Interday and intraday volatility: additional evidence from the Shanghai Stock Exchange

After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found that the open-to-open return variance is consistently greater than the close-to-close variance. Examining the volatility of interday returns and variance ratio tests with five-minute intervals reveals an L-shaped pattern, or more precisely, two L-shaped patterns, starting with a small hump during both the morning and the afternoon sessions, with the morning session having a much higher interday volatility than the afternoon session. This L -shaped interday volatility is supported by the similarly shaped intraday volatility pattern. This result suggests that the high volatility of intraday returns for the market open is not entirely due to the trading mechanisms (call auction in the market opening) but also due to both the accumulated overnight information and the trading halt effect. The five-minute breaks after the auction and blind auction procedures are the two major driving forces which exaggerate the high intraday volatility observed at the market open.

Are Chinese stock markets increasing integration with other markets in the greater China region and other major markets?

This paper investigates the cointegrating and long-term causal relationships between the Shanghai A and B-share market, and between these two markets and the Hong Kong, the Taiwanese, the Japanese and the US market of two sub periods between July 1993 and March 2007. On the basis of a new Granger non-causality test procedure developed by Toda-Yamamoto (1995) and Johansen’s (1988) cointegration test, my results suggest that a long-term equilibrium relationship measured by cointegration has been merged between
the Chinese A-share market and the other markets in greater China region as well as the US market during the post-crisis period which covers the period since Chinese A-share market was opened to the Qualified Foreign Institutional Investors (QFII) in 2002. I also found that the Shanghai A-share market uni-directionally Granger-causes the other regional markets after the Asian financial crisis, while the A-share market and Hong Kong H-share market have had a significant feedback relationship since then. However, I found no evidence there has been cointegrating relationship between Shanghai B-share market and any other market ever since the B-share market was opened to the local retail investors in 2001.

Are Indian stock returns predictable?

In this paper we show that Indian stock returns, based on industry portfolios, portfolios sorted on book-to-market, and on size, are predictable. While we discover that this predictability holds both in in-sample and out-of-sample tests, predictability is not homogenous. Some predictors are important than others and some industries and portfolios of stocks are more predictable and, therefore, more profitable than others. We also discover that a mean combination forecast approach delivers significant out-of-sample performance. Our results survive a battery of robustness tests.

Agriculture, trade openness and emissions: an empirical analysis and policy options

This article investigates the impact of sectoral production allocation, energy usage patterns and trade openness on pollutant emissions in a panel consisting of high-, medium- and low-income countries. Extended STIRPAT (Stochastic Impact by Regression on Population, Affluence and Technology) and EKC (Environmental Kuznets Curve) models are conducted to systematically identify these factors driving CO2 emissions in these countries during the period 1980–2010. To this end, the studyemploys three different heterogeneous, dynamic mean group-type linear panel modelsand one nonlinear panel data estimation procedure that allows for cross-sectionaldependence. While affluence, nonrenewable energy consumption and energy intensity variables are found to drive pollutant emissions in linear models, population is also found to be a significant driver in the nonlinear model. Both service sector and agricultural value-added levels play a significant role in reducing pollution levels, whereas industrialisation increases pollution levels. Although the linear model fails totrack any significant impact of trade openness, the nonlinear model finds trade liberalisation to significantly affect emission reduction levels. All of these results suggest that economic development, and especially industrialisation strategies and environmental policies, need to be coordinated to play a greater role in emission reduction due to trade liberalisation.

The impact of mandatory versus voluntary auditor switches on stock liquidity: some Korean evidence

Using Korean listed firms subject to the auditor "designation rule", this paper shows that (1) firms that switch auditors exhibit lower stock liquidity than firms that do not switch auditors, and (2) the negative liquidity effect of auditor switches is concentrated in firms that switch to low-quality auditors. Meanwhile, firms that switch auditors under the auditor designation system do not exhibit lower stock liquidity, consistent with audit designation mitigating the concerns about audit quality deterioration around auditor changes. Furthermore, we find that foreign ownership has a mitigating impact on the negative relation between auditor switches and stock liquidity, suggesting that investors are less concerned about auditor switches when an alternative monitoring mechanism exists.

