Is competition really bad news for cooperatives? Some empirical evidence for Italian producers' cooperatives

In this paper, we analyse the nature of the relationship between market power and technical efficiency for producers' cooperatives. More specifically we test two hypotheses: first, we evaluate the extent to which increasing market pressure may help producers' cooperatives to improve technical efficiency to guarantee positive profits; second, we test whether higher technical efficiency induces producers' cooperatives to have a larger market share. These hypotheses are tested on a sample of Italian conventional and cooperative firms for the Wine Production and Processing sector, using both frontier analysis and dynamic panel techniques. The results support the hypothesis that increasing market pressure can affect positively the cooperativeś efficiency, while gains in technical efficiency do not seem to have any impact on the cooperatives' market share. © 2008 Springer Science+Business Media, LLC.

A note on information seasonality and the disappearance of the weekend effect in the UK stock market

The weekend effect in UK stock prices has disappeared in the 1990s. Beneath the surface however there remain systematic day-of-the-week effects only visible when returns are partitioned by the direction of the market. A systematic pattern of market-wide news arrivals into the UK stock market is discovered and found to provide an explanation for these day-of-the-week effects.

Stock price distributions and news:evidence from index options

We estimate the shape of the distribution of stock prices using data from options on the underlying asset, and test whether this distribution is distorted in a systematic manner each time a particular news event occurs. In particular we look at the response of the FTSE100 index to market wide announcements of key macroeconomic indicators and policy variables. We show that the whole distribution of stock prices can be distorted on an event day. The shift in distributional shape happens whether the event is characterized as an announcement occurrence or as a measured surprise. We find that larger surprises have proportionately greater impact, and that higher moments are more sensitive to events however characterised.

Pricing-to-market and the volatility of UK export prices

This empirical study examines the Pricing-To-Market (PTM) behaviour of 20 UK export sectors. Using both Exponential General Autoregressive Conditional Heteroscedasticity (EGARCH) and Threshold GARCH (TGARCH) estimation methods, we find evidence of PTM that is accompanied by strong conditional volatility and weak asymmetry effects. The PTM estimates suggest that when the currency of exporters appreciates in the current period, exporters pass-on between 31% and 94% of the Foreign Exchange (FX) rate increase to importers. However, both export price changes and producers' prices are sluggish, perhaps being driven by coordination failure and menu driven costs, amongst others. Furthermore, export prices contain strong time varying effects which impact on PTM strategy. Exporters do not typically appear to put much more weight on negative news of (say) an FX rate appreciation compared to positive news of an FX rate depreciation. Much depends on the export sector. © 2010 Taylor & Francis.