The effect of universal futures on opening and closing stock market prices

Purpose – In 2001, Euronext-Liffe introduced single security futures contracts for the first time. The purpose of this paper is to examine the impact that these single security futures had on the volatility of the underlying stocks. Design/methodology/approach – The Inclan and Tiao algorithm was used to show that the volatility of underlying securities did not change after universal futures were introduced. Findings – It was found that in the aftermath of the introduction of universal futures the volatility of the underlying securities increases. Increased volatility is not apparent in the control sample. This suggests that single security futures did have some impact on the volatility of the underlying securities. Originality/value – Despite the huge literature that has examined the effects of a futures listing on the volatility of underlying stock returns, little consensus has emerged. This paper adds to the dialogue by focusing on the effects of a single security futures contract rather than concentrating on the effects of index futures contracts.

Explaining volatility and serial correlation in opening and closing returns:a study of the FT-30 components

In this paper the performance of opening and closing returns, for the components of the FT-30 will be studied. It will be shown that for these stocks opening returns have higher volatility and a greater tendency towards negative serial correlation than closing returns. Unlike previous studies this contrasting performance cannot solely be attributed to differences in the trading mechanism across the trading day. All the stocks used in our sample trade thought the day using a uniform trading mechanism. In this paper, we suggest that it is differences in the speed that closing and opening returns adjust to new information that causes differences in return performance. By estimating the Amihud and Mendelson (1987) [Amihud, Yakov, & Mendelson, Haim (1987). Trading mechanisms and stock returns: An empirical investigation, Journal of Finance, 62 533-553.] partial adjustment model with noise, we show that opening returns have a tendency towards over-reaction, while closing returns have a tendency towards under-reaction. We suggest that it is these differences that cause a substantial proportion (although not all) of the asymmetric return patterns associated with opening and closing returns. © 2005 Elsevier Inc. All rights reserved.

Opening returns, noise and overreaction

In this article a partial-adjustment model, which shows how equity prices fail to adjust instantaneously to new information, is estimated using a Kalman filter. For the components of the Dow Jones Industrial 30 index I aim to identify whether overreaction or noise is the cause of serial correlation and high volatility associated with opening returns. I find that the tendency for overreaction in opening prices is much stronger than for closing prices; therefore, overreaction rather than noise may account for differences in the return behavior of opening and closing returns.

The cationic ring-opening polymerization of cyclic ethers

The kinetics and mechanisms of ring opening polymerization and copolymerizntion of different cyclic ethers were studied using mainly a cationic system of iinitiation. BF30Et2/ethanediol. The cyclic ethers reacted differently showing that ring strain and basicity are the main driving forces in cationic ring opening polymerizaion. In most cases it was found that the degree of polymerization is controlled kinetically via terminations with the counterion and the monomers, and that the contribution of each type of reaction to the overall termination differs markedly. The Gel permeation chromatography studies showed that the molecular weight distribution of the samples of polyoxetanes were bimodal. This was in accordance with previous work establishing that the cyclic tetramer is found in much higher proportions than any of the other cyclic oligomers. However the molecular weight distribution of the copolymers made from oxetane and THF or from oxetane and oxepane were shown to be unimodal. These observations could be explained by a change in the structure of the growing end involved in the cationic polymerization. In addition crown ethers like dibenzo-crown-6 and compounds such as veratrole are believed to stabilise the propagating end and promote the formation of living polymers from oxetane.

The ring opening polymerization of ring strained cyclic ethers

The kinetics and mechanisms of the ring-opening polymerization of oxetane were studied using cationic and coordinated anionic catalysts. The cationic initiators used were BF30Et2!/ethanol, BF30Et2!/ethanediol and BF30Et2/propantriol. Kinetic determinations with the BF30Et2/diol system indicated that a 1: 1 BF3:0H ratio gave the maximum rate of polymerization and this ratio was employed to detenmne the overall rates of polymerization. An overall second-order dependence was obtained when the system involved ethanediol or propantriol as co-catalyst and a 3/2-order dependence with ethanol, in each case the monomer gave a first-order relationship. This suggested that two mechanisms accounted for the cationic polymerization. These mechanisms were investigated and further evidence for these was obtained from the study of the complex formation of BF30Et2 and the co-catalysts by 1H NMR. Molecular weight studies (using size-exclusion chromatography) indicated that the hydroxyl ion acted as a chain transfer reagent when the [OH] > [BF3]. A linear relationship was observed when the number average molecular weight was plotted against [oxetane] at constant [BF3:0H], and similarly a linear dependency was observed on the BF3:0H 1:1 adduct at constant oxetane concentration. Copolymerization of oxetane and THF was carried out using BF30Et2/ethanol system. The reactivity ratios were calculated as rOXT = 1.2 ± 0.30 and rTHF = 0.14 ± 0.03. These copolymers were random copolymers with no evidence of oligomer formation. The coordinated anionic catalyst, porphinato-aluminium chloride [(TPP)AICl], was used to produce a living polymerization of oxetane. An overall third-order kinetics was obtained, with a second-order with respect to the [(TPP)AICl] and a first-order with respect to the [oxetane] and a mechanism was postulated using these results. The stereochemistry of [(TPP)AlCl] catalyst was investigated using cyclohexene and cyclopentene oxide monomers, using extensive 1H NMR, 2-D COSY and decoupling NMR techniques it was concluded that [(TPP)AlCl] gave rise to stereoregular polymers.

