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

Interactions between landcover pattern and geospatial processing methods:effects on landscape metrics and classification accuracy

Remote sensing data is routinely used in ecology to investigate the relationship between landscape pattern as characterised by land use and land cover maps, and ecological processes. Multiple factors related to the representation of geographic phenomenon have been shown to affect characterisation of landscape pattern resulting in spatial uncertainty. This study investigated the effect of the interaction between landscape spatial pattern and geospatial processing methods statistically; unlike most papers which consider the effect of each factor in isolation only. This is important since data used to calculate landscape metrics typically undergo a series of data abstraction processing tasks and are rarely performed in isolation. The geospatial processing methods tested were the aggregation method and the choice of pixel size used to aggregate data. These were compared to two components of landscape pattern, spatial heterogeneity and the proportion of landcover class area. The interactions and their effect on the final landcover map were described using landscape metrics to measure landscape pattern and classification accuracy (response variables). All landscape metrics and classification accuracy were shown to be affected by both landscape pattern and by processing methods. Large variability in the response of those variables and interactions between the explanatory variables were observed. However, even though interactions occurred, this only affected the magnitude of the difference in landscape metric values. Thus, provided that the same processing methods are used, landscapes should retain their ranking when their landscape metrics are compared. For example, highly fragmented landscapes will always have larger values for the landscape metric "number of patches" than less fragmented landscapes. But the magnitude of difference between the landscapes may change and therefore absolute values of landscape metrics may need to be interpreted with caution. The explanatory variables which had the largest effects were spatial heterogeneity and pixel size. These explanatory variables tended to result in large main effects and large interactions. The high variability in the response variables and the interaction of the explanatory variables indicate it would be difficult to make generalisations about the impact of processing on landscape pattern as only two processing methods were tested and it is likely that untested processing methods will potentially result in even greater spatial uncertainty. © 2013 Elsevier B.V.

Prevalence of subclinical thyroid dysfunction and its relation to socioeconomic deprivation in the elderly:a community-based cross-sectional survey

Context: Population-based screening has been advocated for subclinical thyroid dysfunction in the elderly because the disorder is perceived to be common, and health benefits may be accrued by detection and treatment. Objective: The objective of the study was to determine the prevalence of subclinical thyroid dysfunction and unidentified overt thyroid dysfunction in an elderly population. Design, Setting, and Participants: A cross-sectional survey of a community sample of participants aged 65 yr and older registered with 20 family practices in the United Kingdom. Exclusions: Exclusions included current therapy for thyroid disease, thyroid surgery, or treatment within 12 months. Outcome Measure: Tests of thyroid function (TSH concentration and free T 4 concentration in all, with measurement of free T3 in those with low TSH) were conducted. Explanatory Variables: These included all current medical diagnoses and drug therapies, age, gender, and socioeconomic deprivation (Index of Multiple Deprivation, 2004) Analysis: Standardized prevalence rates were analyzed. Logistic regression modeling was used to determine factors associated with the presence of subclinical thyroid dysfunction Results: A total of 5960 attended for screening. Using biochemical definitions, 94.2% [95% confidence interval (CI) 93.8-94.6%] were euthyroid. Unidentified overt hyper- and hypothyroidism were uncommon (0.3, 0.4%, respectively). Subclinical hyperthyroidism and hypothyroidism were identified with similar frequency (2.1%, 95% CI 1.8-2.3%; 2.9%, 95% CI 2.6-3.1%, respectively). Subclinical thyroid dysfunction was more common in females (P < 0.001) and with increasing age (P < 0.001). After allowing for comorbidities, concurrent drug therapies, age, and gender, an association between subclinical hyperthyroidism and a composite measure of socioeconomic deprivation remained. Conclusions: Undiagnosed overt thyroid dysfunction is uncommon. The prevalence of subclinical thyroid dysfunction is 5%. We have, for the first time, identified an independent association between the prevalence of subclinical thyroid dysfunction and deprivation that cannot be explained solely by the greater burden of chronic disease and/or consequent drug therapies in the deprived population. Copyright © 2006 by The Endocrine Society.

