Essays on volatility and liquidity in financial markets

The price formation of financial assets is a complex process. It extends beyond the standard economic paradigm of supply and demand to the understanding of the dynamic behavior of price variability, the price impact of information, and the implications of trading behavior of market participants on prices. In this thesis, I study aggregate market and individual assets volatility, liquidity dimensions, and causes of mispricing for US equities over a recent sample period. How volatility forecasts are modeled, what determines intradaily jumps and causes changes in intradaily volatility and what drives the premium of traded equity indexes? Are they induced, for example, by the information content of lagged volatility and return parameters or by macroeconomic news, changes in liquidity and volatility? Besides satisfying our intellectual curiosity, answers to these questions are of direct importance to investors developing trading strategies, policy makers evaluating macroeconomic policies and to arbitrageurs exploiting mispricing in exchange-traded funds. Results show that the leverage effect and lagged absolute returns improve forecasts of continuous components of daily realized volatility as well as jumps. Implied volatility does not subsume the information content of lagged returns in forecasting realized volatility and its components. The reported results are linked to the heterogeneous market hypothesis and demonstrate the validity of extending the hypothesis to returns. Depth shocks, signed order flow, the number of trades, and resiliency are the most important determinants of intradaily volatility. In contrast, spread shock and resiliency are predictive of signed intradaily jumps. There are fewer macroeconomic news announcement surprises that cause extreme price movements or jumps than those that elevate intradaily volatility. Finally, the premium of exchange-traded funds is significantly associated with momentum in net asset value and a number of liquidity parameters including the spread, traded volume, and illiquidity. The mispricing of industry exchange traded funds suggest that limits to arbitrage are driven by potential illiquidity.

Connected learning in the library as a product of hacking, making, social diversity and messiness

Learning is most effective when intrinsically motivated through personal interest, and situated in a supportive socio-cultural context. This paper reports on findings from a study that explored implications for design of interactive learning environments through 18 months of ethnographic observations of people’s interactions at “Hack The Evening” (HTE). HTE is a meetup group initiated at the State Library of Queensland in Brisbane, Australia, and dedicated to provide visitors with opportunities for connected learning in relation to hacking, making and do-it-yourself technology. The results provide insights into factors that contributed to HTE as a social, interactive and participatory environment for learning – knowledge is created and co-created through uncoordinated interactions among participants that come from a diversity of backgrounds, skills and areas of expertise. The insights also reveal challenges and barriers that the HTE group faced in regards to connected learning. Four dimensions of design opportunities are presented to overcome those challenges and barriers towards improving connected learning in library buildings and other free-choice learning environments that seek to embody a more interactive and participatory culture among their users. The insights are relevant for librarians as well as designers, managers and decision makers of other interactive and free-choice learning environments.

Re-framing infrastructure investment decision-making processes : a preliminary scoping study for urban flood risk management in Jakarta, Indonesia

Jakarta, Indonesia’s chronic housing shortage poses multiple challenges for contemporary policy-makers. While it may be in the city’s interest to increase the availability of housing, there is limited land to do so. Market pressures, in tandem with government’s desire for housing availability, demand consideration of even marginal lands, such as those within floodplains, for development. Increasingly, planning for a flood resilient Jakarta is complicated by a number of factors, including: the city is highly urbanized and land use data is limited; flood management is technically complex, creating potential barriers to engagement for both decision-makers and the public; inherent uncertainty exists throughout modelling efforts, central to management; and risk and liability for infrastructure investments is unclear. These obstacles require localized watershed-level participatory planning to address risks of flooding where possible and reduce the likelihood that informal settlements occur in areas of extreme risk. This paper presents a preliminary scoping study for determination of an effective participatory planning method to encourage more resilient development. First, the scoping study provides background relevant to the challenges faced in planning for contemporary Jakarta. Second, the study examines the current use of decision-support tools, such as Geographic Information Systems (GIS), in planning for Jakarta. Existing capacity in the use of GIS allows for consideration of the use of an emerging method of community consultation - Multi-Criteria Decision-Making (MCDM) support systems infused with geospatial information - to aid in engagement with the public and improve decision-making outcomes. While these methods have been used in Australia to promote stakeholder engagement in urban intensification, the planned research will be an early introduction of the method to Indonesia. As a consequence of this intervention, it is expected that planning activities will result in a more resilient city, capable of engaging with disaster risk management in a more effective manner.

