The microstructure of the Irish stock market

This is the first paper to examine the microstructure of the Irish Stock Market empirically and is motivated by the adoption, on June 7th of Xetra the modern pan European auction trading system. Prior to this the exchange utilized an antiquated floor based system. This change was an important event for the market as a rich literature exists to suggest that the trading system exerts a strong influence over the behavior of security returns. We apply the ICSS algorithm of Inclan and Tiao (1994) to discover whether the change to the trading system caused a shift in unconditional volatility at the time Xetra was introduced. Because the trading mechanism can influence volatility in a number of ways we also estimate the partial adjustment coefficients of the Amihud and Mendelson (1987) model prior and subsequent to the introduction of Xetra. Although we find no evidence of volatility changes associated with the introduction of Xetra we do find evidence of an increase in the speed of adjustment (JEL: G15).

Noise and the trading mechanism:the case of SETS

On 20 October 1997 the London Stock Exchange introduced a new trading system called SETS. This system was to replace the dealer system SEAQ, which had been in operation since 1986. Using the iterative sum of squares test introduced by Inclan and Tiao (1994), we investigate whether there was a change in the unconditional variance of opening and closing returns, at the time SETS was introduced. We show that for the FTSE-100 stocks traded on SETS, on the days following its introduction, there was a widespread increase in the volatility of both opening and closing returns. However, no synchronous volatility changes were found to be associated with the FTSE-100 index or FTSE-250 stocks. We conclude therefore that the introduction of the SETS trading mechanism caused an increase in noise at the time the system was introduced.

European biorefineries:implications for land, trade and employment

Biorefineries are expected to play a major role in a future low carbon economy and substantial investments are being made to support this vision. However, it is important to consider the wider socio-economic impacts of such a transition. This paper quantifies the potential trade, employment and land impacts of economically viable European biorefinery options based on indigenous straw and wood feedstocks. It illustrates how there could be potential for 70-80 European biorefineries, but not hundreds. A single facility could generate tens of thousands of man-years of employment and employment creation per unit of feedstock is higher than for biomass power plants. However, contribution to national GDP is unlikely to exceed 1% in European member states, although contributions to national agricultural productivity may be more significant, particularly with straw feedstocks. There is also a risk that biorefinery development could result in reduced rates of straw incorporation into soil, raising concerns that economically rational decisions to sell rather than reincorporate straw could result in increased agricultural land-use or greenhouse gas emissions. © 2013.