The sensitivity of US banks' stock returns to interest and exchange rate changes

Purpose – The purpose of this paper is to investigate the impact of foreign exchange and interest rate changes on US banks’ stock returns. Design/methodology/approach – The approach employs an EGARCH model to account for the ARCH effects in daily returns. Most prior studies have used standard OLS estimation methods with the result that the presence of ARCH effects would have affected estimation efficiency. For comparative purposes, the standard OLS estimation method is also used to measure sensitivity. Findings – The findings are as follows: under the conditional t-distributional assumption, the EGARCH model generated a much better fit to the data although the goodness-of-fit of the model is not entirely satisfactory; the market index return accounts for most of the variation in stock returns at both the individual bank and portfolio levels; and the degree of sensitivity of the stock returns to interest rate and FX rate changes is not very pronounced despite the use of high frequency data. Earlier results had indicated that daily data provided greater evidence of exposure sensitivity. Practical implications – Assuming that banks do not hedge perfectly, these findings have important financial implications as they suggest that the hedging policies of the banks are not reflected in their stock prices. Alternatively, it is possible that different GARCH-type models might be more appropriate when modelling high frequency returns. Originality/value – The paper contributes to existing knowledge in the area by showing that ARCH effects do impact on measures of sensitivity.

The impact of foreign direct investment on labour productivity in the Chinese electronics industry

Foreign direct investment (FDI) may have a positive impact on labour productivity in recipient industries through direct introduction of capital, technology and management skills and indirectly through spillover effects on domestic firms. This study uses a model intended to examine the overall effects of inward FDI in the Chinese electronics industry. Official data are used for 41 sub-sectors of the industry in 1996 and 1997 having differing levels of FDI. Labour productivity is modelled as dependent on the degree of foreign presence in the industry and other variables, namely capital intensity, human capital and firm size for scale factors. The econometric results suggest that foreign presence in the industry is associated with higher labour productivity. © 2001 Elsevier Science Ltd.

Grouping and the pitch of a mistuned fundamental component:effects of applying simultaneous multiple mistunings to the other harmonics

Mistuning a harmonic produces an exaggerated change in its pitch. This occurs because the component becomes inconsistent with the regular pattern that causes the other harmonics (constituting the spectral frame) to integrate perceptually. These pitch shifts were measured when the fundamental (F0) component of a complex tone (nominal F0 frequency = 200 Hz) was mistuned by +8% and -8%. The pitch-shift gradient was defined as the difference between these values and its magnitude was used as a measure of frame integration. An independent and random perturbation (spectral jitter) was applied simultaneously to most or all of the frame components. The gradient magnitude declined gradually as the degree of jitter increased from 0% to ±40% of F0. The component adjacent to the mistuned target made the largest contribution to the gradient, but more distant components also contributed. The stimuli were passed through an auditory model, and the exponential height of the F0-period peak in the averaged summary autocorrelation function correlated well with the gradient magnitude. The fit improved when the weighting on more distant channels was attenuated by a factor of three per octave. The results are consistent with a grouping mechanism that computes a weighted average of periodicity strength across several components. © 2006 Elsevier B.V. All rights reserved.

On the adoption decision and the intensity of use of complementary innovations: The intra firm diffusion of management practices across UK establishments