A micro-level indexing model for the assessment of sustainable urban ecosystems

During the last several decades, the quality of natural resources and their services have been exposed to significant degradation from increased urban populations combined with the sprawl of settlements, development of transportation networks and industrial activities (Dorsey, 2003; Pauleit et al., 2005). As a result of this environmental degradation, a sustainable framework for urban development is required to provide the resilience of natural resources and ecosystems. Sustainable urban development refers to the management of cities with adequate infrastructure to support the needs of its population for the present and future generations as well as maintain the sustainability of its ecosystems (UNEP/IETC, 2002; Yigitcanlar, 2010). One of the important strategic approaches for planning sustainable cities is „ecological planning‟. Ecological planning is a multi-dimensional concept that aims to preserve biodiversity richness and ecosystem productivity through the sustainable management of natural resources (Barnes et al., 2005). As stated by Baldwin (1985, p.4), ecological planning is the initiation and operation of activities to direct and control the acquisition, transformation, disruption and disposal of resources in a manner capable of sustaining human activities with a minimum disruption of ecosystem processes. Therefore, ecological planning is a powerful method for creating sustainable urban ecosystems. In order to explore the city as an ecosystem and investigate the interaction between the urban ecosystem and human activities, a holistic urban ecosystem sustainability assessment approach is required. Urban ecosystem sustainability assessment serves as a tool that helps policy and decision-makers in improving their actions towards sustainable urban development. There are several methods used in urban ecosystem sustainability assessment among which sustainability indicators and composite indices are the most commonly used tools for assessing the progress towards sustainable land use and urban management. Currently, a variety of composite indices are available to measure the sustainability at the local, national and international levels. However, the main conclusion drawn from the literature review is that they are too broad to be applied to assess local and micro level sustainability and no benchmark value for most of the indicators exists due to limited data availability and non-comparable data across countries. Mayer (2008, p. 280) advocates that by stating "as different as the indices may seem, many of them incorporate the same underlying data because of the small number of available sustainability datasets". Mori and Christodoulou (2011) also argue that this relative evaluation and comparison brings along biased assessments, as data only exists for some entities, which also means excluding many nations from evaluation and comparison. Thus, there is a need for developing an accurate and comprehensive micro-level urban ecosystem sustainability assessment method. In order to develop such a model, it is practical to adopt an approach that uses a method to utilise indicators for collecting data, designate certain threshold values or ranges, perform a comparative sustainability assessment via indices at the micro-level, and aggregate these assessment findings to the local level. Hereby, through this approach and model, it is possible to produce sufficient and reliable data to enable comparison at the local level, and provide useful results to inform the local planning, conservation and development decision-making process to secure sustainable ecosystems and urban futures. To advance research in this area, this study investigated the environmental impacts of an existing urban context by using a composite index with an aim to identify the interaction between urban ecosystems and human activities in the context of environmental sustainability. In this respect, this study developed a new comprehensive urban ecosystem sustainability assessment tool entitled the „Micro-level Urban-ecosystem Sustainability IndeX‟ (MUSIX). The MUSIX model is an indicator-based indexing model that investigates the factors affecting urban sustainability in a local context. The model outputs provide local and micro-level sustainability reporting guidance to help policy-making concerning environmental issues. A multi-method research approach, which is based on both quantitative analysis and qualitative analysis, was employed in the construction of the MUSIX model. First, a qualitative research was conducted through an interpretive and critical literature review in developing a theoretical framework and indicator selection. Afterwards, a quantitative research was conducted through statistical and spatial analyses in data collection, processing and model application. The MUSIX model was tested in four pilot study sites selected from the Gold Coast City, Queensland, Australia. The model results detected the sustainability performance of current urban settings referring to six main issues of urban development: (1) hydrology, (2) ecology, (3) pollution, (4) location, (5) design, and; (6) efficiency. For each category, a set of core indicators was assigned which are intended to: (1) benchmark the current situation, strengths and weaknesses, (2) evaluate the efficiency of implemented plans, and; (3) measure the progress towards sustainable development. While the indicator set of the model provided specific information about the environmental impacts in the area at the parcel scale, the composite index score provided general information about the sustainability of the area at the neighbourhood scale. Finally, in light of the model findings, integrated ecological planning strategies were developed to guide the preparation and assessment of development and local area plans in conjunction with the Gold Coast Planning Scheme, which establishes regulatory provisions to achieve ecological sustainability through the formulation of place codes, development codes, constraint codes and other assessment criteria that provide guidance for best practice development solutions. These relevant strategies can be summarised as follows: • Establishing hydrological conservation through sustainable stormwater management in order to preserve the Earth’s water cycle and aquatic ecosystems; • Providing ecological conservation through sustainable ecosystem management in order to protect biological diversity and maintain the integrity of natural ecosystems; • Improving environmental quality through developing pollution prevention regulations and policies in order to promote high quality water resources, clean air and enhanced ecosystem health; • Creating sustainable mobility and accessibility through designing better local services and walkable neighbourhoods in order to promote safe environments and healthy communities; • Sustainable design of urban environment through climate responsive design in order to increase the efficient use of solar energy to provide thermal comfort, and; • Use of renewable resources through creating efficient communities in order to provide long-term management of natural resources for the sustainability of future generations.