People, technology, processes and risk knowledge sharing

The present global economic crisis creates doubts about the good use of accumulated experience and knowledge in managing risk in financial services. Typically, risk management practice does not use knowledge management (KM) to improve and to develop new answers to the threats. A key reason is that it is not clear how to break down the “organizational silos” view of risk management (RM) that is commonly taken. As a result, there has been relatively little work on finding the relationships between RM and KM. We have been doing research for the last couple of years on the identification of relationships between these two disciplines. At ECKM 2007 we presented a general review of the literature(s) and some hypotheses for starting research on KM and its relationship to the perceived value of enterprise risk management. This article presents findings based on our preliminary analyses, concentrating on those factors affecting the perceived quality of risk knowledge sharing. These come from a questionnaire survey of RM employees in organisations in the financial services sector, which yielded 121 responses. We have included five explanatory variables for the perceived quality of risk knowledge sharing. These comprised two variables relating to people (organizational capacity for work coordination and perceived quality of communication among groups), one relating to process (perceived quality of risk control) and two related to technology (web channel functionality and RM information system functionality). Our findings so far are that four of these five variables have a significant positive association with the perceived quality of risk knowledge sharing: contrary to expectations, web channel functionality did not have a significant association. Indeed, in some of our exploratory regression studies its coefficient (although not significant) was negative. In stepwise regression, the variable organizational capacity for work coordination accounted for by far the largest part of the variation in the dependent variable perceived quality of risk knowledge sharing. The “people” variables thus appear to have the greatest influence on the perceived quality of risk knowledge sharing, even in a sector that relies heavily on technology and on quantitative approaches to decision making. We have also found similar results with the dependent variable perceived value of Enterprise Risk Management (ERM) implementation.

Openness and economic growth

The themes of this thesis are that international trade and foreign direct investment (FDI) are closely related and that they have varying impacts on economic growth in countries at different stages of development. The thesis consists of three empirical studies. The first one examines the causal relationship between FDI and trade in China. The empirical study is based on a panel of bilateral data for China and 19 home countries/regions over the period 1984-98. The specific feature of the study is that econometric techniques designed specially for panel data are applied to test for unit roots and causality. The results indicate a virtuous procedure of development for China. The growth of China’s imports causes growth in inward FDI from a home country/region, which in turn causes the growth of exports from China to the home country/region. The growth of exports causes the growth of imports. This virtuous procedure is the result of China’s policy of opening to the outside world. China has been encouraging export-oriented FDI and reducing trade barriers. Such policy instruments should be further encouraged in order to enhance economic growth. In the second study, an extended gravity model is constructed to identify the main causes of recent trade growth in OECD countries. The specific features include (a) the explicit introduction of R&D and FDI as two important explanatory variables into an augmented gravity equation; (b) the adoption of a panel data approach, and (c) the careful treatment of endogeneity. The main findings are that the levels and similarities of market size, domestic R&D stock and inward FDI stock are positively related to the volume of bilateral trade, while the geographical distance, exchange rate and relative factor endowments, has a negative impact. These findings lend support to new trade, FDI and economic growth theories. The third study evaluates the impact of openness on growth in different country groups. This research distinguishes itself from many existing studies in three aspects: first, both trade and FDI are included in the measurement of openness. Second, countries are divided' into three groups according to their development stages to compare the roles of FDI and trade in different groups. Third, the possible problems of endogeneity and multicollinearity of FDI and trade are carefully dealt with in a panel data setting. The main findings are that FDI and trade are both beneficial to a country's development. However, trade has positive effects on growth in all country groups but FDI has positive effects on growth only in the country groups which have had moderate development. The findings suggest FDI and trade may affect growth under different conditions.

Internet financial reporting in Saudi Arabia: users' perceptions and disclosures

This thesis investigates corporate financial disclosure practices on Web sites and their impact. This is done, first by examining the views of various Saudi user groups (institutional investors, financial analysts and private investors) on disclosure of financial reporting on the Internet and assessing differences, if any, in perceptions of the groups. Over 303 individuals from three groups responded to a questionnaire. Views were elicited regarding: users attitude to the Internet infrastructure in Saudi Arabia, users information sources about companies in Saudi Arabia, respondents perception about the advantages and disadvantages in Internet financial reporting (IFR), respondents attitude to the quality of IFR provided by Saudi public companies and the impact of IFR on users information needs. Overall, it was found professional groups (Institutional investors, financial analysts) hold similar views in relation to many issues, while the opinions of private investors differ considerably. Second, the thesis examines the use of the Internet for the disclosure of financial and investor-related information by Saudi public companies (113 companies) and look to identify reasons for the differences in the online disclosure practices of companies by testing the association between eight firm-specific factors and the level of online disclosure. The financial disclosure index (167 items) is used to measure public company disclosure in Saudi Arabia. The descriptive part of the study reveals that 95 (84%) of the Saudi public companies in the sample had a website and 51 (45%) had a financial information section of some description. Furthermore, none of the sample companies provided 100% of the 167 index items applicable to the company. Results of multivariate analysis show that firm size and stock market listing are significant explanatory variables for the amount of information disclosed on corporate Web sites. The thesis finds a significant and negative relationship between the proportion of institutional ownership of a companys shares and the level of IFR.

