patent protection in developing countries and global welfare wto obligations versus flexibilities abstract this paper develops a north south model to evaluate the south s incentive for patent protection when a northern firm s investment in quality enhancing research and development r d is affected by its patent policy the model is used to a evaluate the impact of requiring the south to fulfill its key wto obligation of instituting patent protection and b to address the role of two major flexibilities that wto members enjoy with respect to their patent policies the freedom to implement exhaustion policies of their choosing and the right to use compulsory licensing cl subject to certain stipulations two forces drive the model how much the firm invests in r d and whether or not selling in the south maximizes its global profit cl improves consumer access in the south and can even raise innovation and global welfare provided the south implements patent protection innovation and welfare are higher if the north follows national as opposed to international exhaustion however the south s incentive for patent protection is not necessarily stronger under national exhaustion not only is cl more likely to be used under international exhaustion the welfare gain resulting from its application is also higher relative to that under national exhaustion

after hours stock prices and post crash hangovers after hours pricing in foreign equity markets of multiple listed u s securities appeared to be efficient in predicting new york prices in the weeks immediately following the october 1987 crash but relatively uninformative in succeeding months by contrast daily changes in new york prices appear to be efficiently incorporated in after hours trading on both the tokyo and london exchanges throughout the sample period this paper suggests that the asymmetry and temporal variations in cross market correlations are consistent with rational investor behavior in equity markets with nonzero transaction costs and time varying share price volatility in the wake of the october 1987 crash a number of studies have provided evidence of significant international linkages among national equity markets where high frequency movements in the share price indices of national exchanges appear to induce sympathetic price movements in subsequent trading on other national exchanges however the cross market correlations are generally much larger in periods of extreme volatility and appear to subside to modest or even negligible associations during periods of more normal trading activity since the constituent stocks of national exchange indices are not identical it may be that the episodic increases in correlated movements of the indices are due to changes in the actual or perceived relative importance of common factors in periods of unusual volatility the thrust of this paper is to remove the issue of the disparate composition of the price indices of national exchanges by examining the prices of a set of

trading patterns and prices in the interbank foreign exchange market the behavior of quote arrivals and bid ask spreads is examined for continuously recorded deutsche mark dollar exchange rate data over time across locations and by market participants a pattern in the intraday spread and intensity of market activity over time is uncovered and related to theories of trading patterns models for the conditional mean and variance of returns and bid ask spreads indicate volatility clustering at high frequencies the proposition that trading intensity has an independent effect on returns volatility is rejected but holds for spread volatility conditional returns volatility is increasing in the size of the spread there is a growing body of theoretical studies on the pattern of trading activity in financial markets with implications for the time series behavior of transactions prices and intensity of trading the empirical literature addressing similar concerns using intraday market data appropriate for such tasks is sparse particularly in the area of the trading of currencies the purpose of this paper is to examine both international patterns of intraday trading activity and the time series properties of returns and bid ask spreads for the deutsche mark dollar exchange rate in the interbank foreign exchange market the goal is to provide information useful in the further development of market microstructure models of trading and to compare empirical findings against theoretical results already in existence the foreign exchange market is in operation twenty four hours a day seven

one security many markets determining the contributions to price discovery when homogeneous or closely linked securities trade in multiple markets it is often of interest to determine where price discovery the incorporation of new information occurs this article suggests an econometric approach based on an implicit unobservable efficient price common to all markets the information share associated with a particular market is defined as the proportional contribution of that market s innovations to the innovation in the common efficient price applied to quotes for the thirty dow stocks the technique suggests that the preponderance of the price discovery takes place at the new york stock exchange nyse a median 92 7 percent information share although most of the classic paradigms in market microstructure concern a security that trades in a single centralized market such situations are becoming increasingly rare in practice fragmentation the dispersal of trading in a security to multiple sites has emerged as a dominant institutional trend this process is of concern to financial economists and regulators because price information and price discovery the impounding of new information into the security price arguably the most important products of a security market have many attributes of public goods as the process of fragmentation accelerates it may be important to determine where the price information and price discovery are being produced 1 this paper suggests a practical econometric approach to this problem the technique is illustrated with an application to u s equity markets many stocks listed on the new york stock exchange nyse trade concurrently on the regional exchanges and the national association of securities dealers national market system nasd nms since a share of ibm stock is the same security whether purchased on the midwest or pacific exchange this is a particularly clear instance of multiple markets nevertheless the expres

