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.

Topological versus chemical ordering in network glasses at intermediate and extended length scales

Atomic ordering in network glasses on length scales longer than nearest-neighbour length scales has long been a source of controversy(1-6). Detailed experimental information is therefore necessary to understand both the network properties and the fundamentals of glass formation. Here we address the problem by investigating topological and chemical ordering in structurally disordered AX2 systems by applying the method of isotopic substitution in neutron diffraction to glassy ZnCl2. This system may be regarded as a prototypical ionic network forming glass, provided that ion polarization effects are taken into account(7), and has thus been the focus of much attention(8-14). By experiment, we show that both the topological and chemical ordering are described by two length scales at distances greater than nearest-neighbour length scales. One of these is associated with the intermediate range, as manifested by the appearance in the measured diffraction patterns of a first sharp diffraction peak at 1.09( 3) angstrom(-1); the other is associated with an extended range, which shows ordering in the glass out to 62( 4) angstrom. We also find that these general features are characteristic of glassy GeSe2, a prototypical covalently bonded network material(15,16). The results therefore offer structural insight into those length scales that determine many important aspects of supercooled liquid and glass phenomenology(11).

One's own country and familiar places in the mind's eye:different topological representations for navigational and non-navigational contents

Visual mental imagery is a process that draws on different cognitive abilities and is affected by the contents of mental images. Several studies have demonstrated that different brain areas subtend the mental imagery of navigational and non-navigational contents. Here, we set out to determine whether there are distinct representations for navigational and geographical images. Specifically, we used a Spatial Compatibility Task (SCT) to assess the mental representation of a familiar navigational space (the campus), a familiar geographical space (the map of Italy) and familiar objects (the clock). Twenty-one participants judged whether the vertical or the horizontal arrangement of items was correct. We found that distinct representational strategies were preferred to solve different categories on the SCT, namely, the horizontal perspective for the campus and the vertical perspective for the clock and the map of Italy. Furthermore, we found significant effects due to individual differences in the vividness of mental images and in preferences for verbal versus visual strategies, which selectively affect the contents of mental images. Our results suggest that imagining a familiar navigational space is somewhat different from imagining a familiar geographical space. © 2014 Elsevier Ireland Ltd.