Futures trading, spot price volatility and market efficiency: evidence from European real estate securities futures

In 2007 futures contracts were introduced based upon the listed real estate market in Europe. Following their launch they have received increasing attention from property investors, however, few studies have considered the impact their introduction has had. This study considers two key elements. Firstly, a traditional Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, the approach of Bessembinder & Seguin (1992) and the Gray’s (1996) Markov-switching-GARCH model are used to examine the impact of futures trading on the European real estate securities market. The results show that futures trading did not destabilize the underlying listed market. Importantly, the results also reveal that the introduction of a futures market has improved the speed and quality of information flowing to the spot market. Secondly, we assess the hedging effectiveness of the contracts using two alternative strategies (naïve and Ordinary Least Squares models). The empirical results also show that the contracts are effective hedging instruments, leading to a reduction in risk of 64 %.

Energy supply, consumption and access dynamics in Botswana

The growing dependence on electricity for economic growth in all countries prompts the need to manage current resources for future sustainability. In today’s world, greater emphasis is placed on energy conservation for energy security and for the development of every economy. However, for some countries understanding the basic drivers to such achievements is farfetched. The research presented in this paper investigates the electricity generation and access potential for Botswana. In addition detailed documentation and 13 years energy consumption and generation trends are investigated. Using questionnaires and empirical studies the energy demand for the entire nation was estimated. From the research it was established that current energy generation trends account for 38- 39% of the country’s population with access to electricity. Considering the percentage rate of sector energy demand, the proposed total installed capacity of 1332 MW, would not meet the country's energy demand at 100% access. The likely consequence of the lack of adequate supply would cumulate to significant increase of imports and/or load shedding to meet demand.

Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

This paper models the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques. In particular the size and sign of return innovations are important factors in determining the degree of spillovers in volatility. It is found that a multivariate asymmetric GARCH formulation can explain almost all of the non-linear causality between markets. These results have important implications for the construction of models and forecasts of international equity returns.

Forecasting exchange rate volatility using conditional variance models selected by information criteria

This paper uses appropriately modified information criteria to select models from the GARCH family, which are subsequently used for predicting US dollar exchange rate return volatility. The out of sample forecast accuracy of models chosen in this manner compares favourably on mean absolute error grounds, although less favourably on mean squared error grounds, with those generated by the commonly used GARCH(1, 1) model. An examination of the orders of models selected by the criteria reveals that (1, 1) models are typically selected less than 20% of the time.

Predicting stock index volatility: can market volume help?

This paper explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the NYSE. An application of linear and non-linear Granger causality tests highlights evidence of bidirectional causality, although the relationship is stronger from volatility to volume than the other way around. The out-of-sample forecasting performance of various linear, GARCH, EGARCH, GJR and neural network models of volatility are evaluated and compared. The models are also augmented by the addition of a measure of lagged volume to form more general ex-ante forecasting models. The results indicate that augmenting models of volatility with measures of lagged volume leads only to very modest improvements, if any, in forecasting performance.

Idiosyncratic volatility and the pricing of poorly-diversified portfolios

This article examines the role of idiosyncratic volatility in explaining the cross-sectional variation of size- and value-sorted portfolio returns. We show that the premium for bearing idiosyncratic volatility varies inversely with the number of stocks included in the portfolios. This conclusion is robust within various multifactor models based on size, value, past performance, liquidity and total volatility and also holds within an ICAPM specification of the risk–return relationship. Our findings thus indicate that investors demand an additional return for bearing the idiosyncratic volatility of poorly-diversified portfolios.

The effect of salmon consumption during pregnancy on maternal and infant faecal microbiota, sIgA and calprotectin