equilibrium parallel import policies and international market structure in a north south vertically differentiated duopoly the analysis in this paper derives equilibrium government policies towards parallel imports by incorporating strategic interaction at the policy setting stage and the product market the model sheds new light on i the effects of parallel import policies on pricing behavior of firms and ii the interdependence of national parallel import policies if demand asymmetry across countries is sufficiently large the north forbids parallel imports to ensure its firm sells in the south thereby generating international price discrimination the south s most preferred market outcome as the equilibrium when demand structures are relatively similar across countries the north permits parallel imports and uniform pricing its most preferred market outcome obtains

trading and pricing in upstairs and downstairs stock markets we provide empirical evidence on the economic benefits of negotiating trades in the upstairs trading room of brokerage firms relative to the downstairs market using helsinki stock exchange data we find that upstairs trades tend to have lower information content and lower price impacts than downstairs trades this is consistent with the hypotheses that the upstairs market is better at pricing uninformed liquidity trades and that upstairs brokers can give better prices to their customers if they know the unexpressed demands of other customers we find that these economic benefits depend on price discovery occurring in the downstairs market copyright 2002 oxford university press

the intertemporal relation between the u s and japanese stock markets this paper finds a high correlation between the open to close returns for u s stocks in the previous trading day and the japanese equity market performance in the current period in contrast the japanese market has only a small impact on the u s return in the current period high correlations among open to close returns are a violation of the efflcient market hypothesis however in trading simulations the excess profits in japan vanish when transactions costs and transfer taxes are included the two largest stock markets in the world in terms of capitalization volume and shares listed are the tokyo stock exchange tse and the new york stock exchange nyse because tokyo is 14 hours ahead of new york there is an eight and one half hour difference between the close of the tse and open of the nyse since there is no overlap between the two markets traders or technical analysts may look to the tse as a predictor of market movement on the nyse and or examine changes on the nyse as indicators of tse performance as shown in figure 1 the tse opens at 7 00 p m eastern standard time est and closes at 1 00 a m est 1 the nyse opens at 11 30 p m japanese time 9 30 a m est and closes at 5 00 a m japanese time 4 00 p m est thus there is no common time interval in which both markets are open high correlations between the respective open to close returns are a violation of the efficient market hypothesis because public information about the performance in one market could be used to profitably trade in another market if the markets are efficient information about the open to close performance in one market for example the u s return in period t 1 will be fully reflected in the open price of the other market japan in period t for example since new information flows randomly into the market subsequent price changes should be random and the open to close returns in japan will be uncorrelated with the u s returns thus the u s performance should affect the open price in japan and the correlation between the open to close returns of the two markets will be zero early research on the synchronization among stock prices across countries grubel 1968 levy and sarnat 1970 agmon 1972 ripley 1973 lessard

trading halts and market activity an analysis of volume at the open and the close this paper analyzes how the daily opening and closing of financial markets affect trading volume we model the desire to trade at the beginning and end of the day as a function of overnight return volatility nyse data from 1933 88 indicate that closing volume is positively related to expected overnight volatility while volume at the open is positively related to both expected and unexpected volatility from the previous night we interpret the symmetric response of trading at the open and the close to expected volatility as being due to investor heterogeneities in the ability to bear risk when the market is closed this desire of investors to trade prior to market closings indicates a cost of mandating marketwide circuit breakers

