantaged neighborhoods were 42% (OR 1.4, 95% CI 1.2–1.7) more likely than those in the least disadvantaged neighborhoods to self-report arthritis. Cross-level interactions between neighborhood disadvantage and education, occupation, and household income were not significant.

Conclusion Arthritis prevalence is greater in more socially disadvantaged neighborhoods. These are the first multilevel data to examine the relationship between individual- and neighborhood-level disadvantage upon arthritis and have important implications for policy, health promotion, and other intervention strategies designed to reduce the rates of arthritis, indicating that intervention efforts may need to focus on both people and places.

Geosynthetics in Antarctica: performance of a composite barrier system to contain hydrocarbon-contaminated soil after three years in the field

An overview of the design and performance of geosynthetics in composite barrier systems for biopiles used to remediate hydrocarbon-contaminated soil at Casey Station, Antarctica, is presented. Seven instrumented biopiles were constructed over three field seasons. To minimize the risk of hydrocarbon migration to groundwater, composite barrier systems were used (each using different combinations of geosynthetic clay liners (GCLs), high density polyethylene (HDPE) geomembranes (GMB), and geotextiles (GTXs)). One biopile used a co-extruded geomembrane (HDPE with an ethylene vinyl alcohol (EVOH) core). The liner system was subject to a combination of coupled phenomena that could interact and affect the GMB-GCL composite barrier performance. The exposure conditions involved potential freeze-thaw cycling, hydration-desiccation cycles, cation exchange, direct and diffusive exposure to hydrocarbons. The effect of these phenomena was investigated by monitoring GCL and GMB sacrificial coupons. GCL coupons were placed between the main GCL component and the main geomembrane component of the composite liner and GMB coupons placed between the main GMB sheet and the GTX protection layer. Coupons were exhumed from the biopiles each year. The exhumed GCL field moisture content values ranged from 162% to 22%. After three (3) years in the field, GCL coupons that had undergone at least one hydration/desiccation cycle showed no significant change in swell index values or fluid loss values. The measured hydraulic conductivity of exhumed GCL coupons from Biopiles 1 and 2 (3 × 10-11 m s-1) was within the expected range and not significantly different from the values for virgin GCL. GMB coupons exhumed after three years from Biopiles 1 and 2 showed no significant change in oxidative induction time (OIT), melt flow index or tensile properties. Diffusion tests were performed as an index test for establishing the performance of the GMBs as a diffusive barrier to hydrocarbons, with permeation parameters for BTEX contaminants ranging from P g = 0.9-9.2 × 10-13 m2 s-1 for the exhumed GMB (with values depending on the contaminant and GMB). These values were similar to the parameters obtained for virgin GMBs and there was no significant change with field exposure, with GMBs appearing to be performing well.