The infant gut microbiota plays an important role in the development of the infant immune and gastrointestinal systems. We investigated whether increased salmon consumption during pregnancy, maternal weight gain during pregnancy or infant mode of feeding alter markers of gut immune defence and inflammation. Women (n = 123) who rarely ate oily fish were randomly assigned to remain on their habitual diet or to consume two 150 g portions of farmed salmon per week from 20 weeks pregnancy until delivery. At 38 weeks gestation the women (n = 75) provided a faecal sample and on days 7, 14, 28 and 84 post-partum, faecal samples were collected from the infants (n = 38). Fluorescence in situ hybridisation was used to determine the composition of the faecal microbiota and ELISA to measure faecal sIgA and calprotectin concentrations. There was no effect of salmon consumption on the faecal microbiota of the mothers or on faecal sIgA and calprotectin concentrations in either mothers or infants. Degree of weight gain influenced the maternal faecal microbiota and mode of infant feeding influenced the infant faecal microbiota. Faecal samples from infants in the salmon group tended to have lower counts of Atopobium cluster compared with those in the control group (P = 0.097). This difference was significant in formula-fed infants (P < 0.05), but not exclusively breast-fed infants. In conclusion, the impact of oily fish consumption during pregnancy on maternal and infant gut microbiota composition is limited, but significant differences were associated with maternal weight gain during pregnancy and infant mode of feeding.

A semiotic framework for information representation of energy consumption in office buildings

Taking a perspective from a whole building lifecycle, occupier's actions could account for about 50% of energy. However occupants' activities influence building energy performance is still a blind area. Building energy performance is thought to be the result of a combination of building fabrics, building services and occupants' activities, along with their interactions. In this sense, energy consumption in built environment is regarded as a socio-technical system. In order to understand how such a system works, a range of physical, technical and social information is involved that needs to be integrated and aligned. This paper has proposed a semiotic framework to add value for Building Information Modelling, incorporating energy-related occupancy factors in a context of office buildings. Further, building information has been addressed semantically to describe a building space from the facility management perspective. Finally, the framework guides to set up building information representation system, which can help facility managers to manage buildings efficiently by improving their understanding on how office buildings are operated and used.

The consumer acceptance of novel vegetable-enriched bread products as a potential vehicle to increase vegetable consumption

Currently UK fruit and vegetable intakes are below recommendations. Bread is a staple food consumed by ~95% of adults in western countries. In addition, bread provides an ideal matrix by which functionality can be delivered to the consumer in an accepted food. Therefore, enriching bread with vegetables may be an effective strategy to increase vegetable consumption. This study evaluated consumer acceptance, purchase intent and intention of product replacement of bread enriched with red beetroot, carrot with coriander, red pepper with tomato or white beetroot (80g vegetable per serving of 200g) compared to white control bread (0g vegetable). Consumers (n=120) rated their liking of the breads overall, as well as their liking of appearance, flavour and texture using nine-point hedonic scales. Product replacement and purchase intent of the breads was rated using five-point scales. The effect of providing consumers with health information about the breads was also evaluated. There were significant differences in overall liking (P<0.0001), as well as liking of appearance (P<0.0001), flavour (P=0.0002) and texture (P=0.04), between the breads. However, the significant differences resulted from the red beetroot bread which was significantly (P<0.05) less liked compared to control bread. There were no significant differences in overall liking between any of the other vegetable-enriched breads compared with the control bread (no vegetable inclusion), apart from the red beetroot bread which was significantly less liked. The provision of health information about the breads did not increase consumer liking of the vegetable-enriched breads. In conclusion, this study demonstrated that vegetable-enriched bread appeared to be an acceptable strategy to increase vegetable intake, however, liking depended on vegetable type.

Preference and consumption of a taste enhanced meat meal by older hospital patients: a pilot study

BACKGROUND: Older hospital patients are considered to be at risk of malnutrition due to insufficient dietary intake. OBJECTIVE: To determine whether taste enhancement, using ingredients naturally high in umami compounds, increases preference and consumption of a meal by older hospital patients. METHODS: 31 patients (65–92 years) on elderly carewards in aUKNHS Trust hospital took part in a single-blinded preference and consumption study. They tasted two meats (control and enhanced, presented in balanced order) and stated their preference. At lunch, control and enhanced cottage pie and gravy were served concurrently; patients were asked to consume ad libitum and intake was measured. RESULTS: Taste enhanced meat was significantly preferred (P = 0.001). Although mean consumption was higher for the enhanced compared to control meal (137 g versus 119 g), with higher levels of energy (103 kcal versus 82 kcal) and protein (4.6 g versus 3.4 g) consumed; differences were not significant. CONCLUSIONS: Natural ingredients rich in umami taste compounds can successfully be used to increase preference of meat based meals by older hospital patients. Larger trials are needed to determine whether such increases in preference can significantly increase consumption.

