The impact of the closing call auction:an examination of effects in London

This article examines the impact on market quality that the introduction of a closing call auction had at the London Stock Exchange (LSE). Using the market model approach of Cohen et al. (1983a, b) OpenURL Aston University, b) we show that opening and closing market quality improved for those Financial Times and Stock Exchange 100 (FTSE 100) securities participating in the closing call. A control sample of stocks is not characterized by discernable changes to market quality.

Az európai villamosenergia-árak központi szabályozásának hatása a fogyasztói árakra (The impacts of the price regulation on the level of retail electricity prices in Europe)

Az Európai Unión belül az elmúlt időszakban megerősödött a vita arról, vajon a Közösség versenyképességének javításához milyen módon és mértékben járulhat hozzá az ipari és lakossági fogyasztók számára kedvező áron elérhető villamos energia. Az uniós testületek elsődlegesen a verseny feltételeinek további javításában látják a versenyképesség javításának fő eszközét, ám egyesek az aktívabb központi szabályozás mellett érvelnek. A jelenleg alkalmazott európai szabályozási gyakorlat áttekintése, a szabályozási modellek és a piaci árak alakulásának vizsgálata hozzásegíthet, hogy következtetéseket vonjunk le a tagállami gyakorlatok tekintetében, vajon sikeresebb-e a központi ármegállapításon alapuló szabályozói mechanizmus, mint a liberalizált piacmodell. ______ There is a strengthening debate within the European Union in recent years about the impact of the affordable industrial and household electricity prices on the general competitiveness of European economies. While the European Institutions argues for the further liberalization of the energy retail sector, there are others who believe in centralization and price control to achieve lower energy prices. Current paper reviews the regulatory models of the European countries and examines the connection between the regulatory regime and consumer price trends. The analysis can help to answer, whether the bureaucratic central regulation or the liberalized market model seems more successful in supporting the competitiveness goals. Although the current regulatory practice is heterogeneous within the EU member states, there is a clear trend to decrease the role of regulated tariffs in the end-user prices. Our study did not find a general causal relationship between the regulatory regime and the level of consumer electricity prices in a country concerned. However, the quantitative analysis of the industrial and household energy prices by various segments detected significant differences between the regulated and free-market countries. The first group of member states tends to decrease the prices in the low-consuming household segments through cross-financing technics, including increased network tariffs and/or taxes for the high-consuming segments and for industrial consumers. One of the major challenges of the regulatory authorities is to find the proper way of sharing these burdens proportionally with minimizing the market-distorting effects of the cross-subsidization between the different stakeholder groups.

Estimation of global systematic risk for securities listed in multiple markets

The market model is the most frequently estimated model in financial economics and has proven extremely useful in the estimation of systematic risk. In this era of rapid globalization of financial markets there has been a substantial increase in cross listings of stocks in foreign and regional capital markets. As many as a third to a half of the stocks in some major exchanges are foreign listed. The multiple listings of stocks has major implications for the estimation of systematic risk. The traditiona1 method of estimating the market model by using data from only one market will lead to misleading estimates of beta. This study demonstrates that the estimator for systematic risk and the methodology itself changes when stocks are listed in multiple markets. General expressions are developed to obtain the estimator of global beta under a variety of assumptions about the error terms of the market models for different capital markets. The assumptions pertain both to the volatilities of the abnormal returns in each market, and to the relationship between the markets. ^ Explicit expressions are derived for the estimation of global systematic risk beta when the returns are homoscedastic and also under different heteroscedastic conditions both within and/or between markets. These results for the estimation of global beta are further extended when return generating process follows an autoregressive scheme.^

Managing the multiplicities of graduate level education! Are Master’s students’ expectations matched by their experiences?