This paper contributes to the literature on the intra-firm diffusion of innovations by investigating the factors that affect the firm’s decision to adopt and use sets of complementary innovations. We define complementary innovations those innovations whose joint use generates super additive gains, i.e. the gain from the joint adoption is higher than the sum of the gains derived from the adoption of each innovation in isolation. From a theoretical perspective, we present a simple decision model, whereby the firm decides ‘whether’ and ‘how much’ to invest in each of the innovations under investigation based upon the expected profit gain from each possible combination of adoption and use. The model shows how the extent of complementarity among the innovations can affect the firm’s profit gains and therefore the likelihood that the firm will adopt these innovations jointly, rather than individually. From an empirical perspective, we focus on four sets of management practices, namely operating (OMP), monitoring (MMP), targets (TMP) and incentives (IMP) management practices. We show that these sets of practices, although to a different extent, are complementary to each other. Then, we construct a synthetic indicator of the depth of their use. The resulting intra-firm index is built to reflect not only the number of practices adopted but also the depth of their individual use and the extent of their complementarity. The empirical testing of the decision model is carried out using the evidence from the adoption behaviour of a sample of 1,238 UK establishments present in the 2004 Workplace Employment Relations Survey (WERS). Our empirical results show that the intra-firm profitability based model is a good model in that it can explain more of the variability of joint adoption than models based upon the variability of adoption and use of individual practices. We also investigate whether a number of firm specific and market characteristics by affecting the size of the gains (which the joint adoption of innovations can generate) may drive the intensity of use of the four innovations. We find that establishment size, whether foreign owned, whether exposed to an international market and the degree of homogeneity of the final product are important determinants of the intensity of the joint adoption of the four innovations. Most importantly, our results point out that the factors that the economics of innovation literature has been showing to affect the intensity of use of a technological innovation do also affect the intensity of use of sets of innovative management practices. However, they can explain only a small part of the diversity of their joint adoption use by the firms in the sample.

Factors affecting the durability of 5.25 inch floppy diskette media and its mechanisms of wear

This project is targeted towards establishing the durability and mechanisms of wear involved in the use of 5.25 inch magnetic floppy diskettes with particular reference to the media manufactured by the Minnesota Mining and Manufacturing Company, 3M Center, St. Paul, Minnesota, USA. In the present work most stress has been laid on the presentation of the conclusions drawn from the results obtained using samples produced specifically for this project. These samples were produced on the pilot plant at 3MTM, St. Paul, USA and are identified by the code 58759-4 with sample numbers SR1 to SR4 each with different lubrication conditions. All of the categories have been produced with four different surface roughnesses by varying the degree of burnishing. It has been found that the mechanisms of wear are related to a fatigue process. Some surprises have been noted in respect of the value of burnishing compared to the observations made elsewhere. Good reasons for these observed differences have been noted, however, and it will be shown that these are merely superficial and not concerned with wear of any real type. The present work reports the effects of the changes in the media's lubrication status and its surface topography as well as presenting evidence for the suggested wear mechanisms.

Alzheimer's disease: the relationship between the density of senile plaques, neurofibrillary tangles and A4 protein in human patients

The numerical density of senile plaques (SP) and neurofibrillary tangles (NFT) as revealed by the Glees silver method was compared with SP and NFT revealed by the Gallyas method and with amyloid (A4) deposits in immunostained sections in 6 elderly cases of Alzheimer's disease. The density of NFT was generally greater and A4 lower in tissue from hippocampus compared with the neocortex suggesting that A4 deposition was less important than the degree of paired helical filament (PHF) related damage in the hippocampus. The density of Glees SP was positively correlated Gallyas SP weakly correlated with A4 deposit number. A stepwise multiple regression analysis which included A4 deposit and Gallyas SP density and accounted for 54% of the variation in Glees SP density. Hence, different populations of SP were revealed by the different staining methods. The results suggested that the Glees method may stain a population of SP in a region of cortex where both amyloid deposition and neurofibrillary changes have occurred.

The influence of bird droppings on the growth of lichen fragments transplanted to slate and cement substrates

The influence of bird droppings on the growth and fragmentation of five lichen species transplanted to slate and cement substrates was studied over a period of 15 months in South Gwynedd, Wales. The results suggested that at 15 months (1) thallus areas of Parmelia conspersa (Ehrh. Ex Ach.)Ach. were greater on both substrates with the addition of bird droppings with a greater increase on cement; (2) In Parmelia saxatilis (L.)Ach. And Parmelia glabratula ssp. fuliginosa (Fr. ex Duby)Laund., thallus areas were greatest on slate alone and least on cement with bird droppings; (3) in Physcia orbicularis (Neck.)Poetsch, thallus area was significantly reduced on cement alone compared with slate and cement treated with bird droppings; and (4) in Xanthoria parietina (L.)Th.Fr., thallus area was significantly greater on cement with bird droppings compared with slate and cement alone. These responses were attributable to the effect of the substrate and bird droppings on radial growth and the degree of fragmentation of the thalli. The results suggested that nutrient enrichment was more important than the substrate in determining the distribution of P. conspersa and Ph. orbicularis. However, the substrate and bird droppings were important in the remaining species, the data suggesting that P. saxatilis and P. glabratula ssp. fuliginosa would prefer nutrient-poor, siliceous rocks and X. parietina calcareous, nutrient enriched rocks in South Gwynedd.

