Illiquidity shocks and the comovement between stocks:new evidence using smooth transition

This paper extends the smooth transition conditional correlation model by studying for the first time the impact that illiquidity shocks have on stock market return comovement. We show that firms that experience shocks that increase illiquidity are less liquid than firms that experience shocks that decrease illiquidity. Shocks that increase illiquidity have no statistical impact on comovement. However, shocks that reduce illiquidity lead to a fall in comovement, a pattern that becomes stronger as the illiquidity of the firm increases. This discovery is consistent with increased transparency and an improvement in price efficiency. We find that a small number of firms experience a double illiquidity shock. For these firms, at the first shock, a rise in illiquidity reduces comovement while a fall in illiquidity raises comovement. The second shock partly reverses these changes as a rise in illiquidity is associated with a rise in comovement and a fall in illiquidity is associated with a fall in comovement. These results have important implications for portfolio construction and also for the measurement and evolution of market beta and the cost of capital as it suggests that investors can achieve higher returns for the same amount of market risk because of the greater diversification benefits that exist. We also find that illiquidity, friction, firm size and the pre-shock correlation are all associated with the magnitude of the correlation change. © 2013 Elsevier B.V.

Equity market integration in the Asia-Pacific region:a smooth transition analysis

We use a smooth transition logistic function to test for equity market integration in a sample of Asia-Pacific countries. This allows us to gauge the speed at which a market is becoming integrated. Of the countries we examine we find that Thailand has the fastest pace of global integration. When we examine the extent to which local integration is taking place, we find that Singapore is experiencing the fastest rise in market integration. © 2004 Published by Elsevier Inc.

Modeling equity market integration using smooth transition analysis:a study of Eastern European stock markets

This paper assesses the extent to which the equity markets of Hungary, Poland the Czech Republic and Russia have become less segmented. Using a variety of tests it is shown there has been a consistent increase in the co-movement of some Eastern European markets and developed markets. Using the variance decompositions from a vector autoregressive representation of returns it is shown that for Poland and Hungary global factors are having an increasing influence on equity returns, suggestive of increased equity market integration. In this paper we model a system of bivariate equity market correlations as a smooth transition logistic trend model in order to establish how rapidly the countries of Eastern Europe are moving away from market segmentation. We find that Hungary is the country which is becoming integrated the most quickly. © 2005 ELsevier Ltd. All rights reserved.

Peer mentoring works!

This report draws on the findings of a three year study into peer mentoring conducted at 6 Higher Education Institutions (HEIs), 5 of which were in the UK, 1 of which was in Norway. Following a multiple case-study design, quantitative and qualitative research was conducted in collaboration with the project partners. The research findings provide empirical evidence that peer mentoring works! In particular the report provides: - An Executive Summary outlining the main project findings - A synopsis of the relevant literature – and a link to a much larger literature review undertaken at the beginning of the study - A working conceptual framework and set of research questions - An overview and rationale of the methodological approach and tools - Evidence of the value of peer mentoring in promoting a ‘smooth’ transition into university - Evidence that peer mentoring works by providing the means by which new students can access peer support in both social and academic spheres throughout their first year - Identification of the main challenges of peer mentoring - Evidence of the manner in which writing peer mentoring works by providing bespoke help for individual students - A discussion section in which a new approach to peer mentoring, Transition+, is proposed. The report concludes with recommendations for: Higher Education Institutions: Students: Policy Makers: and, Individuals within HEIs wishing to establish peer mentoring.

Peer mentoring in higher education:a multidimensional approach to conceptualising the role of peer mentoring programmes in enhancing the first year undergraduate experience

Across the literature researchers agree that the concept of mentoring results in positive outcomes for both mentors and mentees alike (Enrich et al, 2004). From a pedagogical perspective, student focused mentoring activities in Higher Education are generally perceived to comprise dyadic or triadic relationships that encapsulate a diverse range of learning strategies and/or support mechanisms. Whilst there exists a significant amount of literature regarding the wider value of Peer Mentoring in Higher Education, there remains a notable gap in knowledge about the value of such programmes in enhancing the first year undergraduate experience and thus promoting a smooth transition to University. Using the emergent study findings of a large international project, a multidimensional conceptual framework bringing together the theoretical, conceptual and contextual determinants of Peer Mentoring is proposed. This framework makes a distinctive contribution to current pedagogical theory and practice – particularly in relation to the first year experience.

