Stock index reaction to large price changes:evidence frommajor Asian stock indexes

We examine the short-term price behavior of ten Asian stock market indexes following large price changes or “shocks”. Under the standard OLS regression, there is stronger support for return continuations particularly following positive and negative price shocks of less than 10% in absolute size. The results under the GJR-GARCH method provide stronger support for market efficiency, especially for large price shocks. For example, for the Hong Kong stock index, negative shocks of less than -5% but more than -10% generate a significant one day cumulative abnormal return (CAR) of-0.754% under the OLS method, but an insignificant CAR of 0.022% under the GJR-GARCH. We find no support for the uncertainty information hypothesis. Furthermore, the CARs following the period after the Asian financial crisis adjust more quickly to price shocks.

Malmquist indexes using a geometric distance function (GDF)

Traditional approaches to calculate total factor productivity change through Malmquist indexes rely on distance functions. In this paper we show that the use of distance functions as a means to calculate total factor productivity change may introduce some bias in the analysis, and therefore we propose a procedure that calculates total factor productivity change through observed values only. Our total factor productivity change is then decomposed into efficiency change, technological change, and a residual effect. This decomposition makes use of a non-oriented measure in order to avoid problems associated with the traditional use of radial oriented measures, especially when variable returns to scale technologies are to be compared.

Malmquist indexes using a geometric distance function (GDF):application to a sample of Portuguese bank branches

Traditional approaches to calculate total factor productivity (TFP) change through Malmquist indexes rely on distance functions. In this paper we show that the use of distance functions as a means to calculate TFP change may introduce some bias in the analysis, and therefore we propose a procedure that calculates TFP change through observed values only. Our total TFP change is then decomposed into efficiency change, technological change, and a residual effect. This decomposition makes use of a non-oriented measure in order to avoid problems associated with the traditional use of radial oriented measures, especially when variable returns to scale technologies are to be compared. The proposed approach is applied in this paper to a sample of Portuguese bank branches.

Regulatory price performance, excess cost indexes and profitability:how effective is price cap regulation in the water industry?

In this study we apply an index number approach to allow for cross sectional comparisons of relative profitability, productivity and price performance of the regulated Water and Sewerage companies (WaSCs) in England and Wales during the years 1991-2008. In order to better analyse the impact of regulation on WaSC performance, we decompose actual economic profits into spatial multilateral Fisher productivity (TFP) index, the inverse of which is demonstrated to be a regulatory excess cost index that measures the deviation of a firm’s actual costs from benchmark costs, and a newly developed regulatory total price performance (TPP) index, which measures the excess of regulated revenues relative to benchmark costs. Increases (decreases) in regulatory price performance are indicative of the loosening (tightening) of price cap regulation. Moreover, we also show that the relationship between actual economic profitability, regulatory excess costs and regulatory price performance indices can be used to categorize regulatory price caps as “weak”, “powerful” or “catch-up promoting”. The results indicated that throughout the entire 1991-2008 period, price caps were never “powerful”, in the sense that they required less productive firms to immediately and fully catch-up to the most productive firm to regain economic profitability. More specifically, during the years 1991-2000 price caps were “weak” as prices were high enough for the firms to achieve economic profits despite their low productivity levels. However, after 2001 prices became “catch up promoting” as they required less productive companies to eliminate at least some excess costs in order to eliminate economic losses. Finally, we emphasize that as our results also clearly demonstrated a much closer alignment between allowed revenues and benchmark costs after 2001, Ofwat’s approach during this period was not only appropriate, but should also be continued in the 2009 price review.