Bioreaction and separation in preparative batch chromatographic columns : the hydrology of lactose to yield glucose,galactose and oligosaccharides

The initial aim of this project was to improve the performance of a chromatographic bioreactor-separator (CBRS). In such a system, a dilute enzyme solution is pumped continuously through a preparative chromatographic column, while pulses of substrate are periodically injected on to the column. Enzymic reaction and separation are therefore performed in a single unit operation. The chromatographic columns used were jacketed glass columns ranging from 1 to 2 metres long with an internal diameter of 1.5 cm. Linking these columns allowed 1, 2, 3 and 4 metre long CBRS systems to be constructed. The hydrolysis of lactose in the presence of β~galactosidase was the reaction of study. From previous work at Aston University, there appeared to be no difficulties in achieving complete lactose hydrolysis in a CBRS. There did, however, appear to be scope for improving the separative performance, so this was adopted as an initial goal. Reducing the particle size of the stationary phase was identified as a way of achieving this improvement. A cation exchange resin was selected which had an average particle size of around half that previously used when studying this reaction. A CBRS system was developed which overcame the operational problems (such as high pressure drop development) associated with use of such a particle size. A significant improvement in separative power was achieved. This was shown by an increase in the number of theoretical plates (N) from about 500 to about 3000 for a 2 metre long CBRS, coupled with higher resolution. A simple experiment with the 1 metre column showed that combined bioreaction and separation was achievable in this system. Having improved the separative performance of the system, the factors affecting enzymic reaction in a CBRS were investigated; including pulse volume and the degree of mixing between enzyme and substrate. The progress of reaction in a CBRS was then studied. This information was related to the interaction of reaction and separation over the reaction zone. The effect of injecting a pulse over a length of time as in CBRS operation was simulated by fed batch experiments. These experiments were performed in parallel with normal batch experiments where the substrate is mixed almost instantly with the enzyme. The batch experiments enabled samples to be taken every minute and revealed that reaction is very rapid. The hydrodynamic characteristics of the two injector configurations used in CBRS construction were studied using Magnetic Resonance Imaging, combined with hydrodynamic calculations. During the optimisation studies, galactooligosaccharides (GOS) were detected as intermediates in the hydrolysis process. GOS are valuable products with potential and existing applications in food manufacture (as nutraceuticals), medicine and drug targeting. The focus of the research was therefore turned to GOS production. A means of controlling reaction to arrest break down of GOS was required. Raising temperature was identified as a possible means of achieving this within a CBRS. Studies were undertaken to optimise the yield of oligosaccharides, culminating in the design, construction and evaluation of a Dithermal Chromatographic Bioreactor-separator.

Atom transfer radical polymerisation - towards the synthesis of a fully-functional photorefractive polymer