parallel imports and the pricing of pharmaceutical products evidence from the european union we consider policy issues regarding parallel imports pis of brand name pharmaceuticals in the european union where such trade is permitted we develop a simple model in which an original manufacturer competes in its home market with pi firms the model suggests that for small trade costs the original manufacturer will accommodate the import decisions of parallel traders and that the price in the home market falls as the volume of parallel imports rises using data from sweden we find that the prices of drugs subject to competition from parallel imports fell relative to other drugs over the period 1994 1999 econometric analysis finds that parallel imports significantly reduced manufacturing prices by 12 19 there is evidence that this effect increases with multiple pi entrants

trading mechanisms and stock returns an empirical investigation this paper examines the effects of the mechanism by which securities are traded on their price behavior we compare the behavior of open to open and close to close returns on nyse stocks given the differences in execution methods applied in the opening and closing transactions opening returns are found to exhibit greater dispersion greater deviations from normality and a more negative and significant autocorrelation pattern than closing returns we study the effects of the bid ask spread and the price adjustment process on the estimated return variances and covariances and discuss the associated biases we conclude that the trading mechanism has a significant effect on stock price behavior

round the clock market efficiency and home bias evidence from the international japanese government bonds futures markets abstract this paper examines how information is processed between almost identical international futures markets london liffe and tokyo tse jgb futures in these markets variations in open to open changes are virtually the same as those of close to close changes suggesting that information is transmitted efficiently across markets with small opening pricing errors the overall results confirm market efficiency around the clock yet the intraday u shaped patterns in volume volatility of the london jgb futures suggest home bias in international investments indicating a less global view of trading than expected specifically at the liffe open london investors rush to rebalance portfolios instead of doing so at the tse close which is only one hour before the liffe opens

the inefficiency of reuters foreign exchange quotes abstract reuters foreign exchange fxfx page is the world wide predominant information source to foreign exchange traders in this study we compare the indicative spot exchange rate quotes from reuters with their matching futures exchange rates from the chicago mercantile exchange we find that the indicative quotes on reuters fxfx page are inefficient and could be improved by incorporating information from the futures market this casts doubt on the way banks determine these quotes as well as on the informational content of these quotes as an indicator of the current exchange rate

private information trading volume and stock return variances new evidence is provided on the determinants of stock return variances first when the tokyo stock exchange is open on saturday the weekend variance increases weekly variance is unaffected however despite an increase in weekly volume second the listing of u s stocks in tokyo substantially increases the number of trading hours but tokyo volume is negligible for these u s stocks and their 24 hour variance is unaffected the overall results are consistent with the predictions of private information based rational trading models but inconsistent with both the irrational trading noise and public information hypotheses

pharmaceutical price controls and entry strategies abstract this paper finds that the use of price controls has a statistically and quantitatively important effect on the extent and timing of the launch of new drugs firms headquartered in countries that regulate price reach fewer markets than those in countries without price controls companies avoid price controlled markets and are less likely to introduce products in additional markets after entering a price controlled country launches into low price european countries are further delayed following legalization of parallel imports the results suggest that price regulation in one country affects entry into other countries and may affect the strategies of domestic firms

determinants of patent rights a cross national study abstract this paper presents an index of patent rights for 110 countries for the period 1960 1990 the index is used to examine what factors or characteristics of economies determine how strongly patent rights will be protected the evidence does indicate that more developed economies tend to provide stronger protection but the underlying factors which influence patent protection levels are the country s level of research and development r d activity market environment and international integration which are correlated with its level of development the results qualify however that r d activity influences patent protection levels after a nation s research sector reaches a critical size an implication of this is that to raise patent protection levels in weakly protecting countries it is important to foster a significant research base in those countries and thereby create incentives for protecting patent rights

domestic macroeconomic news and foreign interest rates abstract this study examines the impact of us and uk news on futures prices of us uk german and japanese government bonds we find that certain us information has a significant influence on german japanese and british interest rates while uk information has almost no effect on foreign rates second we examine the foreign term structure to investigate whether the importance of us information arises because it either signals common world wide shocks or induces an anticipated exchange rate stabilization by foreign central banks the evidence is mixed except for the us cpi surprise which appears to provide information about a common world wide shock g15