Creep and fatigue of a single crystal nickel base superalloy

The introduction of single crystal casting techniques has led to the development of existing nickel-base superalloys to produce materials with optimum mechanical properties in the single crystal condition. As single crystals are known to be anisotropic, a study is needed to determine the general mechanical properties of these materials, and determine the effects of crystal orientation upon them. A study has been carried out to identify the effect of orientation and temperature on the creep and fatigue properties of a development single crystal superalloy, SRR 99. Creep testing and crystal rotation experiments have been made on SRR 99 and an earlier development alloy, SRR 9. Fatigue experiments at elevated temperatures have been carried out on both notched and un-notched specimens of alloy SRR 99. To aid in this analysis, several analytical techniques have been employed including Laue x-ray orientation analysis, measurement of strain by photographic methods and microstructural examination. Crystal rotation experiments have indicated that shear of 1 precipitates by lbrace111rbrace< 112> slip systems is operative during primary creep deformation at temperatures of 750oC and 850oC. The effect of orientation variation obtained by standard casting practices was not found to be significant. Creep rupture was found to be associated with multiple crack initiation from micropores. Fatigue crack initiation in un-notched specimens was found to be related to microporosity and microstructural defects. Failure was predominantly by crystallographic crack growth on lbrace111rbrace planes. The use of linear elastic fracture mechanics to describe fatigue crack propagation in alloy SRR 99 was found to be acceptable at temperatures up to 850oC. Variation of temperature, frequency and crystal orientation was found to have only moderate effect upon crack propagation rates.

The fatigue ageing of vulcanised rubbers

The cause of the respective rough and smooth fatigue failure surfaces of Neoprene GS : Neoprene W and Neoprene GS : natural rubber vulcanisates is investigated. The contrasting morphology of the vulcanisates is found to be the major factor determining the fatigue behaviour of the blends. Neoprene GS and Neoprene W appear to form homogeneous blends which exhibit physical properties and fatigue failure surfaces intermediate between those of the two horropolymers. Neoprene GS and natural rubber exhibit heterogeneity when blended together. The morphology of these blends is found to influence both the fatigue resistance and failure surface of the vulcanisates. Exceptional uncut and cut initiated fatigue lives are observed for blends having an interconnecting network morphology. The network structure and cross-link density of the elastomers in the blends and the addition of carbon black and antioxidant are all found to influence the fatigue resistance but not the failure mechanism of the vulcanisate.

Fatigue of commercial aluminium alloys

Fatigue crack propagation has been observed for a number of commercial aluminium alloys. Comparable data was obtained for a variety of crack and specimen geometries over a range of crack lengths for a given alloy. Where crack propagation only was of interest the initiation event has been excluded by pre-cracking the specimen using a fin of material adjacent to the crack face. By this method a controlled defect size is introduced in to the specimen. By modification of the D.C. potential drop method it has been shown possible to measure the growth of cracking from 0.12mm by this method. Crack growth from defects greater than 0.6mm have been shown to give conventional crack propagation deduced by principle of similitude. Fatigue fracture surface analysis has been conducted for cracking from both free surfaces and from blunt notches. A `quasi cleavage' feature has been identified and is shown to be prominent when the fatigue stress intensity range is below 10 MNm-3/2.

Fatigue in rubber vulcanisates

A study has been made of the effect of single extensions and continuous fatigue on the structures of various natural rubber networks. The change in network structure of a conventional vulcanisate on a single extension manifests itself as permanent set. The change in network structure has been assessed by the use of the chemical probes, propan-2-thiol/piperidine, hexane-thiol/piperidine and triphenyl phosphine, which determine the polysulphide and disulphide crosslink densities and main chain modification respectively. The permanent set induced on a single extension of a conventional sulphur vulcanisate has been shown to result from the destruction and reformation of polysulphide crosslinks. The magnitude of the effect was dependent upon the degree of extension and showed a maximum at extensions corresponding to the onset of stress-induced crystallisation. The incorporation of a reinforcing filler, HAF-carbon black, magnified the effect. Vulcanisates that possessed only mono and disulphide crosslinks did not show any significant permanent set. The continuous changes in network structure during fatigue have also been determined, and the effects of carbon black and antioxidants on these changes and the fatigue life have been assessed. During fatigue the overall crosslink density increased slightly, which resulted from the destruction of polysulphide crosslinks. and their replacement by principally disulphide crosslinks. Antioxidants reduced the rate of destruction of polysulphide crosslinks and increased the fatigue life of the rubber network. The fatigue life of the network also depended upon the concentration of free chain ends. These chain ends were incorporated into the network by masticating rubber under nitrogen in the presence of bis (diisopropyl)thiophosphoryl disulphide, which improved the fatigue resistance by up to 9%.