Asymmetric risk and return: evidence from the Australian Stock Exchange

This paper examines volatility asymmetry in a financial market using a stochastic volatility framework. We use the MCMC method for model estimations. There is evidence of volatility asymmetry in the data. Our asymmetric stochastic volatility in mean model, which nests both asymmetric stochastic volatility (ASV) and stochastic volatility in mean models (SVM), indicates ASV sufficiently captures the risk-return relationship; therefore, augmenting it with volatility in mean does not improve its performance. ASV fits the data better and yields more accurate out-of-sample forecasts than alternatives. We also demonstrate that asymmetry mainly emanates from the systematic parts of returns. As a result, it is more pronounced at the market level and the volatility feedback effect dominates the leverage effect.

Perks and the informativeness of stock prices in the Chinese market

While the literature shows that perks can affect firm values positively or negatively, we argue that firms with higher perks are more likely to be associated with a lower quality of financial reporting, which, in turn, can affect the informativeness of stock prices. Based on hand-collected data on perks from Chinese listed firms, we find that firms with lower perks are associated with higher informativeness of stock prices (or lower R-square). Moreover, the positive association between perks and R-square is shown to be weaker for firms with higher financial reporting quality through audit and earnings quality measures.

Does board gender diversity improve the informativeness of stock prices?

We show that stock prices of firms with gender-diverse boards reflect more firm-specific information after controlling for corporate governance, earnings quality, institutional ownership and acquisition activity. Further, we show that the relationship is stronger for firms with weak corporate governance suggesting that gender-diverse boards could act as a substitute mechanism for corporate governance that would be otherwise weak. The results are robust to alternative specifications of informativeness and gender diversity and to sensitivity tests controlling for time-invariant firm characteristics and alternative measures of stock price informativeness. We also find that gender diversity improves stock price informativeness through the mechanism of increased public disclosure in large firms and by encouraging private information collection in small firms. © 2011 Elsevier B.V.

The impact on family functioning of social media use by depressed adolescents: a qualitative analysis of the family options study

BACKGROUND: Adolescent depression is a prevalent mental health problem, which can have a major impact on family cohesion. In such circumstances, excessive use of the Internet by adolescents may exacerbate family conflict and lack of cohesion. The current study aims to explore these patterns within an intervention study for depressed adolescents.

METHOD: The current study draws upon data collected from parents within the family options randomized controlled trial that examined family based interventions for adolescent depression (12-18 years old) in Melbourne, Australia (2012-2014). Inclusion in the trial required adolescents to meet diagnostic criteria for a major depressive disorder via the Structured Clinical Interview for DSM-IV Childhood Disorders. The transcripts of sessions were examined using qualitative thematic analysis. The transcribed sessions consisted of 56 h of recordings in total from 39 parents who took part in the interventions.

RESULTS: The thematic analysis explored parental perceptions of their adolescent's use of social media (SM) and access to Internet content, focusing on the possible relationship between adolescent Internet use and the adolescent's depressive disorder. Two overarching themes emerged as follows: the sense of loss of parental control over the family environment and parents' perceived inability to protect their adolescent from material encountered on the Internet and social interactions via SM.

CONCLUSION: Parents within the context of family based treatments felt that prolonged exposure to SM exposed their already vulnerable child to additional stressors and risks. The thematic analysis uncovered a sense of parental despair and lack of control, which is consistent with their perception of SM and the Internet as relentless and threatening to their parental authority and family cohesion.