Cationic ring opening polymerisation (CROP) of oxetane and its derivatives using oxonium derived initiators

Several cationic initiator systems were developed and used to polymerise oxetane with two oxonium ion initiator systems being investigated in depth. The first initiator system was generated by the elimination of a chloride group from a chloro methyl ethyl ether. Adding a carbonyl co-catalyst to a carbocationic centre generated the second initiator system. It was found that the anion used to stabilise the initiator was critical to the initial rate of polymerisation of oxetane with hexafluoroantimonate resulting in the fastest polymerisations. Both initiator systems could be used at varying monomer to initiator concentrations to control the molecular number average, Mn, of the resultant polymer. Both initiator systems showed living characteristics and were used to polymerise further monomers and generate higher molecular weight material and block copolymers. Oxetane and 3,3-dimethyl oxetane can both be polymerised using either oxonium ion initiator system in a variety of DCM or DCM/1,4-dioxane solvent mixtures. The level of 1,4-dioxane does have an impact on the initial rate of polymerisation with higher levels resulting in lower initial rates of polymerisation but do tend to result in higher polydispersities. The level of oligomer formation is also reduced as the level of 1,4-dioxane is increased. 3,3-bis-bromomethyl oxetane was also polymerised but a large amount of hyperbranching was seen at the bromide site resulting in a difficult to solvate polymer system. Multifunctional initiator systems were also generated using the halide elimination reactions with some success being achieved with 1,3,5-tris-bromomethyl-2,4,6-tris-methyl-benzene derived initiator system. This offered some control over the molecular number average of the resultant polymer system.

Solvability and asymptotics of the heat equation with mixed variable lateral conditions and applications in the opening of the exocytotic fusion pore in cells

We investigate a mixed problem with variable lateral conditions for the heat equation that arises in modelling exocytosis, i.e. the opening of a cell boundary in specific biological species for the release of certain molecules to the exterior of the cell. The Dirichlet condition is imposed on a surface patch of the boundary and this patch is occupying a larger part of the boundary as time increases modelling where the cell is opening (the fusion pore), and on the remaining part, a zero Neumann condition is imposed (no molecules can cross this boundary). Uniform concentration is assumed at the initial time. We introduce a weak formulation of this problem and show that there is a unique weak solution. Moreover, we give an asymptotic expansion for the behaviour of the solution near the opening point and for small values in time. We also give an integral equation for the numerical construction of the leading term in this expansion.

The effect of universal futures on opening and closing stock market price discovery

Purpose – On 29 January 2001, Euronext LIFFE introduced single security futures contracts on a range of global companies. The purpose of this paper is to examine the impact that the introduction of these futures contracts had on the behaviour of opening and closing UK equity returns. Design/methodology/approach – The paper models the price discovery process using the Amihud and Mendelson partial adjustment model which can be estimated using a Kalman filter. Findings – Empirical results show that during the pre-futures period both opening and closing returns under-react to new information. After the introduction of futures contracts opening returns over-react. A rise in the partial adjustment coefficient also takes place for closing returns but this is not large enough to cause over-reaction. Originality/value – This is the first study to examine the impact of a single security futures contract on the speed of spot market price discovery.

Effect of thermal residual stresses on fatigue crack opening and propagation behavior in an Al/SiCp metal matrix composite

The effects of a thermal residual stress field on fatigue crack growth in a silicon carbide particle-reinforced aluminum alloy have been measured. Stress fields were introduced into plates of material by means of a quench from a solution heat-treatment temperature. Measurements using neutron diffraction have shown that this introduces an approximately parabolic stress field into the plates, varying from compressive at the surfaces to tensile in the center. Long fatigue cracks were grown in specimens cut from as-quenched plates and in specimens which were given a stress-relieving overaging heat treatment prior to testing. Crack closure levels for these cracks were determined as a function of the position of the crack tip in the residual stress field, and these are shown to differ between as-quenched and stress-relieved samples. By monitoring the compliance of the specimens during fatigue cycling, the degree to which the residual stresses close the crack has been evaluated. © 1995 The Minerals, Metals & Material Society.