Exploring subscription renewal intention of operational cloud enterprise systems - a stakeholder perspective

Retaining customers is a relevant topic throughout all service industries. However, only limited attention has been directed towards studying the antecedents of subscription renewal in the context of operational cloud enterprise systems. Cloud services have historically been offered as subscription-based services with the (theoretical) possibility of seamless service cancellation, in contrast to classical IT-Outsourcing contracts or license-based software installations of on-premise enterprise systems. In this work, we investigate the central concept of subscription renewal by focusing on different facets of IS success and their relevance for distinct employee cohorts. Analyzing inter-cohort differences has strong practical implications, as it helps IT vendors to focus on specific IT-related factors when trying to retain customers. Therefore an empirical study was undertaken. The hypotheses were developed on an individual level and tested using survey responses of IT decision makers within companies which adopted cloud enterprise systems. Gathered data was then analyzed using PLS. The results show that subscription renewal intention of the strategic cohort is mainly based on perceived system quality, whereas information quality explains most of the variance of subscription renewal in the management cohort. Beneath the cloud enterprise systems specific contributions, the work adds to the theoretical body of research related to IS success and IS continuation, as well as stakeholder perspectives.

Bridging the gap: Wellness differences between high and low SES Australian adolescents

Aims Wellness assessments can determine adolescent lifestyle behaviors. A better understanding of wellness differences between high and low SES adolescents could assist policy makers to develop improved strategies to bridge the gap between these two groups. The aim of this investigation was to explore wellness differences between high and low SES adolescents. Methods In total, 241 (125 high and 116 low SES) adolescents completed the 5-Factor Wellness Inventory (5F-Wel). The 5F-Wel comprises 97 items contributing to 17 subscales, 5 dimensions, 4 contexts, total wellness, and a life satisfaction index, with scores ranging from 0-100. Independent sample t-tests were performed with Levene’s test of equality for variances, which checked the assumption of homogeneity of variances. Results Overall, 117 (94%) and 112 (97 %) high and low SES participants had complete data and were included in the analysis. The high SES group scored higher for total wellness (M = 81.09, SE = .61) than the low SES group (M = 75.73, SE = .99). This difference was significant t (186) = 4.635, p < .05, with a medium effect size r = .32. The high SES group scored higher on 23 of 27 scales (21 scales, p < .05), while the low SES group scored higher on the remaining 3 scales (all non-significant). Conclusion These results contribute empirical data to the body of literature, indicating a large wellness discrepancy between high and low SES youth. Deficient areas can be targeted by policymakers to assist in bridging the gap between these groups.