Efficacy of increased resistant starch consumption in human type 2 diabetes

Resistant starch (RS) has been shown to beneficially affect insulin sensitivity in healthy individuals and those with metabolic syndrome, but its effects on human type 2 diabetes (T2DM) are unknown. This study aimed to determine the effects of increased RS consumption on insulin sensitivity and glucose control and changes in postprandial metabolites and body fat in T2DM. Seventeen individuals with well-controlled T2DM (HbA1c 46.6±2 mmol/mol) consumed, in a random order, either 40 g of type 2 RS (HAM-RS2) or a placebo, daily for 12 weeks with a 12-week washout period in between. At the end of each intervention period, participants attended for three metabolic investigations: a two-step euglycemic–hyperinsulinemic clamp combined with an infusion of [6,6-2H2] glucose, a meal tolerance test (MTT) with arterio-venous sampling across the forearm, and whole-body imaging. HAM-RS2 resulted in significantly lower postprandial glucose concentrations (P=0.045) and a trend for greater glucose uptake across the forearm muscle (P=0.077); however, there was no effect of HAM-RS2 on hepatic or peripheral insulin sensitivity, or on HbA1c. Fasting non-esterified fatty acid (NEFA) concentrations were significantly lower (P=0.004) and NEFA suppression was greater during the clamp with HAM-RS2 (P=0.001). Fasting triglyceride (TG) concentrations and soleus intramuscular TG concentrations were significantly higher following the consumption of HAM-RS2 (P=0.039 and P=0.027 respectively). Although fasting GLP1 concentrations were significantly lower following HAM-RS2 consumption (P=0.049), postprandial GLP1 excursions during the MTT were significantly greater (P=0.009). HAM-RS2 did not improve tissue insulin sensitivity in well-controlled T2DM, but demonstrated beneficial effects on meal handling, possibly due to higher postprandial GLP1.

Activities related with electricity consumption in the Spanish residential sector: variations between days of the week, Autonomous Communities and size of towns

Nowadays the electricity consumption in the residential sector attracts policy and research efforts, in order to propose saving strategies and to attain a better balance between production and consumption, by integrating renewable energy production and proposing suitable demand side management methods. To achieve these objectives it is essential to have real information about household electricity demand profiles in dwellings, highly correlated, among other aspects, with the active occupancy of the homes and to the personal activities carried out in homes by their occupants. Due to the limited information related to these aspects, in this paper, behavioral factors of the Spanish household residents, related to the electricity consumption, have been determined and analyzed, based on data from the Spanish Time Use Surveys, differentiating among the Autonomous Communities and the size of municipalities, or the type of days, weekdays or weekends. Activities involving a larger number of houses are those related to Personal Care, Food Preparation and Washing Dishes. The activity of greater realization at homes is Watching TV, which together with Using PC, results in a high energy demand in an aggregate level. Results obtained enable identify prospective targets for load control and for efficiency energy reduction recommendations to residential consumers.

Agricultural commodity markets : reference point for the real value of a currency

Using monthly time-series data 1999-2013, the paper shows that markets for agricultural commodities provide a yardstick for real purchasing power, and thus a reference point for the real value of fiat currencies. The daily need for each adult to consume about 2800 food calories is universal; data from FAO food balance sheets confirm that the world basket of food consumed daily is non-volatile in comparison to the volatility of currency exchange rates, and so the replacement cost of food consumed provides a consistent indicator of economic value. Food commodities are storable for short periods, but ultimately perishable, and this exerts continual pressure for markets to clear in the short term; moreover, food calories can be obtained from a very large range of foodstuffs, and so most households are able to use arbitrage to select a near optimal weighting of quantities purchased. The paper proposes an original method to enable a standard of value to be established, definable in physical units on the basis of actual worldwide consumption of food goods, with an illustration of the method.

Milk: white elixir or white poison? An examination of the associations between dairy consumption and disease in human subjects

Implications Overall, milk consumption provides health benefits to all age groups. Effects of cheese, butter, and fat-reduced and saturated fat-reduced milk and dairy products are less clear and require more research. Public health nutrition policy related to milk consumption should be based on the evidence presented and not solely on the believed negative effects of dietary fat. Milk is not a white elixir since no study has reported eternal youth from drinking it, but there is certainly no evidence that milk is a white poison!