The fatigue properties of pressure diecast zinc-aluminium based alloys

The fatigue behaviour of the cold chamber pressure-die-cast alloys: Mazak3, ZA8, ZA27, M3K, ZA8K, ZA27K, K1, K2 and K3 was investigated at temperature of 20°C. The alloys M3K, ZA8K and ZA27K were also examined at temperatures of 50 and 100°C. The ratio between fatigue strength and tensile strength was established at 20°C at 107 cycles. The fatigue life prediction of the alloys M3K, ZA8K and ZA27K was formulated at 20, 50 and 100°C. The prediction formulae were found to be reasonably accurate. All of the experimental alloys were heterogeneous and contained large but varying amounts of pores. These pores were a major contribution and dominated the alloys fatigue failure. Their effect, however, on tensile failure was negligible. The ZA27K possessed the highest tensile strength but the lowest fatigue strength. The relationship between the fracture topography and the microstructure was also determined by the use of a mixed signal of a secondary electron and a back-scattered electron on the SEM. The tensile strength of the experimental alloys was directly proportional to the aluminium content within the alloys. The effect of copper content was also investigated within the alloys K1, K2, ZA8K and K3 which contained 0%, 0.5%, 1.0% and 2.0% respectively. It was determined that the fatigue and tensile strengths improved with higher copper contents. Upon ageing the alloys Mazak3, ZA8 and ZA27 at an ambient temperature for 5 years, copper was also found to influence and maintain the metastable Zn-Al (αm) phase. The copper free Mazak3 upon ageing lost this metastable phase. The 1.0% copper ZA8 alloy had lost almost 50% of its metastable phase. Finally the 2.0% copper ZA27 had merely lost 10% of its metastable phase. The cph zinc contained a limited number of slip systems, therefore twinning deformation was unavoidable in both fatigue and tensile testing.

A novel detection method for determining a surgeon's fatigue and hand tremor

The thesis presents new methodology and algorithms that can be used to analyse and measure the hand tremor and fatigue of surgeons while performing surgery. This will assist them in deriving useful information about their fatigue levels, and make them aware of the changes in their tool point accuracies. This thesis proposes that muscular changes of surgeons, which occur through a day of operating, can be monitored using Electromyography (EMG) signals. The multi-channel EMG signals are measured at different muscles in the upper arm of surgeons. The dependence of EMG signals has been examined to test the hypothesis that EMG signals are coupled with and dependent on each other. The results demonstrated that EMG signals collected from different channels while mimicking an operating posture are independent. Consequently, single channel fatigue analysis has been performed. In measuring hand tremor, a new method for determining the maximum tremor amplitude using Principal Component Analysis (PCA) and a new technique to detrend acceleration signals using Empirical Mode Decomposition algorithm were introduced. This tremor determination method is more representative for surgeons and it is suggested as an alternative fatigue measure. This was combined with the complexity analysis method, and applied to surgically captured data to determine if operating has an effect on a surgeon’s fatigue and tremor levels. It was found that surgical tremor and fatigue are developed throughout a day of operating and that this could be determined based solely on their initial values. Finally, several Nonlinear AutoRegressive with eXogenous inputs (NARX) neural networks were evaluated. The results suggest that it is possible to monitor surgeon tremor variations during surgery from their EMG fatigue measurements.

Fatigue crack initiation and propagation from defects in aluminium welds

Fatigue crack initiation and propagation in aluminium butt welds has been investigated. It is shown that the initiation of cracks from both buried defects and. from the weld reinforcement may be quantified by predictive laws based on either linear elastic fracture mechanics, or on Neuber's rule of stress and strain ooncentrations. The former is preferable on the grounds of theoretical models of crack tip plasticity, although either may be used as the basis of an effeotive design criteria against crack initiation. Fatigue lives fol1owing initiation were found to follow predictions based on the integration of a Paris type power law. The effect of residual stresses from the welding operation on both initiation and propagation was accounted for by a Forman type equation. This incorporated the notional stress ratio produced by the residual stresses after various heat treatments. A fracture mechanics analysis was found to be useful in describing the fatigue behaviour of the weldments at increased temperatures up to 300°C. It is pointed out, however, that the complex interaction of residual stresses, frequency, and changes in fracture mode necessitate great caution in the application of any general design criteria against crack initiation and growth at elevated. temperatures.