Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets

Contemporaneous transmission effects across volatilities of the Hong Kong Stock and Index futures markets and futures volume of trade are tested by employing a structural systems approach. Competing measures of volatility spillover, constructed from the overnight U.S. S&P500 index futures, are tested and found to impact on the Hong Kong asset return volatility and volume of trade patterns. The examples utilize intra-day 15-min sampled data from this medium-sized Asia Pacific equity and derivative exchange. Both the intra- and inter-day patterns in the Hong Kong market are allowed for in the estimation process.

Realized volatility and correlation in grain futures markets: testing for spillover effects

Fluctuations in commodity prices are a major concern to many market participants. This paper uses realized volatility methods to calculate daily volatility and correlation estimates for three grain futures prices (corn, soybean, and wheat). The realized volatility estimates exhibit properties consistent with the stylized facts observed in earlier studies. According to daily realized correlations and regression coefficients, the spot returns from the three grain futures are positively related. The realized estimates are then used to evaluate the degree of volatility transmission across grain futures prices. The impulse response analysis is conducted by fitting the vector autoregressive model to realized volatility and correlation estimates, using the bootstrap method for statistical inference. The results indicate that rich dynamic interactions exist among the volatilities and correlations across the grain futures markets.

The trading dynamics of close-substitute futures markets : evidence of margin policy spillover effects

Volatility spillover is well documented among closely related securities. I investigate the relationship between margin policy and trading dynamics of the Nikkei 225 index futures markets of Osaka Securities Exchange (OSE) and Singapore Exchange (SGX). I find that OSE’s margin policy influences trading dynamics across both markets, although it is the less liquid SGX market that performs price discovery. This suggests that policy markers of close substitute markets should coordinate, or at least communicate policy intentions due to policy spillover. SGX’s market design facilitates price discovery, suggesting that a microstructure framework capable of overcoming the liquidity entry barrier is of interest to any futures exchange contemplating contract proliferation.

Simultaneous volatility transmission and spillover effects

Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using intraday data from the Australian cash index and index futures markets. Overnight volatility spillover effects from the United States S&P500 index futures markets are tested using alternative estimates of this US market volatility. The simultaneous volatility model proves to be robust to alternative specifications of returns equations and to misspecification of the direction of volatility causality.

Resource distribution influences positive edge effects in a seagrass fish

According to conceptual models, the distribution of resources plays a critical role in determining how organisms distribute themselves near habitat edges. These models are frequently used to achieve a mechanistic understanding of edge effects, but because they are based predominantly on correlative studies, there is need for a demonstration of causality, which is best done through experimentation. Using artificial seagrass habitat as an experimental system, we determined a likely mechanism underpinning edge effects in a seagrass fish. To test for edge effects, we measured fish abundance at edges (0-0.5 m) and interiors (0.5-1 m) of two patch configurations: continuous (single, continuous 9-m2 patches) and patchy (four discrete 1-m2 patches within a 9-m2 area). In continuous configurations, pipefish (Stigmatopora argus) were three times more abundant at edges than interiors (positive edge effect), but in patchy configurations there was no difference. The lack of edge effect in patchy configurations might be because patchy seagrass consisted entirely of edge habitat. We then used two approaches to test whether observed edge effects in continuous configurations were caused by increased availability of food at edges. First, we estimated the abundance of the major prey of pipefish, small crustaceans, across continuous seagrass configurations. Crustacean abundances were highest at seagrass edges, where they were 16% greater than in patch interiors. Second, we supplemented interiors of continuous treatment patches with live crustaceans, while control patches were supplemented with seawater. After five hours of supplementation, numbers of pipefish were similar between edges and interiors of treatment patches, while the strong edge effects were maintained in controls. This indicated that fish were moving from patch edges to interiors in response to food supplementation. These approaches strongly suggest that a numerically dominant fish species is more abundant at seagrass edges due to greater food availability, and provide experimental support for the resource distribution model as an explanation for edge effects.

Urbanization impacts on mammals across urban-forest edges and a predictive model of edge effects

With accelerating rates of urbanization worldwide, a better understanding of ecological processes at the wildland-urban interface is critical to conserve biodiversity. We explored the effects of high and low-density housing developments on forest-dwelling mammals. Based on habitat characteristics, we expected a gradual decline in species abundance across forest-urban edges and an increased decline rate in higher contrast edges. We surveyed arboreal mammals in sites of high and low housing density along 600 m transects that spanned urban areas and areas turn on adjacent native forest. We also surveyed forest controls to test whether edge effects extended beyond our edge transects. We fitted models describing richness, total abundance and individual species abundance. Low-density housing developments provided suitable habitat for most arboreal mammals. In contrast, high-density housing developments had lower species richness, total abundance and individual species abundance, but supported the highest abundances of an urban adapter (Trichosurus vulpecula). We did not find the predicted gradual decline in species abundance. Of four species analysed, three exhibited no response to the proximity of urban boundaries, but spilled over into adjacent urban habitat to differing extents. One species (Petaurus australis) had an extended negative response to urban boundaries, suggesting that urban development has impacts beyond 300 m into adjacent forest. Our empirical work demonstrates that high-density housing developments have negative effects on both community and species level responses, except for one urban adapter. We developed a new predictive model of edge effects based on our results and the literature. To predict animal responses across edges, our framework integrates for first time: (1) habitat quality/preference, (2) species response with the proximity to the adjacent habitat, and (3) spillover extent/sensitivity to adjacent habitat boundaries. This framework will allow scientists, managers and planners better understand and predict both species responses across edges and impacts of development in mosaic landscapes.