Vision, Viability and Value: Three perspectives on the performing arts across cultures, context and nations

How can we reach out to institutions, artists and audiences with sometimes radically different agendas to encourage them to see, participate in and support the development of new practices and programs in the performing arts? In this paper, based on a plenary panel at PSi#18 Performance Culture Industry at the University of Leeds, Clarissa Ruiz (Columbia), AnuradhaKapur (India) and Sheena Wrigley (England) together with interloctorBree Hadley (Australia) speak about their work in as policy-makers, managers and producers in the performing arts in Europe, Asia and America over the past several decades. Acknowledged trailblazers in their fields, Ruiz, Kapur and Wrigley all have a commitment to creating a vital, viable and sustainable performing arts ecologies. Each has extensive experience in performance, politics, and the challenging process of managing histories, visions, stakeholders, and sometimes scarce resources to generate lasting benefits for the various communities have worked for, with and within. Their work, cultivating new initiatives, programs or policy has made them expert at brokering relationships in and in between private, public and political spheres to elevate the status of and support for performing arts as a socially and economically beneficial activity everyone can participate in. Each gives examples from their own practice to provide insight into how to negotiate the interests of artistic, government, corporate, community and education partners, and the interests of audiences, to create aesthetic, cultural and / or economic value. Together, their views offer a compelling set of perspectives on the changing meanings of the ‘value of the arts’ and the effects this has had for the artists that make and arts organisations that produce and present work in a range of different regional, national and cross-national contexts.

Hybrid placemaking in the library : designing digital technology to enhance users’ on-site experience

This paper presents research findings and design strategies that illustrate how digital technology can be applied as a tool for hybrid placemaking in ways that would not be possible in purely digital or physical space. Digital technology has revolutionised the way people learn and gather new information. This trend has challenged the role of the library as a physical place, as well as the interplay of digital and physical aspects of the library. The paper provides an overview of how the penetration of digital technology into everyday life has affected the library as a place, both as designed by place makers, and, as perceived by library users. It then identifies a gap in current library research about the use of digital technology as a tool for placemaking, and reports results from a study of Gelatine – a custom built user check-in system that displays real-time user information on a set of public screens. Gelatine and its evaluation at The Edge, at State Library of Queensland illustrates how combining affordances of social, spatial and digital space can improve the connected learning experience among on-site visitors. Future design strategies involving gamifying the user experience in libraries are described based on Gelatine’s infrastructure. The presented design ideas and concepts are relevant for managers and designers of libraries as well as other informal, social learning environments.

The impact of organisational culture in project selection process : case of public infrastructure project in Indonesia

The thesis develops an Organisational Culture (OC) based framework for potentially improving the current practice of the infrastructure project selection process (PSP) in Indonesia, particularly for regional road projects. This framework is developed to address the suggestion emanating from the research that there is a need for strengthening the relevant organisational culture dimensions and making changes to current organisational culture profiles to support the effectiveness of the decision-making process of the current PSP. The findings not only benefit existing knowledge but also provide practical contributions for those decision-makers within the Indonesian regional government that are involved in PSP, i.e. by raising the awareness of the influence and the role of organisational culture.

Patient Safety Law: From Silos to Systems

Patient safety has become a significant and pressing policy issue. Around the world, governments, the health care sector and the public are increasingly cognizant of the need to improve the safety of care delivered by their health systems. Pressure for change has been created by highly publicized incidents in a number of countries involving unsafe acts that were significant both in scale and consequence and a number of empirical studies that revealed the high rates of unsafe acts and their consequences. The costs of unsafe health care – both personal and fiscal – to individuals, their families and their communities and to the state are massive. In this research project we explored one particular avenue for change – that is, the use of legal instruments by governments to improve patient safety. We did this through a comparative review of the use of legal instruments or frameworks in other countries (specifically Australia, Denmark, New Zealand, the United Kingdom, and the United States) as well as two non-health care related sectors in Canada (transportation and occupational health and safety). We began this research by reviewing the legal instruments and undertaking extensive literature reviews. Further information was gathered through in-person interviews with policy-makers and academics in the countries studied, and from policy-makers and academics expert in the health, occupational health and safety, and transportation sectors in Canada. Once descriptions of the various countries and sectors were drafted, we held small-group meetings with local experts on particular aspects of patient safety. We then hosted a national consultation meeting. We subsequently drafted this final report and the appendices, which fully describe the results of the background research. Finally, we prepared a summary version of the report as well as posters and papers to be published and delivered at conferences and meetings with relevant groups.