Do Keiretsu really hinder FDI into Japanese manufacturing?

This paper examines an issue that has received considerable comment but little analysis. It has often been argued that the presence of the keiretsu in Japan has been instrumental in deterring multinational firms from entering Japan, though evidence for this is patchy. We present some new analysis of this issue, thereby evaluating the effects of keiretsu on inward investment penetration in Japan. In contrast to previous work in this area, our results suggest that there is little relationship between inward FDI and keiretsu networks, once one controls for endogeneity and unobservable heterogeneity. The results illustrate some important interaction effects between keiretsu and other explanatory variables that explain differences in inward investment penetration. © 2012 Copyright International Journal of the Economics of Business.

Institutional environment, innovative entrepreneurial entry and venture capital financing

We analyse the determinants of high growth expectations entrepreneurial entry (HGE) using individual data drawn on working age population, based on the Global Entrepreneurship Monitor (GEM) surveys for the 1998-2004 period. Individual level explanatory variables are combined with country-level factors. Our results suggest that availability of venture capital and intellectual proper rights protection are strong predictors of HGE. In addition, we also find that innovative start-ups are associated with highest growth expectations in countries with extensive supply of venture capital and strongest intellectual property rights. Once we introduce venture capital, we detect no significant effects of other elements of financial systems on high-powered entry.

The role of suicide risk in the decision for psychiatric hospitalization after a suicide attempt

BACKGROUND: Suicide prevention can be improved by knowing which variables physicians take into account when considering hospitalization or discharge of patients who have attempted suicide. AIMS: To test whether suicide risk is an adequate explanatory variable for predicting admission to a psychiatric unit after a suicide attempt. METHODS: Analyses of 840 clinical records of patients who had attempted suicide (66.3% women) at four public general hospitals in Madrid (Spain). RESULTS: 180 (21.4%) patients were admitted to psychiatric units. Logistic regression analyses showed that explanatory variables predicting admission were: male gender; previous psychiatric hospitalization; psychiatric disorder; not having a substance-related disorder; use of a lethal method; delay until discovery of more than one hour; previous attempts; suicidal ideation; high suicidal planning; and lack of verbalization of adequate criticism of the attempt. CONCLUSIONS: Suicide risk appears to be an adequate explanatory variable for predicting the decision to admit a patient to a psychiatric ward after a suicide attempt, although the introduction of other variables improves the model. These results provide additional information regarding factors involved in everyday medical practice in emergency settings.

Effect of processing variables and bulk composition on the surface composition of spray dried powders of a model food system

The surface composition of food powders created from spray drying solutions containing various ratios of sodium caseinate, maltodextrin and soya oil have been analysed by Electron Spectroscopy for Chemical Analysis. The results show significant enrichment of oil at the surface of particles compared to the bulk phase, and (when the non-oil components only are considered), a significant surface enrichment of sodium caseinate also. The study found evidence of high levels (80%) of surface fat even on particles of food industry grade (92.5%) sodium caseinate containing only 1% fat.

Effect of processing variables and bulk composition on the surface composition of spray dried powders of a model food system

Abstract The surface compositions of food powders created from spray drying solutions containing various ratios of sodium caseinate, maltodextrin and soya oil have been analysed by Electron Spectroscopy for Chemical Analysis. The results show significant enrichment of oil at the surface of particles compared to the bulk phase and, when the non-oil components only are considered, a significant surface enrichment of sodium caseinate also. The degree of surface enrichment of both oil and sodium caseinate was found to increase with decreasing bulk levels of the respective components. Surface enrichment of oil was also affected by processing conditions (emulsion drop size and drying temperature), but surface enrichment of sodium caseinate was relatively insensitive to these. The presence of "pock marks" on the particle surfaces strongly suggests that the surface oil was caused by rupturing of emulsion droplets at the surface as the surrounding matrix contracts and hardens. © 2013 Elsevier Ltd. All rights reserved.