With rapid increases in student fees reflecting moves towards a QUASI Market model of Higher Education in the UK and across much of the Western World[1], many universities find themselves having to meet progressively higher levels of student expectations[2]. This is particularly the case at undergraduate level, where increases in fees over the past decade have far exceeded inflation. Yet with so much attention on ‘consumer savvy’ undergraduates, the question of whether Master’s level students’ expectations are matched by their experiences is one which remains largely unanswered. Grounded in an empirically grounded approach to learning and teaching developed by the paper authors[3], this paper sets out to being to answer this question. In doing so it makes a distinctive contribution to debates about graduate level engineering education and concludes with a number of recommendations. Discussion: The ‘MSc: Managing Expectations’ Project analyses the expectations and experiences of Graduate level Engineering Management Students over a two year period. Focusingon the ‘student experience’, three main concepts are identified as being particular relevant to enhancing learning [3]: Relationships: Variety: Synergy. Relationships: Based on empirical research, the significance of Relationships within the academic environment is discussed with particular attention being paid to the value of students’ social and academic support networks, including academic tutoring. Variety: Grounded in a statistical analysis of ‘engagement data’ together with survey and interview findings, the concept of variety critically examines students’ perspectives and experiencesof different approaches to learning and teaching. Synergy: Possibly the most important concept discussed within this paper, the need for constructively aligned curriculum is extended to reflect the students’ apriori knowledge and experienceas well as employer and societal demands and expectations. The conclusion brings the different concepts within the discussion together, providing a set of practical recommendations for colleagues working both at graduate and undergraduate level. References 1.Gibbs, P. (2001) "Higher education as a market: a problem or solution?." Studies in Higher Education 26. 1. pp. 85-94. 2.Tricker, T., (2005) Student Expectations-How do we measure up. University of Sheffield. Available from: http://www.persons.org.uk/tricker%20paper.pdf Accessed 9/10/14 3.Clark, R. & Andrews, J. (2014). Relationships, Variety & Synergy [RVS]: The Vital Ingredients for Scholarship in Engineering Education? A Case-Study. European Journal of Engineering Education. 39.6. pp. 585-600.

Incertidumbre y actitudes pro-redistributivas: mercados de trabajo y modelos de bienestar en Europa

La articulación entre las políticas de empleo y las políticas sociales condicionan la percepción subjetiva de incertidumbre los individuos. El modelo de mercado laboral tiene un peso determinante en la percepción de incertidumbre. El empleo en sí mismo ya no es suficiente garantía de ingresos seguros. El empleo a tiempo parcial y los contratos temporales generan una creciente demanda de políticas de redistribución de los ingresos en los países del Sur y Este de Europa. En los países escandinavos los mismos tipos de contratos laborales generan menos desigualdad porque el empleo público contribuye a generar un “círculo virtuoso” que favorece las políticas de igualdad y la conciliación entre la vida laboral y familiar. A nivel individual las actitudes pro-redistributivas las impulsan las mujeres, aquellas personas con incertidumbre en sus ingresos económicos y con bajo nivel de estudios. Por el contrario, quienes más confían en el éxito individual y el mérito son los jóvenes con estudios universitarios y aquellos que perciben ingresos económicos altos.

Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

Dinâmicas sócioeconômicas na prática dos feirantes agricultores familiares de Chapecó-SC

This thesis deals with the insertion of family farmers market that act as market traders in the city of Chapecó, state of Santa Catarina. In order to trust, reciprocity and relations of time and space dynamics present in the practice of open-air market is analyzed. From understanding the outdoor market as an extension of the activities of farms, a form of local construction market, we need new ways to evaluate the inclusion of family farming in trade. In this regard, the importance of local markets characterized by autonomy in the food hegemonic system. To this end, it uses what the peculiarities present in the practice of street fairs, its historical development, the number of farmers who act as market participants, the number of traders in the city and its surroundings, the diversity of products offered, the marketing channel access by traders and market relations farmers who act as market participants. Finally, based on the responses of suppliers and content analysis, it was possible to show how present in the social dynamics of free trade: the trusted face to face representations, reciprocity and relations of time and space between the co-present agents in the market dynamics of family farmers fair. For the study context, these representations show how important non-economic values that help build identities that relate to the strategies of social reproduction and overcoming dominant market model.

