The microstructure of the foreign exchange market:the determinants of bid-ask spreads in the foreign exchange market

The purpose of this thesis is to shed more light in the FX market microstructure by examining the determinants of bid-ask spread for three currencies pairs, the US dollar/Japanese yen, the British pound/US dollar and the Euro/US dollar in different time zones. I examine the commonality in liquidity with the elaboration of FX market microstructure variables in financial centres across the world (New York, London, Tokyo) based on the quotes of three exchange rate currency pairs over a ten-year period. I use GARCH (1,1) specifications, ICSS algorithm, and vector autoregression analysis to examine the effect of trading activity, exchange rate volatility and inventory holding costs on both quoted and relative spreads. ICSS algorithm results show that intraday spread series are much less volatile compared to the intraday exchange rate series as the number of change points obtained from ICSS algorithm is considerably lower. GARCH (1,1) estimation results of daily and intraday bid-ask spreads, show that the explanatory variables work better when I use higher frequency data (intraday results) however, their explanatory power is significantly lower compared to the results based on the daily sample. This suggests that although daily spreads and intraday spreads have some common determinants there are other factors that determine the behaviour of spreads at high frequencies. VAR results show that there are some differences in the behaviour of the variables at high frequencies compared to the results from the daily sample. A shock in the number of quote revisions has more effect on the spread when short term trading intervals are considered (intra-day) compared to its own shocks. When longer trading intervals are considered (daily) then the shocks in the spread have more effect on the future spread. In other words, trading activity is more informative about the future spread when intra-day trading is considered while past spread is more informative about the future spread when daily trading is considered

How screening criteria change during brand development

Purpose - Despite the increasing sophistication of new product development (NPD) research, the reliance on traditional approaches to studying NPD has left several areas in need of further research. The authors propose addressing some of these gaps, especially the limited focus on consumer brands, evaluation criteria used across different project-review points in the NPD process, and the distinction between "kills", "successes", and "failures". Moreover, they propose investigating how screening criteria change across project-review points, using real-time NPD projects. Design/methodology/approach - A postal survey generated 172 usable questionnaires from a sample of European, North American, Far Eastern and Australian consumer packaged-goods firms, providing data on 314 new product projects covering different development and post-commercialization review points. Findings - The results confirm that acceptance-rejection criteria vary through the NPD process. However, financial criteria dominate across all the project-review points. Initial screening is coarse, focusing predominantly on financial criteria. Fit with organizational, product, brand, promotional, and market requirements dominate in the detailed screen and pre-development evaluation points. At pre-launch, decision-makers focus on product, brand, and promotional criteria. Commercial fit, production synergies, and reliability of the firm's market intelligence are significant discriminators in the post-launch review. Moreover, the importance of marketing and channel issues makes the criteria for screening brands different from those of industrial markets. Originality/value - The study, although largely descriptive and involves a relatively small sample of consumer goods firms, offers new insights into NPD project evaluation behavior. Future, larger-scale investigations covering a broader spectrum of consumer product sectors are needed to validate our results and to explain the reasons behind managers' decisions. © Emerald Group Publishing Limited.

Productivity change in the water industry in England and Wales:application of the meta-Malmquist Index

This paper uses a meta-Malmquist index for measuring productivity change of the water industry in England and Wales and compares this to the traditional Malmquist index. The meta-Malmquist index computes productivity change with reference to a meta-frontier, it is computationally simpler and it is circular. The analysis covers all 22 UK water companies in existence in 2007, using data over the period 1993–2007. We focus on operating expenditure in line with assessments in this field, which treat operating and capital expenditure as lacking substitutability. We find important improvements in productivity between 1993 and 2005, most of which were due to frontier shifts rather than catch up to the frontier by companies. After 2005, the productivity shows a declining trend. We further use the meta-Malmquist index to compare the productivities of companies at the same and at different points in time. This shows some interesting results relating to the productivity of each company relative to that of other companies over time, and also how the performance of each company relative to itself over 1993–2007 has evolved. The paper is grounded in the broad theory of methods for measuring productivity change, and more specifically on the use of circular Malmquist indices for that purpose. In this context, the contribution of the paper is methodological and applied. From the methodology perspective, the paper demonstrates the use of circular meta-Malmquist indices in a comparative context not only across companies but also within company across time. This type of within-company assessment using Malmquist indices has not been applied extensively and to the authors’ knowledge not to the UK water industry. From the application perspective, the paper throws light on the performance of UK water companies and assesses the potential impact of regulation on their performance. In this context, it updates the relevant literature using more recent data.

The dynamics of organizational change : an analysis of power, professions and new managerialism in the case of CoastElectric

It is widely accepted that the Thatcher years and their immediate aftermath were associated with substantive social and organizational change. The privatisation programme, 'the rolling back of the State', prosecuted by the successive Conservative Governments from 1979-1997 was a central pillar of Governmental policy. This thesis seeks to engage with privatization through the of CoastElectric, a newly privatised Regional Electricity Company. This thesis contributes to the extant understanding of the dynamics of organizational change in four major ways. Firstly, the study into CoastElectric addresses the senior management decision making within the organization: in particular, it will attempt to make sense of 'why' particular decisions were made. The theoretical backdrop to this concern will draw on the concepts of normalization, cultural capital and corporate fashion. The argument presented in this thesis is that the decision-making broadly corresponded with that which could be considered to be at the vanguard of mangerialist thought. However, a detailed analysis suggested that at different junctures in CoastElectric's history there were differences in the approach to decision making that warranted further analysis. The most notable finding was that the relative levels of new managerialist cultural capital possessed by the decision-making elite had an important bearing upon whether the decision was formulated either endogenously or exogenously, with the assistance of cultural intermediaries such as management consultants. The thesis demonstrates the importance of the broader discourse of new managerialism in terms of shaping what is considered to be a 'commonsensical, rational' strategy. The second concern of this thesis is that of the process of organizational change. The study of CoastElectric attempts to provide a rich account of the dynamics of organizational change. This is realized through, first, examining the pre-existing context of the organization; second, through analyzing the power politics of change interventions. The master concepts utilised in this endeavour are that of: dividing practices, the establishment of violent hierarchies between competing discourses; symbolic violence; critical turning points; recursiveness; creative destruction; legitimation strategies and the reconstitution of subjects in the workplace.