Introducing international accounting standards to an emerging capital market: relative familiarity and language effect in Egypt

The purpose of this study is to assess the effect of relative familiarity and language accessibility on the International Accounting Standards (IASs) disclosures when IASs are first introduced in an emerging capital market. The study focuses on the annual reports of listed non-financial companies in Egypt when IASs were first introduced. The method used applies a disclosure index measurement to a sample of listed company annual reports and evaluates relative compliance with IASs in relation to corporate characteristics. The results show that for relatively less familiar requirements of IASs, the extent of compliance is related to the type of audit firm used and to the presence of a specific statement of compliance with IASs. A lower degree of compliance with less familiar IASs disclosure is observed consistently across a range of company characteristics. Consideration of agency theory and capital need theory would lead to prior expectation of a distinction in disclosure practices between different categories of companies. The results were, therefore, counterintuitive to expectations where the regulations were unfamiliar or not available in the native language, indicating that new variables have to be considered and additional theoretical explanations have to be found in future disclosure studies on emerging capital markets.

The leverage effect in the UK stock market

This study seeks to explain the leverage in UK stock returns by reference to the return volatility, leverage and size characteristics of UK companies. A leverage effect is found that is stronger for smaller companies and has greater explanatory power over the returns of smaller companies. The properties of a theoretical model that predicts that companies with higher leverage ratios will experience greater leverage effects are explored. On examining leverage ratio data, it is found that there is a propensity for smaller companies to have higher leverage ratios. The transmission of volatility shocks between the companies is also examined and it is found that the volatility of larger firm returns is important in determining both the volatility and returns of smaller firms, but not the reverse. Moreover, it is found that where volatility spillovers are important, they improve out-of-sample volatility forecasts. © 2005 Taylor & Francis Group Ltd.

The effect of corneal thickness and corneal curvature on pneumatonometer measurements

Purpose. The purpose of this study was to investigate the influence of corneal topography and thickness on intraocular pressure (IOP) and pulse amplitude (PA) as measured using the Ocular Blood Flow Analyzer (OBFA) pneumatonometer (Paradigm Medical Industries, Utah, USA). Methods. 47 university students volunteered for this cross-sectional study: mean age 20.4 yrs, range 18 to 28 yrs; 23 male, 24 female. Only the measurements from the right eye of each participant were used. Central corneal thickness and mean corneal radius were measured using Scheimpflug biometry and corneal topographic imaging respectively. IOP and PA measurements were made with the OBFA pneumatonometer. Axial length was measured using A-scan ultrasound, due to its known correlation with these corneal parameters. Stepwise multiple regression analysis was used to identify those components that contributed significant variance to the independent variables of IOP and PA. Results. The mean IOP and PA measurements were 13.1 (SD 3.3) mmHg and 3.0 (SD 1.2) mmHg respectively. IOP measurements made with the OBFA pneumatonometer correlated significantly with central corneal thickness (r = +0.374, p = 0.010), such that a 10 mm change in CCT was equivalent to a 0.30 mmHg change in measured IOP. PA measurements correlated significantly with axial length (part correlate = -0.651, p < 0.001) and mean corneal radius (part correlate = +0.459, p < 0.001) but not corneal thickness. Conclusions. IOP measurements taken with the OBFA pneumatonometer are correlated with corneal thickness, but not axial length or corneal curvature. Conversely, PA measurements are unaffected by corneal thickness, but correlated with axial length and corneal radius. These parameters should be taken into consideration when interpreting IOP and PA measurements made with the OBFA pneumatonometer.

The effect of age, gender and driver status on pedestrians' intentions to cross the road in risky situations

The theory of planned behaviour (TPB) has been used successfully in the past to account for pedestrians' intentions to cross the road in risky situations. However, accident statistics show age and gender differences in the likelihood of adult pedestrian accidents. This study extends earlier work by examining the relative importance of the model components as predictors of intention to cross for four different adult age groups, men, women, drivers and nondrivers. The groups did not differ in the extent to which they differentiated between two situations of varying perceived risk. The model fit was good, but accounted for less of the variance in intention for the youngest group (17-24) than for other age groups. Differences between the age groups in intention to cross seemed to be due to differences in perceived value of crossing rather than differences in perceived risk. Women were less likely to intend to cross than men and perceived more risk, and there were important age, gender and driver status differences in the importance of the TPB variables as predictors of intention. A key implication of these findings is that road safety interventions need to be designed differently for different groups. © 2006 Elsevier Ltd. All rights reserved.