The impact of auditor independence regulations on established and emerging firms.

Purpose – The purpose of this paper is to study whether auditor independence reforms introduced in 2004 led to an enhancement in earnings quality in the post-reform era. Design/methodology/approach – This study predicts that as the cost of compliance will vary based on a firm's existing corporate governance regime and the level of external scrutiny (monitoring) it faces, we compare the earnings quality of a sample of “established” (S&P/ASX 100) to a sample of “emerging” (S&P/ASX Small Ordinaries Index) firms. The paper examines the reporting behaviour of the two groups of listed entities, covering the regulatory change period 2003-2006. The paper uses regression modelling to test the associations between increased audit independence, earnings quality and corporate governance mechanisms over the pre- and post-regulatory period. Findings – The paper's results confirm that earnings quality for the established firms was enhanced in the post-reform period; while this was not the case for emerging firms. The evidence also suggests that corporate governance mechanisms of board independence and board financial skill are associated with higher earnings quality; while the higher the concentration of insider firm ownership is associated with lower earnings quality. Practical implications – This study provides policy makers with evidence as to changes in reporting behaviour following law reform aimed at strengthening auditor independence. Originality/value – The studies on earnings quality are informed by the US market practices. Australia provides a unique setting through its auditor independence reforms to examine the impact of reform choices. This study also investigates two specific subsets of the market: established firms and emerging firms.

Double standards in special medical research : questioning the discrepancy between requirements for medical research involving incompetent adults and medical research involving children

Medical research represents a substantial departure from conventional medical care. Medical care is patient-orientated, with decisions based on the best interests and/or wishes of the person receiving the care. In contrast, medical research is future-directed. Primarily it aims to contribute new knowledge about illness or disease, or new knowledge about interventions, such as drugs, that impact upon some human condition. Current State and Territory laws and research ethics guidelines in Australia relating to the review of medical research appropriately acknowledge that the functions of medical care and medical research differ. Prior to a medical research project commencing, the study must be reviewed and approved by a Human Research Ethics Committee (HREC). For medical research involving incompetent adults, some jurisdictions require an additional, independent safeguard by way of tribunal or court approval of medical research protocols. This extra review process reflects the uncertainty of medical research involvement, and the difficulties surrogate decision-makers of incompetent adults face in making decisions about others, and deliberating about the risks and benefits of research involvement. Parents of children also face the same difficulties when making decisions about their child’s research involvement. However, unlike the position concerning incompetent adults, there are no similar safeguards under Australian law in relation to the approval of medical research involving children. This column questions why this discrepancy exists with a view to generating further dialogue on the topic.

Culture in and culture of health promotion: tensions at the interface of Australian Indigenous health promotion

With persisting health inequalities across and between diverse populations, health promotion must consider its engagement with the culture concept in achieving better health for all. By way of a conversation between an Indigenous and non-Indigenous health promotion practitioner, this unique presentation will critically examine the cultural practice of health promotion for Indigenous Australians. Culture becomes the central tenant of this conversation – but not culture in the sense of something to “fix” to improve Indigenous health, or import to make mainstream practices “culturally appropriate”. Rather, the somewhat invisible culture of Australian health promotion practice itself is highlighted. The enthusiasm of mainstream health promotion practice for risk and reductionism supplants biological determinism with a cultural determinism that constructs culture as illness-producing. This is in contrast to Indigenous perspectives of culture in which it is described as integral to individual and community health and well-being. Whilst empowerment features strongly within global health promotion discourses, the preoccupation of health promotion with the inherent deficit/behavioural change approach is an all too convenient distraction from the broader structural factors impacting on the health of Indigenous Australians. That Indigenous Australians have not benefitted from successful public health policy interventions in the same way as the general population is in itself revealing of the culture of health promotion practice in Australia and it is somewhat ironic that the health promotion fraternity seems not to have questioned its own practice. This conversation aims to encourage health promotion practitioners, researchers and policy makers to interrogate the cultural assumptions of their own practice and of the public health system they are part of and consider how to embed and empower the voices and experiences of those who are ‘culturally othered’ within health promotion practice.