Intelligent negotiation behaviour model for an open railway access market

In an open railway access market, the provisions of railway infrastructures and train services are separated and independent. Negotiations between the track owner and train service providers are thus required for the allocation of the track capacity and the formulation of the services timetables, in which each party, i.e. a stakeholder, exhibits intelligence from the previous negotiation experience to obtain the favourable terms and conditions for the track access. In order to analyse the realistic interacting behaviour among the stakeholders in the open railway access market schedule negotiations, intelligent learning capability should be included in the behaviour modelling. This paper presents a reinforcement learning approach on modelling the intelligent negotiation behaviour. The effectiveness of incorporating learning capability in the stakeholder negotiation behaviour is then demonstrated through simulation.

Investigating attitudes towards three South American destinations in an emerging long haul market using a model of consumer-based brand equity (CBBE)

Despite the importance of destination image in market competitiveness, and the popularity of the field within tourism literature, there remains a dearth of published research examining travellers’ perceptions of destinations in South America. This manuscript addresses this gap by testing a model of consumer-based brand equity (CBBE) associated with three South American countries; Chile, Brazil and Argentina. The introduction of direct air links and a free trade agreement in 2008 has led destination marketing organisations (DMOs) in these countries to increase promotional efforts in the Australian market. This study shows that the CBBE model is an appropriate tool to explore consumers’ attitudes in the long haul travel context. The findings provide DMOs of the three countries studied, with benchmarks against which to compare the impact of future marketing communications in Australia. The results provide increased transparency and accountability to stakeholders, such as South American tourism businesses and Australian travel intermediaries.

Defining expected cost for the air conditioning to avoid a price spike of electricity market under DSR model

This work presents a demand side response model (DSR) which assists small electricity consumers, through an aggregator, exposed to the market price to proactively mitigate price and peak impact on the electrical system. The proposed model allows consumers to manage air-conditioning when as a function of possible price spikes. The main contribution of this research is to demonstrate how consumers can minimise the total expected cost by optimising air-conditioning to account for occurrences of a price spike in the electricity market. This model investigates how pre-cooling method can be used to minimise energy costs when there is a substantial risk of an electricity price spike. The model was tested with Queensland electricity market data from the Australian Energy Market Operator and Brisbane temperature data from the Bureau of Statistics during hot days on weekdays in the period 2011 to 2012.

A smooth transition logit model of the effects of deregulation in the electricity market

This paper introduces the smooth transition logit (STL) model that is designed to detect and model situations in which there is structural change in the behaviour underlying the latent index from which the binary dependent variable is constructed. The maximum likelihood estimators of the parameters of the model are derived along with their asymptotic properties, together with a Lagrange multiplier test of the null hypothesis of linearity in the underlying latent index. The development of the STL model is motivated by the desire to assess the impact of deregulation in the Queensland electricity market and ascertain whether increased competition has resulted in significant changes in the behaviour of the spot price of electricity, specifically with respect to the occurrence of periodic abnormally high prices. The model allows the timing of any change to be endogenously determined and also market participants' behaviour to change gradually over time. The main results provide clear evidence in support of a structural change in the nature of price events, and the endogenously determined timing of the change is consistent with the process of deregulation in Queensland.

A Supply Function Competition Model for the Spanish Wholesale Electricity Market

We model the Spanish wholesale market as a multiplant linear supply function competition model. According to the theory, the larger generators should have supply curves for each plant which are to the left of the supply curves of plants owned by smaller generators. We test this prediction for fuel plants using data from the Spanish Market Operator (OMEL) from May 2001 to December 2003. Our results indicate that the prediction of the model holds.

Testing of a Market Fraction Model and Power-law Behaviour in the DAX 30

This paper tests a simple market fraction asset pricing model with heterogeneous
agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squared returns) of the market fraction model share the same pattern as those of the DAX 30. By conducting econometric analysis via Monte Carlo simulations, we characterize these power-law behaviours and find that estimates of the power-law decay indices, the (FI)GARCH parameters, and the tail index of the selected market fraction model closely match those of the DAX 30. The results strongly support the explanatory power of the heterogeneous agent models.