Atom transfer radical polymerisation (ATRP) of styrene in xylene solution initiated with 1-phenylethyl bromide and mediated by CuBr/N-propyl-2- pyridinemethanimine catalyst complex was studied. The polymerisation was ill-controlled, yielding polymers with broad molecular weight distributions and values of number average molecular weight considerably higher than the theoretical values calculated from 100% initiator efficiency. The degree of control afforded over the polymerisation was enhanced by use of a more soluble catalyst complex, CuBr/N-octyl-2-pyridinemethanimine. Furthermore, the use of a more polar solvent, diglyme, generated a homogeneous catalyst complex that facilitated the production of polymers having narrow molecular weight distributions (1.10 < PDi < 1.20). The kinetics of the atom transfer radical polymerisation of methyl methacrylate at 90°C in diglyme solution initiated with ethyl-2-bromoisobutyrate and mediated by CuBr/N-octyl-2-pyridinemethanimine was studied and the orders of the reaction were established. The effect on the rate of polymerisation of the ratio of CuBr:N-octyl-2-pyridinemethanimine was also determined. The temperature dependencies of the rate of polymerisation of methyl methacrylate in diglyme solution and xylene solution were studied, and were found to be non-linear and dependent upon the polarity of the solvent. The use of highly polar aprotic solvents, such as N,N-dimethylformamide and dimethylsulphoxide, was found to be detrimental to the degree of control afforded over the polymerisation of methyl methacrylate. This was circumvented by use of a 5-fold excess, over that conventionally used, of catalyst complex. The atom transfer radical polymerisation of (4-nitrophenyl)-[3-[N-[2- (methacryloyloxy)ethyl]carbazolyl]]diazene in dimethyl sulphoxide solution was studied. Although homopolymerisation yielded only oligomers, copolymerisation of this monomer with methyl methacrylate was found to be readily achievable. Keywords: ATRP, Styrene; Methyl methacrylate; Polar solvents; Fully-functional photorefractive polymer. 2

Investigation of chaotic mixing in laminar fluid systems by the use of computational fluid dynamics

This work presents significant development into chaotic mixing induced through periodic boundaries and twisting flows. Three-dimensional closed and throughput domains are shown to exhibit chaotic motion under both time periodic and time independent boundary motions, A property is developed originating from a signature of chaos, sensitive dependence to initial conditions, which successfully quantifies the degree of disorder withjn the mixing systems presented and enables comparisons of the disorder throughout ranges of operating parameters, This work omits physical experimental results but presents significant computational investigation into chaotic systems using commercial computational fluid dynamics techniques. Physical experiments with chaotic mixing systems are, by their very nature, difficult to extract information beyond the recognition that disorder does, does not of partially occurs. The initial aim of this work is to observe whether it is possible to accurately simulate previously published physical experimental results through using commercial CFD techniques. This is shown to be possible for simple two-dimensional systems with time periodic wall movements. From this, and subsequent macro and microscopic observations of flow regimes, a simple explanation is developed for how boundary operating parameters affect the system disorder. Consider the classic two-dimensional rectangular cavity with time periodic velocity of the upper and lower walls, causing two opposing streamline motions. The degree of disorder within the system is related to the magnitude of displacement of individual particles within these opposing streamlines. The rationale is then employed in this work to develop and investigate more complex three-dimensional mixing systems that exhibit throughputs and time independence and are therefore more realistic and a significant advance towards designing chaotic mixers for process industries. Domains inducing chaotic motion through twisting flows are also briefly considered. This work concludes by offering possible advancements to the property developed to quantify disorder and suggestions of domains and associated boundary conditions that are expected to produce chaotic mixing.