Specialist business skills of international students

This paper follows on from that presented at the last BEST conference in Edinburgh (Higson & Hamilton-Jones(2004)). At that stage, the authors outlined their initial research work with students studying on the yearlong International Foundation programmes. at three local FE Colleges allied to Aston University. The research (funded by the University's Teaching Quality Enhancement Funds (TQEF) involved questionnaires and interviews with staff and students (the latter all from overseas). it aimed to identify ways to improve the learning experience of students on the International Foundation programmes, to aid their smooth transition to full degree programmes in Business and Management and to improve the progression rates of such students while studying at Aston. The initial research findings were used to design a module for those students' progress to degree programmes in Aston Business School. This paper discusses how the module was designed, its content and the assessment methods used to help determine whether students are achieving the learning outcomes. The basic principle was to identify areas of study where the International Foundation Programme students needed help in order to improve their learning styles to assist them with the requirements of other modules that they would be studying during their time at Aston. Particular emphasis was put on the need to develop active learners who were not disadvantaged by their lack of awareness of UK culture and society and who were as comfortable performing written work under examination conditions or presenting orally as their UK counterparts. An additional aim was to prepare these students for the placement year which was a compulsory part of their degree. The module, therefore, comprises a range of inputs for a number of staff, a company visit, weekly reflective learning leading to Personal Development Plan (PDP) work, formal examinations, presentations, group work •and individual case studies. This paper also reports on the initial reaction of the students and tutors to the new learning experience with currently 30 participants undertaking the module. Provisional findings suggest that the International Foundation programme has prepared the students well for degree-level work and that as a group of international students they are much more analytical and, after studying the module interactive than their counterparts who have come directly onto Aston degrees. It has shown them still to be quite passive learners, comfortable with facts and lecture-style learning environments, but less comfortable when asked to use their own initiatives. Continuing progress needs to be made in terms of encouraging them to develop a reflective approach to learning with the students taking some time to feel comfortable with an analytical approach to learning. In addition, im account of the students' reactions to having to work through a formal (PDP) and the results of their first assessments will be provided. At Aston, this work is being used as a pilot to recognise good practice with regards to work with further groups of international students. it is hoped that this would have widespread application across the sector.

Concurrent multiscale modelling of atomistic and hydrodynamic processes in liquids

Fluctuations of liquids at the scales where the hydrodynamic and atomistic descriptions overlap are considered. The importance of these fluctuations for atomistic motions is discussed and examples of their accurate modelling with a multi-space-time-scale fluctuating hydrodynamics scheme are provided. To resolve microscopic details of liquid systems, including biomolecular solutions, together with macroscopic fluctuations in space-time, a novel hybrid atomistic-fluctuating hydrodynamics approach is introduced. For a smooth transition between the atomistic and continuum representations, an analogy with two-phase hydrodynamics is used that leads to a strict preservation of macroscopic mass and momentum conservation laws. Examples of numerical implementation of the new hybrid approach for the multiscale simulation of liquid argon in equilibrium conditions are provided. © 2014 The Author(s) Published by the Royal Society.

Price transmission in the EU wholesale petroleum markets

This article employs nonlinear smooth transition models to analyze the relationship between upstream and midstream prices of petroleum products. We test for the presence of nonlinearities in price linkages using both weekly series constructed using official EU procedures and also daily industry series applied for the first time. Our results show that the estimated shape of the transition function and equilibrium reversion path depend on the frequency of the price dataset. Our analysis of the crude oil to wholesale price transmission provides evidence of nonlinearities when prices are observed with daily frequency. The nature of the nonlinearities provides evidence in support of the existence of menu costs or, more generally, frictions in the markets rather than supply adjustment costs. This result differs from that found for the U.S. petroleum markets. © 2012 American Statistical Association.

Conditional volatility and firm size:an empirical analysis of UK equity portfolios

The techniques and insights from two distinct areas of financial economic modelling are combined to provide evidence of the influence of firm size on the volatility of stock portfolio returns. Portfolio returns are characterized by positive serial correlation induced by the varying levels of non-synchronous trading among the component stocks. This serial correlation is greatest for portfolios of small firms. The conditional volatility of stock returns has been shown to be well represented by the GARCH family of statistical processes. Using a GARCH model of the variance of capitalization-based portfolio returns, conditioned on the autocorrelation structure in the conditional mean, striking differences related to firm size are uncovered.

Cross-correlation-aided transport in stochastically driven accretion flows

The origin of linear instability resulting in rotating sheared accretion flows has remained a controversial subject for a long time. While some explanations of such non-normal transient growth of disturbances in the Rayleigh stable limit were available for magnetized accretion flows, similar instabilities in the absence of magnetic perturbations remained unexplained. This dichotomy was resolved in two recent publications by Chattopadhyay and co-workers [Mukhopadhyay and Chattopadhyay, J. Phys. A 46, 035501 (2013)1751-811310.1088/1751-8113/46/3/035501; Nath, Phys. Rev. E 88, 013010 (2013)PLEEE81539-375510.1103/PhysRevE.88.013010] where it was shown that such instabilities, especially for nonmagnetized accretion flows, were introduced through interaction of the inherent stochastic noise in the system (even a "cold" accretion flow at 3000 K is too "hot" in the statistical parlance and is capable of inducing strong thermal modes) with the underlying Taylor-Couette flow profiles. Both studies, however, excluded the additional energy influx (or efflux) that could result from nonzero cross correlation of a noise perturbing the velocity flow, say, with the noise that is driving the vorticity flow (or equivalently the magnetic field and magnetic vorticity flow dynamics). Through the introduction of such a time symmetry violating effect, in this article we show that nonzero noise cross correlations essentially renormalize the strength of temporal correlations. Apart from an overall boost in the energy rate (both for spatial and temporal correlations, and hence in the ensemble averaged energy spectra), this results in mutual competition in growth rates of affected variables often resulting in suppression of oscillating Alfven waves at small times while leading to faster saturations at relatively longer time scales. The effects are seen to be more pronounced with magnetic field fluxes where the noise cross correlation magnifies the strength of the field concerned. Another remarkable feature noted specifically for the autocorrelation functions is the removal of energy degeneracy in the temporal profiles of fast growing non-normal modes leading to faster saturation with minimum oscillations. These results, including those presented in the previous two publications, now convincingly explain subcritical transition to turbulence in the linear limit for all possible situations that could now serve as the benchmark for nonlinear stability studies in Keplerian accretion disks.