does stronger patent protection increase export variety evidence from us product level data proponents of global intellectual property rights iprs reforms have argued that developing countries weak iprs limit their access to foreign innovative products and technologies central to our understanding of the effects of iprs on product access is the influence of national differences in patent protection on corporate behavior and business strategy of multinational firms using detailed product data on us exports from 1990 to 2000 this research note assesses the impact of strengthening iprs in developing countries on product variety of us exports colonial origin and cross industry variation in patent effectiveness serve to identify the impact the results show that the strengthening of iprs increased exports of new products in patent sensitive industries the expansion in product variety accounted for the entire increase in us exports the findings substantiate claims that ratification of trips by developing countries promotes access to new foreign products and technologies additionally the results demonstrate that patent protection is a significant institutional factor in us firms business decisions over the introduction of new products and processes into a developing country marketplace

the international transmission of information in eurodollar futures markets a continuously trading market hypothesis abstract this paper studies the transmission of information in three eurodollar futures markets the imm simex and liffe the results show that relevant information is revealed during the trading hours of the imm and liffe but not the simex the interest rates of the three markets are cointegrated with a single common stochastic trend granger causality runs from the market that is placed in the last trading order within 24 hours in the vector error correction model and this causal relationship is shorter than one day an approach of variance decomposition and impulse response functions exploring the common factor in the cointegration system is employed analogous to the causality results the common factor is driven by the last trading market in the 24 hour trading sequence specifically each market while it is trading impounds all the information and rides on the common stochastic trend the overall results suggest that these three markets can be considered one continuously trading market

how markets process information news releases and volatility we examine the impact of scheduled macroeconomic news announcements on interest rate and foreign exchange futures markets we find these announcements are responsible for most of the observed time of day and day of the week volatility patterns in these markets while the bulk of the price adjustment to a major announcement occurs within the first minute volatility remains substantially higher than normal for roughly fifteen minutes and slightly elevated for several hours nonetheless these subsequent price adjustments are basically independent of the first minute s return we identify those announcements with the greatest impact on these markets we examine the impact on interest rate and foreign exchange markets of scheduled macroeconomic news releases such as the employment report the consumer price index cpi and the producer price index ppi many market participants believe that such announcements have a major impact on financial markets indeed a small industry devoted to predicting the figures to be released in upcoming releases has evolved in recent years with the exception of the weekly money supply figures however the impact of such announcements on financial markets has received scant attention 1 this is doubly surprising given the considerable research interest in market volatility since these news releases are a potential source of much of this volatility consider for instance figure 1 as shown there prices in interest rate and foreign exchange futures markets are much more volatile between 8 30 and 8 35 a m eastern time et than during any other five minute trading period including

patents and the global diffusion of new drugs analysis of the timing of launches of 642 new drugs in 76 countries during 1983 2002 shows that patent and price regulation regimes strongly affect how quickly new drugs become commercially available in different countries price regulation delays launch while longer and more extensive patent rights accelerate it health policy institutions and economic and demographic factors that make markets more profitable also speed up diffusion the estimated effects are generally robust to controlling for endogeneity of policy regimes with country fixed effects and instrumental variables the results highlight the important role of policy choices in driving the diffusion of new innovations

do national patent laws stimulate domestic innovation in a global patenting environment a cross country analysis of pharmaceutical patent protection 1978 2002 this paper evaluates the effects of patent protection on phar maceutical innovations for 26 countries that established pharmaceutical patent laws during 1978 2002 controlling for country characteristics through matched sampling techniques to establish two proper comparison sets among 92 sampled countries and through country pair fixed effects regressions this study yields robust results national patent protection alone does not stimulate domestic innovation as estimated by changes in citation weighted u s patent awards domestic r d and pharmaceutical industry exports however domestic innovation accelerates in countries with higher levels of economic development educational attainment and economic freedom additionally there appears to be an optimal level of intellectual property rights regulation above which further enhancement reduces innovative activities