Prioritizing climate change adaptation options for iconic marine species

© 2015, Springer Science+Business Media Dordrecht. Adaptation options in response to climate impact scenarios for marine mammals and seabirds were developed based on the IPCC vulnerability framework. Under this framework, vulnerability to the physical effects of climate change can be reduced by adaptation options that reduce exposure of individuals, reduce the sensitivity of individuals, and increase the adaptive capacity of individual/species to cope with climate change. We evaluated options in each vulnerability category with three screening tools collectively forming an approach we term sequential adaptation prioritization for species. These tools were designed to evaluate (i) technical aspects (cost-benefit-risk, CBR), (ii) institutional barriers, and (iii) potential social acceptability. The CBR tool identified which adaptation options were high cost and low benefit, might be discarded, and which were high benefit and low cost, might be rapidly implemented (depending on risk). Low cost and low benefit options might not be pursued, while those that are high cost, but high benefit deserve further attention. Even with technical merit, adaptation options can fail because of institutional problems with implementation. The second evaluation tool, based on the conceptual framework on barriers to effective climate adaptation, identifies where barriers may exist, and leads to strategies for overcoming them. Finally, adaptation options may not be acceptable to society at large, or resisted by vocal opponents or groups. The social acceptability tool identifies potentially contested options, which may be useful to managers charged with implementing adaptation options. Social acceptability, as scored by experts, differed from acceptability scored by the public, indicating the need to involve the public in assessing this aspect. Scores from each tool for each scenario can be combined to rank the suite of adaptation options. This approach provides useful tools to assist conservation managers in selecting from a wide range of adaptation strategies; the methodology is also applicable to other conservation sectors.

Methods to prioritise adaptation options for iconic seabirds and marine mammals impacted by climate change

Climate change is already impacting a wide range of marine species around Australia. Australia has a large number of marine mammals and seabirds, particularly when Australian Antarctic and Southern Ocean species are included: 110 species of seabird and 52 species of marine mammal. These iconic species are protected throughout Australia and in some cases are recovering from previous anthropogenic impacts including harvest. The first tool we developed is a simple 'cost-benefit- risk' (CBR) screening tool to evaluate each scenario-specific adaptation option against a number of semi-quantitative attributes. Awareness and identification of potentially contested options would be useful to managers charged with implementing adaptation options. Following on from specific application, testing some of the adaptation options in limited field trials would be a useful next step, further building the experience of researchers and managers charged with securing the status of these iconic species in the future.

A random coefficient approach to the predictability of stock returns in panels

© The Author, 2014. Most studies of the predictability of returns are based on time series data, and whenever panel data are used, the testing is almost always conducted in an unrestricted unit-by-unit fashion, which makes for a very heavy parametrization of the model. On the other hand, the few panel tests that exist are too restrictive in the sense that they are based on homogeneity assumptions that might not be true. As a response to this, the current study proposes new predictability tests in the context of a random coefficient panel data model, in which the null of no predictability corresponds to the joint restriction that the predictive slope has zero mean and variance. The tests are applied to a large panel of stocks listed at the New York Stock Exchange. The results suggest that while the predictive slopes tend to average to zero, in case of book-to-market and cash flow-to-price the variance of the slopes is positive, which we take as evidence of predictability.

Aggregate volatility risk and the cross-section of stock returns: Australian evidence

This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia. We use a stock's sensitivity to innovations in the ASX200 implied volatility (VIX) as a proxy for aggregate volatility risk. Consistent with theoretical predictions, aggregate volatility risk is negatively related to the cross-section of stock returns only when market volatility is rising. The asymmetric volatility effect is persistent throughout the sample period and is robust after controlling for size, book-to-market, momentum, and liquidity issues. There is some evidence that aggregate volatility risk is a priced factor, especially in months with increasing market volatility.

Latency reduction and market quality: the case of the Australian Stock Exchange

This study investigates the role of latency in market quality in the Australia Securities Exchange following the introduction of the Integrated Trading Platform (ITS) and ASXTrade. We find that the reduction in system latency from 70. ms to 30. ms (ITS) improved liquidity. However, the lower latency has not had a long-lasting downward effect on spreads, as there was no discernible reduction in trading costs when institutional traders already had access to lower-latency co-locations. We contribute to the literature by reporting that low latency improves market liquidity, but privileged participants that have access to trading information prior to others may induce greater information asymmetry and adverse selection.