Intraday volatility interaction between the crude oil and equity markets

This paper investigates the price volatility interaction between the crude oil and equity markets in the US using 5-min data over the period 2009-2012. Our main findings can be summarised as follows. First, we find strong evidence to demonstrate that the integration of the bid-ask spread and trading volume factors leads to a better performance in predicting price volatility. Second, trading information, such as bid-ask spread, trading volume, and the price volatility from cross-markets, improves the price volatility predictability for both in-sample and out-of-sample analyses. Third, the trading strategy based on the predictive regression model that includes trading information from both markets provides significant utility gains to mean-variance investors.

Establishing insurance markets in settler economies. a comparison of Australian and South Africa insurance markets, 1820-1910

How did insurance markets in the settler economies of Australia and South Africa develop? This paper investigates the establishment of the local insurance industries in two settler economies in the wake of the absence of comparative studies in the emergence of insurance markets in the periphery. The paper compares conditions in these settler economies and notes the innovative role of local entrepreneurs. British insurance companies extended operations into the British colonies, but local interests emerged to challenge their dominance. Innovations in organisational form, product offerings and distribution channels afforded local entrepreneurs a competitive advantage in the life market. Collusion in the fire market restricted innovative practices and retained foreign control. This article explains the agency of local entrepreneurs in the emergence of insurance markets in two settler societies at the end of the nineteenth century. This historical development path has notable implications for the current development of insurance markets in Africa.

Competitive and cooperative behavior in embedded markets: developing an institutional perspective on bazaars

In an ethnographic study of a retail setting, we examine relationships among competitors. We find that competitors often emphasize various forms of cooperation, and we describe socio-economic behaviors that illustrate how cooperation transcends or mediates competition among retailers. Retailers selectively cooperate and compete for customers in ways that alter our understandings of concepts such as loyalty and market stability, and practices such as marketing communications and pricing. We highlight the significance of these institutional practices and the role they play in forming and maintaining community in a bazaar.

Embedded markets, communities, and the invisible hand of social norms

The authors'ethnographic work on social norms is intended to unravel the noninstrumental core of embedded markets. In offering a theory of “the invisible hand of social norms,” the authors show that consumer and seller behavior have expressive, moral, and emotional underpinnings that cannot be understood without a broader conceptualization of human motives and actions. This ethnography provides a rich understanding of the role of community and the behavioral dimensions of markets, which in turn helps deconstruct the current axiomatic treatment of transaction-centric markets and to reconstruct the market as a socially embedded institution in which community ties are formed and sustained.

The political economy of markets and development: a case study of health care consumption in the State of Kerala, India

Marketing theory has largely ignored the issue of power in influencing exchanges. Most of the studies either disregard the role of power, or resource power is the only dimension taken into account. In this study, we expand the existing understanding by centrally situating the role of socio-political power in the consumption process. We examine the health care system in the Indian state of Kerala and highlight that socio-political power is a crucial determinant of consumption levels. In the process, we argue that in a resource—constrained Third World society socio-political empowerment is critical to the development process.

Investment banks' entry into new IPO markets and IPO underpricing

We examine the relationship between investment banks' initial public offering (IPO) market shares and their prior IPO underpricing in the new IPO market for China-based companies on the Hong Kong Stock Exchange. To gain expertise in Chinese business practices, investment banks have the incentive to obtain business in this new IPO market by providing high offer prices to the issuer, leading to less underpricing and less money on the table. We hypothesize and find that the less an investment bank underprices Chinabased company IPOs, the greater its subsequent market share of China-based company IPOs in the Hong Kong Stock Exchange. Furthermore, this relationship is driven by a bank's initial China-based company IPO deals. These results suggest that in new IPO markets, investment banks' initial market shares, obtained through lower underpricing, help them grow their market shares in later periods, possibly through the expertise gained in the initial business.

Corporate capital structure revisited: incomplete markets and default

After Modigliani and Miller (1958) presented their capital structure irrelevance proposition, analysis of corporate Önancing choices involving debt and equity instruments have generally followed two trends in the literature, where models either incorporate informational asymmetries or introduce tax beneÖts in order to explain optimal capital structure determination (Myers, 2002). None of these features is present in this paper, which develops an asset pricing model with the purpose of providing a positive theory of corporate capital structure by replicating main aspects of standard contractual practice observed in real markets. Alternatively, the imperfect market structure of the economy is tailored to match what is most common in corporate reality. Allowance for default on corporate debt with an associated penalty of seizure of Örmís future cash áows by creditors is introduced, for instance. In this context, a qualitative assessment of Önancial managersídecisions is carried out through numerical procedures.

Are price limits on futures markets that cool? evidence from the brazilian merchantile & futures exchange

This paper investigates the impact of price limits on the Brazil- ian future markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. Our main finding is that price limits drive back prices as they approach the lower limit. There is a strong cool-off effect of the lower limit on the conditional mean, whereas the upper limit seems to entail a weak magnet effect on the conditional variance. We then build a trading strategy that accounts for the cool-off effect so as to demonstrate that the latter has not only statistical, but also economic signifi- cance. The resulting Sharpe ratio indeed is way superior to the buy-and-hold benchmarks we consider.

Antecipação do movimento do preço da commodity aço em contratos a preço firme no mercado de engenharia industrial no Brasil

Nesta Tese foram apresentadas algumas alternativas de antecipação do preço futuro do aço a partir do emprego de modelos econométricos. Estes modelos foram definidos em função da análise do comportamento, no longo prazo, entre as séries de preços do aço no Brasil vis-à-vis seus respectivos preços no exterior. A verificação deste comportamento de longo prazo foi realizada através do teste de cointegração. A partir da constatação da não cointegração dessas séries, foram definidos dois modelos, cujas previsões, para diversos períodos, foram aqui apresentadas. Foi feita uma análise comparativa, onde foram identificados o melhor modelo e para quais temporalidades de previsão são melhor empregados. Como foi aqui comprovado, o aço é um insumo primordial nos empreendimentos industriais. Considerando que, atualmente, os preços são demandados de forma firme, ou seja, sem possibilidade de alteração, faz-se necessária a identificação de mecanismos de antecipação dos movimentos futuros desta commodity, de modo que se possa considerá-los na definição do preço ofertado, reduzindo assim perdas por suas flutuações inesperadas.