u k and u s trading of british cross listed stocks an intraday analysis of market integration this article analyzes intraday patterns for u k and u s trading of british cross listed stocks for each market the intraday patterns for these stocks closely resemble those of otherwise similar non cross listed stocks there is a 2 hour period each day when cross listed stocks are traded both in new york and in london this overlap is characterized by concentrated trading as private information originating in new york gets incorporated into prices in both markets cross border competition for order flow tends to reduce already declining spreads in london by contrast new york specialists maintain high spreads during the overlap overall the evidence indicates that order flow for cross listed securities is segmented article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

stock market structure and volatility the procedure for opening stocks on the nyse appears to affect price volatility an analytical framework for assessing the magnitude of the structurally induced volatility is presented the ratio of variance of open to open returns to closeto close returns is shown to be consistently greater than one for nyse common stocks during the period 1982 through 1986 tbe greater volatility at the open is not attributable to the way in which public information is released since both the opento open return and the close to close return span the same period of time instead the greater volatility appears to be attributable to private information revealed in trading and to temporaryprice deviations induced by specialist and other traders the implied cost of immediacy at the open is significantly higher than at the close other empirical evidence in this article documents the volume of trading at the open the time delays between the exchange opening and the first transaction in a stock the difference in daytime volatility versus overnight volatility and the extent to which volatility is related to trading volume

compulsory licensing price controls and access to patented foreign products abstract we analyze how a price control and the threat of compulsory licensing cl affect consumer access in a developing country south to a patented foreign product in the model the southern government sets the level of the price control on a northern patent holder who chooses between entry and voluntary licensing vl while entry incurs a higher fixed cost licensed production is of lower quality if the patent holder does not work its patent locally the south is free to use cl the threat of cl ensures that consumers have access to a lower quality version of the patented good when the patent holder chooses not to work its patent locally improves the terms at which vl occurs can cause the patent holder to switch from vl to entry and can delay consumer access when cl replaces vl or entry we also show that a price control and cl are mutually reinforcing instruments

an investigation of transactions data for nyse stocks using transactions data the behavior of returns and characteristics of trades at the micro level is examined a minute by minute market return series is formed and tested for normality and autocorrelation evidence of differences in return distributions is found among overnight trades trades during the first 30 minutes following the market opening trades at the close and trades during the remainder of the day the latter distribution is found to be normal unusually high returns and standard deviations of returns are found at the beginning and the end of the trading day when the beginningand end of the day effects are omitted autocorrelation in the market return series is reduced substantially a number of patterns in trading are reported this paper empirically investigates the nature of the return generating process and the characteristics of trade size price changes trading frequency and trading interval at the level of individual trades for a large sample of nyse stocks previous studies of market indices have used daily weekly or monthly

international patent protection 1960 2005 abstract this note provides an update to the index of patent protection published in this journal in 1997 the original paper presented the index for 1960 1990 for 110 countries the index has now been updated to 2005 and extended to 122 countries the adoption of stronger patent laws and the composition of patent rights vary across countries by level of economic development

parallel imports demand dispersion and international price discrimination parallel imports goods imported by unauthorized resellers are advocated worldwide for undermining international price discrimination for a continuum of markets we find that uniform pricing by a monopolist yields lower global welfare than third degree discrimination if demand dispersion across markets is large though uniform pricing avoids output misallocation too many markets go unserved mixed systems permitting discrimination across but not within designated groups of markets yield significantly higher welfare than uniform pricing or unrestricted multimarket discrimination and can pareto dominate uniform pricing thus while parallel imports might benefit some countries our results weaken the multilateral case for allowing them