NMR spectroscopy in the presence of ultrasound and other perturbations

The work described in this thesis has been concerned with exploring the potential uses of ultrasound in Nuclear Magnetic Resonance (NMR) spectroscopy, The NMR spectra of liquids provide detailed structural information that may be deduced from the chemical shifts and spin-spin coupling, that are evident in the narrow resonances, arising from some of the nuclear broadening interactions being reduced to zero. In the solid state, all of the nuclear broadening interactions are present and broad lines in the NMR spectrum are observed. Current techniques employed to reduce the line widths in solids are based on coherent averaging techniques such as MAS NMR1,2 which can remove first order interactions. Recently DOR3 and DAS4 have become available to remove higher order interactions. SINNMR (Sonically Induced Narrowing of the NMR spectra of solids) has been reported by Homer et al5 and developed by Homer and Howard6 to reduce the line widths of solids. The basis of their work is the proposal that a colloidal suspension of solid particles can be made to move like large molecules by using ultrasonic agitation. The advantage of the technique is that the particles move incoherently removing all of the nuclear interactions responsible for broad lines. This thesis describes work on the extension of SINNMR by showing that the line width of 27AI and 11B for the glass Na20/B203/AI203 can be reduced by placing solid particles in a colloidal suspension. Further line width reduction is possible by applying ultrasound, at 2 MHz, of sufficient intensity. It is proposed that a cavitation field is responsible for imparting sufficient rotational motion to the solid particles to partially average the nuclear interactions responsible for broad lines. Rapid stirring of the colloidal suspension generates turbulent flow, however, the motion is insufficient to narrow the line widths for 27AI in the glass. Investigations of sonochemical reactions for in situ rate measurements by NMR have been made. 8y using the Weissler reaction7, it has been shown that ultrasonic cavitation is possible up to 10MHz. Preliminary studies have been carried out into the rate of ultrasonic polymerisation of methylmethacrylate by NMR. Long range order in liquid crystals can imposed when they are aligned in the presence a magnetic field. The degree of alignment can be monitored by NMR using, for example a deuterated solute added to the liquid crystal8. Ultrasonic streaming can then be employed to deflect the directors of the liquid crystal from their equilibrium position, resulting in a change In the NMR spectrum. The angle of deflection has been found for the thermotropic liquid crystal (I35) to be ca, 35° and for the lyotropic (ZLI-1167) to be ca, 20°, Mechanical stirring can used to re- orientate the liquid crystal but was found to give a smaller deflection, In a separate study, that did not use ultrasound, it has been found that the signal to noise ratio of 13C NMR signals can be enhanced by rapidly stirring a Iiquid. Accelerating the diffusion of nuclei out of the coil region enables M0 to be re-established more rapidly than the normal relaxation process. This allows the pulse repetition rate to be reduced without saturating the spin system. The influence of varying the relaxation delay, acquisition time and inter-pulse delay have been studied and parameters optimised. By studying cholesterol the technique was found to be most effective for nuclei with long relaxation times, such as quaternary carbon sites. Key Worde: NMR, Ulf.rasciund, 1,.lqi.fi!:l cryllltalt!h SCll1C1otlemlstryl I!r1hano~d algnflllf

The morphology of spray-dried particles

Samples of Various industrial or pilot plant spray-dried materials were obtained from manufacturers together with details of drying conditions and feed concentrations. The samples were subjected to qualitative and semi-quantitative examination to identify structural and morphological features. The results were related to measured bulk physical properties and to drying conditions. Single particles were produced in a convective drying process Analogous to spray drying, in which different solids or mixtures of solids were dried from solutions, slurries or pastes as single suspended droplets. The localized chemical and physical structures were analysed and in some cases the retention of volatiles monitored. The results were related to experimental conditions, viz.; air temperature, initial solids concentration and the degree of feed aeration. Three distinct categories of particle morphology were identified, i.e.; crystalline, skin-forming and agglomerate. Each category is evidence of a characteristic drying behaviour which is dependent on initial solids concentration. the degree of feed aeration, and drying temperature. Powder flow ability, particle and bulk density, particle-size, particle friability, and the retention of volatiles bear a direct relationship to morphological structure. Morphologies of multicomponent mixtures were complex, but the respective migration rates of the solutes were dependent on drying temperature. Gas-film heat and SDSS transfer coefficients of single pure liquid droplets were also measured over a temperature range of 50•C to 200•C under forced convection. Balanced transfer rates were obtained attributed to droplet instability or oscillation within the airflow, demonstrated in associated work with single free-flight droplets. The results are of relevance to drier optimisation and to the optimisation of product characteristics, e.g.; particle strength and essential volatiles-retention, in convective drying.