An ecological approach towards building knowledge cities

Purpose A knowledge-based urban development needs to be sustainable and, therefore, requires ecological planning strategies to ensure a better quality of its services. The purpose of this paper is to present an innovative approach for monitoring the sustainability of urban services and help the policy-making authorities to revise the current planning and development practices for more effective solutions. The paper introduces a new assessment tool–Micro-level Urban-ecosystem Sustainability IndeX (MUSIX) – that provides a quantitative measure of urban sustainability in a local context. Design/methodology/approach A multi-method research approach was employed in the construction of the MUSIX. A qualitative research was conducted through an interpretive and critical literature review in developing a theoretical framework and indicator selection. A quantitative research was conducted through statistical and spatial analyses in data collection, processing and model application. Findings/results MUSIX was tested in a pilot study site and provided information referring to the main environmental impacts arising from rapid urban development and population growth. Related to that, some key ecological planning strategies were recommended to guide the preparation and assessment of development and local area plans. Research limitations/implications This study provided fundamental information that assists developers, planners and policy-makers to investigate the multidimensional nature of sustainability at the local level by capturing the environmental pressures and their driving forces in highly developed urban areas. Originality/value This study measures the sustainability of urban development plans through providing data analysis and interpretation of results in a new spatial data unit.

Proceedings of the 6th Knowledge Cities World Summit, KCWS 2013

In recent years, with the impact of global knowledge economy, a more comprehensive development approach has gained significant popularity. This new development approach, so called ‘knowledge-based urban development’, is different from its traditional predecessor. With a much more balanced focus on all of the four key development domains – economic, spatial, institutional, and socio-cultural – this contemporary approach, aims to bring economic prosperity, environmental sustainability and local institutional competence with a just socio-spatial order to our cities and regions. The ultimate goal of knowledgebased urban development is to produce a city purposefully designed to encourage the continuous production, circulation and commercialization of social and scientific knowledge – this will in turn establish a ‘knowledge city’. A city following the ‘knowledge city’ concept embarks on a strategic mission to firmly encourage and nurture locally focused innovation, science and creativity within the context of an expanding knowledge economy and society. In this regard a ‘knowledge city’ can be seen as an integrated city, which physically and institutionally combines the functions of a science and technology park with civic and residential functions and urban amenities. It also offers one of the effective paradigms for the sustainable cities of our time. This sixth edition of KCWS – The 6th Knowledge Cities World Summit 2013 – makes an important reminder that the ‘knowledge city’ concept is a key notion in the 21st Century development. Considering this notion, the Summit sheds light on the multifaceted dimensions and various scales of building a ‘knowledge city’ via ‘knowledge-based urban development’ paradigm by particularly focusing on the overall Summit theme of ‘Establishing Bridges’. At this summit, the theoretical and practical maturing of knowledge-based development paradigms are advanced through the interplay between the world’s leading academics’ theories and the practical models and strategies of practitioners’ and policy makers’ drawn from around the world. This summit proceeding is compiled in order to disseminate the knowledge generated and shared in KCWS 2013 with the wider research, governance, and practice communities the knowledge co-created in this summit. All papers of this proceeding have gone through a double-blind peer review process and been reviewed by our summit editorial review and advisory board members. We, organizers of the summit, cordially thank the members of the Summit Proceeding Editorial Review and Advisory Board for their diligent work in the review of the papers. Also we thank Prof.Dr. Ahmet Ademoğlu, Rector of İstanbul Şehir University, for providing all the support for the Summit. We hope the papers in this proceeding will inspire and make a significant contribution to the research, governance, and practice circles.