differential pricing parallel trade and the incentive to invest abstract i consider the case for imposing uniform pricing on a monopolist in a setting where markets can be segmented according to differences in marginal costs and or consumer demand i also analyze the ex ante impact on incentives to invest in r d i show how two opposite trade offs arise when differential pricing is demand based uniform pricing has good ex post welfare properties but leads to lower investment ex ante conversely when differential pricing is cost based uniform pricing has bad ex post welfare properties but leads to higher investment ex ante

transactions volume and volatility we show that the positive volatility volume relation documented by numerous researchers actually reflects the positive relation between volatility and the number of transactions thus it is the occurrence of transactions per se and not their size that generates volatility trade size has no information beyond that contained in the frequency of transactions our results suggest that theoretical research needs to entertain scenarios in which 1 both the frequency and size of trades are endogenously determined yet 2 the size of trades has no information content beyond that contained in the number of transactions article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

the impact of parallel imports on investments in cost reducing research and development abstract we develop a two country model of endogenous investment in process innovation by a manufacturer facing competition from parallel imports pi we find that the distortions associated with pi inhibit innovation however the difference between the manufacturer s expected profits under successful and failed innovation is u shaped in the cost of engaging in pi thus the reduction in r d investment depends on both legality of pi and transport costs the reduction in innovation could harm global welfare depending on whether the manufacturer was deterring pi with a high wholesale price if so banning such trade would raise expected welfare

market efficiency around the clock some supporting evidence using foreign based derivatives abstract this paper examines whether information across international markets is rationally incorporated into stock prices we find that japanese nikkei index based futures traded in the u s provide complete information about contemporaneous overnight japanese returns moreover existing cross dependence between the u s and japanese stock index returns is subsumed by the information content of the derivative securities our findings cast doubt on trading models based on irrational traders who either overreact or only partially adjust to movements in foreign stock markets

the dependence between hourly prices and trading volume this study provides evidence on joint characteristics of hourly common stock trading vol ume and returns on the new york stock exchange average volume traded shows signifi cant differences across trading hours of the day and across days of the week average returns differ across hours ofthe day and to some extent across days ofthe week there is a strong contemporaneous relation between trading volume and returns and also a rela tion between trading volume and returns lagged up to four hours furthermore the trading volume returns relation is steeper for positive returns than for nonpositive returns

new pills for poor people empirical evidence after gatt abstract the protection of pharmaceutical innovations is being dramatically extended as much of the developing world introduces patent protection for new drug products this change in intellectual property rights may lead to more research on drugs to address developing country needs we use new survey data from india the results of interviews and measures of research and development r d constructed from a variety of statistical sources to determine trends in the allocation of research to products specific to developing country markets there is some although limited evidence of an increase in the mid to late 1980s which appears to have leveled off in the 1990s the picture presented provides a baseline against which future patterns in research activity can be compared

compulsory licensing and patent protection a north south perspective in a stylized model involving a developing country called south and a foreign patent holder we analyze whether and how the incidence and social value of compulsory licensing cl depends upon the south s patent protection policy if south is free to deny patent protection cl fails to arise in equilibrium and the option to use it makes both parties worse off if south is obligated to offer patent protection cl can occur and even yield a pareto improvement the ability to control price increases the south s incentive for patent protection as well as the likelihood of cl this article is protected by copyright all rights reserved

information shares in the us treasury market abstract this paper highlights the previously neglected role of the futures markets in us treasury price discovery the estimates of 5 and 10 year govpx spot market information shares typically fail to reach 50 from 1999 on the govpx information shares for the 2 year contract are higher than those of the 5 and 10 year maturities but also decline after 1998 relative bid ask spreads number of trades and realized volatility are statistically significant and explain up to 21 of daily information shares in roughly 1 4 of cases when public information is released the futures market gains information share but macroeconomic announcements rarely explain information shares independently of liquidity

the market impacts of pharmaceutical product patents in developing countries evidence from india in 2005 as the result of a world trade organization mandate india implemented a patent reform for pharmaceuticals that was intended to comply with the 1995 trade related aspects of intellectual property rights trips exploiting variation in the timing of patent decisions we estimate that a molecule receiving a patent experienced an average price increase of just 3 6 percent with larger increases for more recently developed molecules and for those produced by justone firm when the patent system began our results also show little impact on quantities sold or on the number of pharmaceutical firms operating in the market