A novel process for the production of castor oil by direct solvent extraction

This research was undertaken to: develop a process for the direct solvent extraction of castor oil seeds. A literature survey confirmed the desirability of establishing such a process with emphasis on the decortication, size, reduction, detoxification-deallergenization, and solvent·extraction operations. A novel process was developed for the dehulling of castor seeds which consists of pressurizing the beans and then suddenly releasing the pressure to vaccum. The degree of dehulling varied according to the pressure applied and the size of the beans. Some of the batches were difficult-to-hull, and this phenomenon was investigated using the scanning electron microscope and by thickness and compressive strength measurements. The other variables studied to lesser degrees included residence time, moisture, content, and temperature.The method was successfully extended to cocoa beans, and (with modifications) to peanuts. The possibility of continuous operation was looked into, and a mechanism was suggested to explain the method works. The work on toxins and allergens included an extensive literature survey on the properties of these substances and the methods developed for their deactivation Part of the work involved setting up an assay method for measuring their concentration in the beans and cake, but technical difficulties prevented the completion of this aspect of the project. An appraisal of the existing deactivation methods was made in the course of searching for new ones. A new method of reducing the size of oilseeds was introduced in this research; it involved freezing the beans in cardice and milling them in a coffee grinder, the method was found to be a quick, efficient, and reliable. An application of the freezing technique was successful in dehulling soybeans and de-skinning peanut kernels. The literature on the solvent extraction, of oilseeds, especially castor, was reviewed: The survey covered processes, equipment, solvents, and mechanism of leaching. three solvents were experimentally investigated: cyclohexane, ethanol, and acetone. Extraction with liquid ammonia and liquid butane was not effective under the conditions studied. Based on the results of the research a process has been suggested for the direct solvent extraction of castor seeds, the various sections of the process have analysed, and the factors affecting the economics of the process were discussed.

Perceptions of technological change : the attitude of managers towards group technology in the United States food equipment industry

In the center of today's continued and rapid technological change and ever competitive environment of the next millennium, manufacturers must realize that unless they are ready to consider and evaluate new technologies brought onto them, they may fail to adequately respond to the challenges that lie ahead of them. This research was designed to determine the consistency of the perceptions of technical and non-technical administrators, in manufacturing environment, towards technological change and group technology as an advanced manufacturing system. This research has included a review of literature with references to technological change, justification and implementation processes, and various manufacturing systems including group technology and its benefits. This research has used the research method of empirical analysis (quantitative) and case studies (qualitative) to research perceptions of technical and non-technical administrators towards technological change and group technology. Sixty-four (64) technical and fifty-one (51) nontechnical administrators from fifty (50) manufacturing organizations in the United States of America responded to the mail survey questionnaire used in this research. Responses were analyzed using the Repeated Measures ANOVA procedure to compare mean responses of each group. Two correlation analyses, Cronback Coefficient Alpha and Pearson Correlation Coefficient, were also performed to determine the reliability of the questionnaire as well as the degree of correlation of perceptions between these two groups. This research, through the empirical analysis, has found that perceptions of the technical and non-technical administrators towards group technology were not consistent. In other words, they did not perceive the benefits of group technology in the same manner to the overall organizational performance. This finding was significant since it provided the first clear and comprehensive view of the technical and non-technical administrators' perception towards group technology and technological change, in Food Equipment Manufacturer Industry, in United States of America. In addition, a number of cases were analyzed and the results have supported those of the quantitative analysis. Therefore, this research not only has provided basic data, which was unavailable prior to this investigation, but it also provided a basis for future studies.

Study of management decision making by ward sisters in a hospital and the effects on decision making after the implementation of a decision support sytem

This thesis considers management decision making at the ward level in hospitals especially by ward sisters, and the effectiveness of the intervention of a decision support system. Nursing practice theories were related to organisation and management theories in order to conceptualise a decision making framework for nurse manpower planning and deployment at the ward level. Decision and systems theories were explored to understand the concepts of decision making and the realities of power in an organisation. In essence, the hypothesis was concerned with changes in patterns of decision making that could occur with the intervention of a decision support system and that the degree of change would be governed by a set of `difficulty' factors within wards in a hospital. During the course of the study, a classification of ward management decision making was created, together with the development and validation of measuring instruments to test the research hypothesis. The decision support system used was rigorously evaluated to test whether benefits did accrue from its implementation. Quantitative results from sample wards together with qualitative information collected, were used to test this hypothesis and the outcomes postulated were supported by these findings. The main conclusion from this research is that a more rational approach to management decision making is feasible, using information from a decision support system. However, wards and ward sisters that need the most assistance, where the `difficulty' factors in the organisation are highest, benefit the least from this type of system. Organisational reviews are needed on these identified wards, involving managers and doctors, to reduce the levels of un-coordinated activities and disruption.