Time-varying hedge ratios: an application to the Indian stock futures market

This paper investigates time-varying optimal hedge ratios in individual stock futures markets in India. The analysis employs data on individual stock futures from an unexplored but highly traded (both in terms of volume and quantity) emerging market. The hedge ratios derived in this study incorporate mean reversion in volatility, which is an important extension of the bivariate BEKK-GARCH model of Engle and Kroner. This extension generates improved optimal hedge ratios over the traditional BEKK-GARCH model and static error correction type alternatives.

Accountability and board functionality: National Australia Bank's experience

The National Australia Bank’s (NAB) experience of corporate governance has been contrary to current standards of good corporate governance, accountability and risk management. Over the last few years NAB’s misadventures have brought it under intensive media scrutiny with the HomeSide losses and the investigation by the Securities and Exchange Commission in the USA for breaches of auditor independence. More recently the unauthorised trading by its foreign exchange dealers violated NABs risk management practices and the subsequent board crisis resulted in significant downgrading of the share price on the Australian Stock Exchange (ASX). This paper briefly reviews the international history of corporate accountability and its growth in Australia. The increasing shareholder and legislative pressure to improve sustainability, accountability and board functionality have driven these issues to the forefront of Governing Boards’ agendas worldwide. The board remains ultimately responsible for all actions of the company and this is highlighted by APRA’s recent release of the new governance standard APG510 for implementation by October 2006. The impact of NAB’s board dysfunction on its overall performance is compared with the other major banks in Australia. Cost efficiency ratios, share price and total shareholder return are used as measures of performance and profitability. It is clear, from NAB’s recent experience, as the worst performer of all the majors, with a 19.7% fall in net profit and a cost to income ratio of 57.4% in 2004, that the NAB board needs to improve its performance and accountability to meet a sustainable increase in profitability and higher return for investors.

The culture-based fisheries in small, farmer-managed reservoirs in two provinces of northern Vietnam: an evaluation based on three production cycles

In this paper the results of a study conducted on the culture-based fisheries in small (ranging from 2 to 160 ha), farmer-managed reservoirs in YenBai and ThaiNguyen Provinces in the northern highland region of Vietnam, for the production cycles of 1997/98, 98/99 and 99/00 are presented. The small reservoirs are leased to small farmers by the provincial authorities for fishery activities, and all lessees adopt culture-based fisheries when fingerlings of grass carp (Ctenopharyngodon idella), silver carp (Hypophthalmichthys molitrix), bighead carp (Aristichthys nobilis), common carp (Cyprinus carpio) and mrigal (Cirrihinus mrigala) are stocked between March and mid-April each year and harvested, using large seine nets, after approximately 11-12 months. The mean yields from reservoirs in YenBai and ThaiNguyen Provinces in 97/98, 98/99 and 99/00 production cycles were 251, 332 and 253, and 331, 372 and 210 kg ha⁻¹ respectively. There were major differences in the fish productivity in the reservoirs in the two Provinces, and in a reservoir between culture cycles. The stocking strategies appeared to be rather ad hoc, being determined by the availability of seed stock and the financial status of the lessees. Accordingly, there was no apparent consistent trend in the improvement of yields from the culture-based fishery practice throughout the growth cycles. The fish yields in reservoirs in each Province were significantly related to reservoir area (exponentially) and to mean weight of stocked fish and conductivity (logarithmically). Of the stocked fish, the highest returns were obtained with mrigal and bighead carp, which collectively contributed > 50% to the harvest. The return from common carp was the lowest. The mean growth rate of grass carp (2.7 g day⁻¹), followed by bighead carp (2.0 g day⁻¹) was the highest in reservoirs in YenBai Province, bighead carp (4.0 g day⁻¹) followed by grass carp (3.2 g day⁻¹) was the highest in ThaiNguyen Province. The seed stocked on average accounted for 65% and 48% of the total operating costs in YenBai and ThaiNguyen Provinces, and the mean cost:benefit ratio of the culture-based fishery in the two Provinces was 0.35 and 0.37 respectively. The culture-based fishery on average contributed about 28% to the gross income of a farmer lessee.

Time varying hedge ratios : an application to the Indian stock futures market

This paper investigates time-varying optimal hedge ratios in individual stock futures markets in India. The analysis employs data on individual stock futures from an unexplored but highly traded (both in terms of volume and quantity) emerging market. The hedge ratios derived in this study incorporate mean reversion in volatility, which is an important extension of the bivariate BEKK-GARCH model of Engle and Kroner. This extension generates improved optimal hedge ratios over the traditional BEKK-GARCH model and static error correction type alternatives.

Diaspora, return and migrant architectures

Nearly all discourses on migration (to my knowledge) emphasise that the migrant is not so much a traveller, but a figure oriented towards settlement and a particular destination. Discourses on migration have attended more to the process and site of ‘arrival’, and few studies have focused on the process and site of ‘departure’. However, central to the thesis of this paper would be the testimony of two migrant houses – one in the city of  immigration (Melbourne, Australia), and the other in the village of emigration (Zavoj in Macedonia). The focus will be on the Zavoj house as a significant house, a house that points to a thesis about how architecture makes explicit other processes of migration, namely that of ‘return’. Here there are several intertwined communities and nations, and also different notions of community and nation. It has been noted that ‘diaspora’ is constituted through longer distances, severe separation, and a taboo on return. And yet implicit in many more ‘autobiographical’ accounts is that one only leaves with a promise to return. The conflict and question of ‘return’ is at the centre of the migrant’s imaginary. A study of the two houses of migration implicates a set of networks, forces, relations, circumscribing a much larger global geopolitical and cultural field that questions our understandings of diaspora, the currency of transnationalism, the binary structure of dwelling/travelling, and the fabric and fabrication of community. But the study goes inwards and underneath as well through the figure of the migrant, the figure through which the two migrant houses are deeply associated. The paper will explore the subjective nature of the thesis, the idea of a ‘migrant house’ as an imaginary architecture, a psychic geography, an imaginary community and sense of nationhood.

Mean reversion in stock prices: new evidence from panel unit root tests

Purpose – There are several studies that investigate evidence for mean reversion in stock prices. However, there is no consensus as to whether stock prices are mean reverting or random walk (unit root) processes. The goal of this paper is to re-examine mean reversion in stock prices.
Design/methodology/approach – The authors use five different panel unit root tests, namely the Im, Pesaran and Shin t-bar test statistic, the Levin and Lin test, the Im, Lee, and Tieslau Lagrangian multiplier test statistic, the seemingly unrelated regression test, and the multivariate augmented Dickey Fuller test advocated by Taylor and Sarno.
Findings – The main finding is that there is no mean reversion of stock prices, consistent with the efficient market hypothesis.
Research limitations/implications – One issue not considered by this study is the role of structural breaks. It may be the case that the efficient market hypothesis is contingent on structural breaks in stock prices. Future studies should model structural breaks.
Practical implications – The findings have implications for econometric modelling, in particular forecasting.
Originality/value – This paper adds to the scarce literature on the mean reverting property of stock prices based on panel data; thus, it should be useful for researchers.

How much physical activity is enough to prevent unhealthy weight gain? Outcome of the IASO 1st Stock Conference and consensus statement

A consensus meeting was held in Bangkok, 21–23 May 2002, where experts and young scientists in the field of physical activity, energy expenditure and bodyweight regulation discussed the different aspects of physical activity in relation to the emerging problem of obesity worldwide. The following consensus statement was accepted unanimously.
‘The current physical activity guideline for adults of 30 minutes of moderate
intensity activity daily, preferably all days of the week, is of importance for
limiting health risks for a number of chronic diseases including coronary heart disease and diabetes. However for preventing weight gain or regain this guideline is likely to be insufficient for many individuals in the current environment. There is compelling evidence that prevention of weight regain in formerly obese individuals requires 60–90 minutes of moderate intensity activity or lesser amounts of vigorous intensity activity. Although definitive data are lacking, it seems likely that moderate intensity activity of approximately 45 to 60 minutes per day, or 1.7 PAL (Physical Activity Level) is required to prevent the transition to overweight or obesity. For children, even more activity time is recommended. A good approach for many individuals to obtain the recommended level of physical activity is to reduce sedentary behaviour by incorporating more incidental and leisure-time activity into the daily routine. Political action is imperative
to effect physical and social environmental changes to enable and encourage physical activity. Settings in which these environmental changes can be implemented include the urban and transportation infrastructure, schools, and workplaces.’

Stock Markets and Household Wealth: Can a Stock Market Crash Cause a Recession in The U.S. Economy?

Stock market wealth effects on the level of consumption in the United States economy have been constantly debated; there is evidence for arguments for and against its prominence and its symmetry. This paper seeks to investigate the strength of its negative effect by creating models to analyze unexpected shocks to the Standard and Poor's 500 index. First, a transmission mechanism between the stock market and GDP is established through the use of second-order vector autoregressive models. Following which, theory from the life cycle model and adaptations of previous researchers' models are used to create a structural model. This paper finds that stock market wealth effects are small, but important to consider, especially if markets are overpriced; this claim is corroborated by evidence from simulation of 'alternative scenarios' and the historical experiences of 1987 and 2001.

Merger announcements and insider trading activity in India: an empirical investigation

Insider trading activity is investigated prior to merger announcement in Indian capital market. An attempt is made to check it out whether trading takes place on the basis of asymmetric and private information. For examining the behaviour of stock prices a modified market model is used to estimate the parameters for the estimation window. These estimates are used to compute average return and cumulative average returns for the event window, which are measures of abnormal returns. Besides price run-ups, it is also common to see unusually high levels of share trading volume before public announcement of merger. Daily trading volume pattern of the target companies is also investigated. The analysis carried out in this study is based on a sample of 42 companies for which merger announcement date was announced during the period of 1996-1999. Based on the analysis for each company individually, we recommend investigation in six companies for existence of possible insider trading.

Dynamic interdependence and volatility transmission of Asian stock markets: evidence from the Asian crisis

This paper examines dynamic interdependence, volatility transmission, and market integration across selected stock markets during the Asian financial crisis periods 1997 and 1998. Using a vector autoregressive–exponential generalized autoregressive conditional heteroskedasticity (VAR-EGARCH) model, it is found that reciprocal volatility transmission existed between Hong Kong and Korea, and unidirectional volatility transmission from Korea to Thailand. This suggests that Hong Kong played a significant role in volatility transmission to the other Asian markets. The data also indicate market integration in that each market reacted to both local news and news originating in the other markets, particularly adverse news.

A review of stock enhancement practices in the inland water fisheries of Asia

Inland fisheries contribute only about ten percent to global fish production. Asia is the leading producer of inland fish, accounting for over 80 percent of the total production. Until recently, the inland fisheries sector had taken back stage in fisheries development plans, particularly so, given the emphasis being placed on aquaculture development throughout the world, including Asia. This report evaluates the inland fishery practices in a number of Asian countries according to habitat type, role in overall foodfish supplies and development trends. Special emphasis is laid on stock enhancement in inland fisheries in Asia, and only those fisheries in which some form of stock enhancement is practised are considered in this report.

In Asia, inland fisheries are mostly rural, artisanal activities catering to rural populations and providing an affordable source of animal protein, employment and household income. Stock enhancement is an integral component of many inland fisheries. With recent developments in
artificial propagation techniques for fast-growing and desirable fish species and the consequent increased availability of seed stock, such activities are beginning to affect inland fishery production in most Asian countries. Indeed, new avenues of production such as culture-based fisheries are increasingly adopted and seen as a way forward in most countries. Inland fishery activities also have a distinct advantage in that their development is usually less resource intensive than is aquaculture.

The economic viability of stock enhancement of large lacustrine waterbodies and rivers has not been demonstrated in any of the Asian countries, the fisheries of such waterbodies being dependent on naturally recruited stocks. The most successful stock enhancements in Asia are in floodplain beels and oxbow lakes in Bangladesh where the use of small waterbodies that are not capable of supporting natural fisheries has led to culture-based fisheries having stock and recapture rates that are very high. Culture-based fisheries are not resource intensive and are community-based activities. However, their success requires major institutional changes, and these are affected by national and local governments. In general, they can be considered to have the greatest potential for further development.

A major concern related to stock enhancements in inland waters is their possible effects on biodiversity. This is for two reasons: firstly, most countries depend wholly or partially on exotic species for stock enhancement and secondly, freshwater fishes are known to be among the most threatened of vertebrates. Major studies should be undertaken to evaluate the current situation so that remedial steps can be taken, if needed, without causing serious harm to some of the stock enhancement practices that are gaining momentum.