do stronger patent rights raise high tech exports to the developing world abstract despite over 20 years of debate the trips agreement remains very contentious this paper evaluates the impact of strengthening patent rights prs in developing countries on developed countries exports over the 1962 2000 period colonial origin is used to isolate exogenous variation in prs the impact is then identified by examining the cross industry difference in sensitivity to prs i find that the increase in prs made in response to the trips agreement added about 35 billion 2000 us dollars to the value of developed countries patent sensitive exports into 18 developing countries this amount is equivalent to an 8 6 increase in these developing countries annual value of patent sensitive imports the increase in the value of exports was driven by a quantity rather than a price increase

trading activity dealer concentration and foreign exchange market quality abstract we study the relation between foreign exchange market quality and both trading activity and dealer concentration by considering two currency pairs with significant differences along both dimensions the euro us dollar and canadian dollar us dollar a variance ratio test reveals over reaction in currency prices but that this is smallest when trading activity is high and dealer concentration at its peak a garch model shows that over reaction declines as trading activity and dealer concentration increase with the results being stronger for the euro our results confirm that trading activity is an important determinant of market quality but also point to a significant role for dealer concentration

volatility information and double versus walrasian auction pricing in us and japanese futures markets abstract this study empirically examines volatility in us and japanese commodity futures markets the us futures market comex is double auction with continuous trading whereas the japanese futures market tocom was walrasian with discrete trading until april 1991 we find intraday volatility for gold futures contracts to be significantly higher on comex than tocom throughout the sample period and is attributable to differences in information flows and market micro structures evidence is also provided that exchange volume conveys information both within and across markets which is consistent with the french and roll 1986 french k r roll r 1986 stock return variances the arrival of information and the reaction of traders journal of financial economics 17 5 26 private information based rational trading model finally daily variance and autocorrelation estimates within comex are consistent with the extant literature on equity markets

a transaction data study of weekly and intradaily patterns in stock returns abstract weekly and intradaily patterns in common stock prices are examined using transaction data for large firms negative monday close to close returns accrue between the friday close and the monday open for smaller firms they accrue primarily during the monday trading day for all firms significant weekday differences in intraday returns accrue during the first 45 minutes after the market opens on monday mornings prices drop while on the other weekday mornings they rise otherwise the pattern of intraday returns is similar on all weekdays most notable is an increase in prices on the last trade of the day

parallel trade international exhaustion and intellectual property rights a welfare analysis this paper analyses the issue of parallel trade arbitrage for products protected by intellectual property rights many countries have traditionally allowed owners of intellectual property rights to prohibit arbitrage in the face of international price discrimination in a well known paper malueg and schwartz 1994 showed that this policy decreases social welfare when the same markets are served in both regimes with and without arbitrage their model considered only the setting of prices and not investment in product development we consider a two stage game where firms choose quality first and then prices since the threat of arbitrage ex post reduces the incentive to invest ex ante the net benefits of parallel trade may vanish we also show that the size of the welfare effects is significantly affected by the presence of a generic product which represents a form of competition for the monopolist the monopolist will introduce a fighting brand to compete with the generic which dilutes but does not eliminate the result on the adverse effects of parallel trade on investments

volatility in the foreign currency futures market we examine the volatility implications of around the clock foreign exchange trading with transaction data on futures contracts from the chicago mercantile exchange and the london international financial futures exchange we find higher u s european and u s japanese exchange rate volatilities during u s trading hours and higher european cross rate volatilities during european trading hours while the diclosure of private information through trading may partly explain these volatility patterns we conclude that the increased volatility is more likely driven by macroeconomic news announcements an analysis of inter and intraday data also reveals that volatility increases at times that coincide with the release of u s macroeconomic news article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies