technological innovation and long waves one who has examined the dynamics of capitalist economies over long historical periods can doubt that they experience significant long term variations in their aggregate perform ance the question is whether these long term variations are more than the outcome of a summation of random events and further whether they exhibit recurrent temporal regu larities that are sufficiently well behaved to call them long waves in recent years there has been a strong resurgence of interest in such long term movements since their existence could provide a coherent explanation for the poor performance of capitalist economies over the past decade 1 this renewed interest also reflects a search for alternative ways of explaining the unbalanced nature of the growth processes of mature capitalist economies that go uncaptured by the solow swan paradigm in its concern with equilibrium dynamics and steady states of one two or multisector representations of the economy the study of price and output swings of extended duration has a long tradition having initially drawn the interest of both marxist and non marxist writers around the turn of the century 2 yet it was the work of kondratiev 1925 which constituted the first system atic attempt to confirm such movements with data that included not only prices interest rates and wage series but foreign trade industrial production and consumption for france britain and to a lesser extent the us kondratiev concluded that the data suggested the

the macroeconomic news cycle and uncertainty resolution we examine the behavior of return volatility and trading at 5 minute intervals in the treasury bond futures market in the context of the monthly macroeconomic news cycle we advance and confirm the hypothesis that volatility and trading activity are higher in the first half of the month the data indicate that these patterns arise from at least two sources 1 a higher level of uncertainty regarding the value of news in announcements in the first half of the month and 2 improvement in efficiency of macroeconomic forecasts from the first to the second half of the month

day of the week effects and asset returns the number of empirical studies using daily stock returns is rapidly increasing researchers generally assume that the distribution of stock returns is identical for all days of the week a convenient statistical assumption but not a necessary condition of market equilibrium nevertheless there are reasons to suspect that the distribution of returns may vary according to the day of the week the most obvious is the impact of weekends on monday s return since monday s return is calculated over three instead of one calender day the mean and variance may well be higher on monday compared with any other daily return perhaps three times as large previous research has examined the daily distribution of stock returns for a monday effect while fama 1965 does not compare daily mean returns he does report that monday s variance is about 20o greater than other daily returns with a traditional distributional assumption regarding the returns on a financial asset specifies that the expected returns are identical for all days of the week contrary to this plausible assumption this paper discovers that the expected returns on common stocks and treasury bills are not constant across days of the week the most notable evidence is for monday s returns where the mean is unusually low or even negative several explanations of the results are investigated but none proves satisfactory aside from documenting significant day of the week effects the implications of the results for tests of market efficiency are examined while market adjusted returns continue to exhibit day of the week effects these effects are no longer concentrated on monday during the last year we have had many conversations with our colleagues throughout the professions we are particularly thankful to the participants at sessions of the western and american finance associations where preliminary versions of this paper were presented special thanks are due to gene fama gailen hite jon ingersoll robert jarrow merton miller clifford smith and rex thompson the expert research assistance of frank rabinovitch and youngsup yun is gratefully acknowledged 1 the list of papers using daily stock returns is too long to name recent examples include charest 1978 dodd 1980 banz 1981 and reinganum 1981

market response to banks granting lines of credit abstract prior research has shown and this paper confirms that when the market becomes aware a line of credit is granted the borrower s stock has a positive and significant reaction the borrower s reaction is used to identify the exact date the market becomes aware of the granting of the line of credit this date is used as a one day window to investigate whether the bank s stock also reacts this reaction will be most obvious with large lines of credit all lines of credit larger than us 1 billion granted during the years 1993 1996 are investigated the results show as predicted a positive and significant reaction by the bank s stock

a review of o rourke and williamson s globalization and history the evolution of a nineteenth century atlantic economy much of the comparative economic history of the nineteenth century focuses on the spread of the industrial revolution from britain incomes converged in this view as the transfer of superior technology raised incomes in the periphery in globalization and history kevin o rourke and jeffrey williamson challenge this technological approach arguing that neoclassical effects of trade and factor supply changes provide more insight increased trade stimulated by falling transportation costs and factor movements caused prices of locally scarce factors to fall and promoted factor price convergence

the organisation of innovation collaboration cooperation and multifunctional groups in uk and german manufacturing marked differences exist between the institutional and social context for innovation in the uk and germany the question addressed here is how these different contexts affect the objectives and organisation of innovation in uk and german manufacturing in particular the paper examines the extent to which uk and german plants engage in inter plant collaboration and cooperation and multifunctional working as part of their innovative activity and explores the reasons for differences in these patterns of involvement the investigation is based on a large scale comparative survey of manufacturing plants in the two countries in germany institutional and social norms are found to encourage collaborative inter plant innovation but aspects of the german skills training and industrial relations systems make the adoption of more flexible internal systems more difficult in the uk by contrast the more adversarial nature of inter firm relations makes it more difficult to establish external collaborations based on mutual trust but less restrictive labour market structures make it easier for uk plants to adopt multifunctional working this is linked to differences in attitudes to the property rights and transaction cost problems inherent in innovation

mechanism design with incomplete information a solution to the implementation problem the main result of this paper is that the multiple equilibrium problem in mechanism design can be avoided in private value models if agents do not use weakly dominated strategies in equilibrium we show that in such settings any incentive compatible allocation can be made the unique equilibrium outcome to a mechanism we derive a general necessary condition for unique implementation which implies that the positive result for private value models applies with considerably less generality to common value settings and to situations in which an agent s information does not index the agent s preferences

the relationships between science technologies and their industrial exploitation an illustration through the myths and realities of the so called european paradox abstract this paper discusses first the properties of scientific and technological knowledge and the institutions supporting its generation and its economic applications the evidence supports the broad interpretation that we call the stanford yale sussex synthesis second such patterns yield important implications with respect to the so called european paradox i e the conjecture that eu countries play a leading global role in terms of top level scientific output but lag behind in the ability of converting this strength into wealth generating innovations some descriptive evidence shows that contrary to the paradox conjecture europe s weaknesses reside both in its system of scientific research and in a relatively weak industry the final part of the paper identifies a few normative implications much less emphasis should be put on various types of networking and much more on policy measures aimed at strengthening both frontier research and european corporate actors

implementation in differential information economies abstract we consider the problem of implementation of social choice correspondences in differential information economies we provide necessary conditions for implementation and slightly stronger conditions which are sufficient to guarantee implementation

tackling false positives in business research a statistical toolbox with applications serious concerns have been raised that false positive findings are widespread in empirical research in business disciplines this is largely because researchers almost exclusively adopt the p value less than 0 05 criterion for statistical significance and they are often not fully aware of large sample biases which can potentially mislead their research outcomes this paper proposes that a statistical toolbox rather than a single hammer be used in empirical research which offers researchers a range of statistical instruments including a range of alternatives to the p value criterion such as the bayesian methods optimal significance level sample size selection equivalence testing and exploratory data analyses it is found that the positive results obtained under the p value criterion cannot stand when the toolbox is applied to three notable studies in finance

rising trade costs agglomeration and trade with endogenous transaction costs while transport costs have fallen the empirical evidence also points at rising total trade costs in a model of industry location with endogenous transaction costs that seeks to replicate features from the machinery industry we show how and under which conditions a decline in transport costs can lead to an increase in the total cost of trade the subtle relationship between endogenous transport costs and the sensitivity of trade

epochs and essences a review of marxist long wave and stagnation theories this paper criticizes three central traditions in marxist accumula tion theory on grounds that each relies upon the assumption that the accumulation process is shaped by an ultimate determinant or essence in the stagnation argument formulated by j steindl 1976 1979 and p baran and p m sweezy 1966 capitalist firms are shaped by an urge to expand which in tu rn shapes economic growth e mandel s 1980 long wave theory formulates abstractly fixed inner laws of motion the social structures long wave theory of d gordon r edwards and m reich 1982 roots accumulation s pace in abstractly theorized power dynamics the paper suggests a nonreductionist alternative understanding of marxist economic theory copyright 1988 by oxford university press

the day of the week effect the international evidence abstract we re examine the day of the week effect for eleven indexes from nine countries during the 1969 1992 period the standard methodology as well as the moving average methodology are used and we find returns to be lower at the beginning of the week but not necessarily on monday for the full period as in chang et al international evidence on the robustness of the day of the week effect journal of financial and quantitative analysis 28 1993 497 514 the anomaly disappears for the most recent period in the usa however the effect is still strong for european countries hong kong and toronto

valuation effects of canadian stock split announcements abstract the abnormal returns for two types of announcement dates are examined for a large sample of stock splits on the toronto stock exchange tse the mean abnormal return is positive and statistically significant for the split proposal announcement date and positive and not statistically significant for the split approval date these findings are not only consistent with those found for stock splits in the united states grinblatt masulis and titman 1984 but are also robust to various thin trading autocorrelation and heteroscedasticity adjustments and the exclusion of splitting stocks which are interlisted on non canadian stock markets

the role of manufacturing in regional growth harris r i d 1987 the role of manufacturing in regional growth reg studies 21 301 312 since a shift in regional policy away from manufacturing to aiding services is being advocated this paper re examines the role of manufacturing in regional growth from both an empirical and theoretical viewpoint first of all it discusses the importance of manufacturing s share of output concluding that in output terms and prior to 1979 manufacturing has not been displaced by services in shares of total output secondly the paper focuses on the theoretical importance of manufacturing to the growth of regional output showing that for most theories demand side growth pole cumulative causation manufacturing is the natural base for growth potential harris r i d 1987 le role des industries de fabrication dans la croissance regionale reg studies 21 301 312 vu que l on propose une reorientation de la politique regionale au depens des industries de fabrication et en faveur du tertiaire cet article

a contribution to event study methodology with an application to the dutch stock market abstract this paper proposes an extended market model for event studies based on daily stock returns for actual data the assumptions of the simple market model are violated the return distribution is not normal and neither the variance of the error term nor the risk parameter beta are constant our model incorporates the generalized autoregressive conditional heteroskedasticity garch model with t distributed errors and a time dependent beta we test for anomalies by adding dummy variables in the regression equation our model is fairly general and could be used in a wide variety of event study situations we illustrate the model by an analysis of the weekend and the option expiration effect we use return data from the dutch stock market the weekend effect on stock returns is significant but no expiration effect could be detected

innovative activity over the business cycle this paper examines cyclical patterns of innovative activity in the united kingdom over the period 1948 83 innovative activity turns out to have many of the properties of a random walk but does show a tendency to cluster during booms there is clear evidence of a long term secular relation between the level of innovative activity and the level of economic activity although this may have changed in the 1980s finally the data provide no reason for thinking that these clusters of innovation cause cyclic variations in economic activity but variations in economic activity do granger cause changes in innovative activity copyright 1995 by royal economic society

implementation in economic environments with incomplete information the use of multi stage games abstract this paper shows that in economic environments with incomplete information incentive compatibility and a preference reversal condition are sufficient for implementation in sequential equilibrium journal of economic literature classification numbers c72 d71 d82

international evidence on the robustness of the day of the week effect consistent with connolly s 1989 1991 evidence this study finds that sample size and or error term adjustments render u s day of the week effects statistically insignificant in contrast day of the week effects in seven european countries and in canada and hong kong are robust to individual sample size or error term adjustments and day of the week effects in five european countries survive the simultaneous imposition of both types of adjustments in most countries where day of the week effects are robust however the effects are statistically significant in not more than two weeks out of the month these findings are inconsistent with explanations of the day of the week effect based on institutional differences or on the arrival of new information thus in the absence of other potential explanations already dismissed by jaffe and westerfield 1985 evidence in this study further complicates the international day of the week effect puzzle

nash implementation using undominated strategies we study the problem of implementing social choice correspondences using the concept of undominated nash equilibrium i e nash equilibrium in which no one uses a weakly dominated strategy we show that this mild refinement of nash equilibrium has a dramatic impact on the set of implementable correspondences our main result is that if there are at least three agents in the society then any correspondence which satisfies the usual no veto power condition is implementable unless some agents are completely indifferent over all possible outcomes many common welfare criteria such as the pareto correspondence and several familiar voting rules such as majority and plurality rules satisfy our conditions this possibility result stands in sharp contrast to the more restrictive findings with implementation in either nash equilibrium or subgame perfect equilibrium we present several examples to illustrate the difference between undominated nash implementation and implementation with alternative solution concepts

nonlinear dependence in finnish stock returns abstract past research into the evolution of finnish stock returns focuses on modeling linear and nonlinear dependence using various arima and garch formulations respectively this paper extends the extant work by using grassberger procaccia correlations dimensions to explore the nature of the nonlinear dynamics in daily finnish stock returns during the 1970s and 1980s nonlinear behavior in both periods is evident a simple garch model removes the nonlinearity in the first decade and dramatically reduces the nonlinearity in the second period this supports the notion that finnish stock returns exhibit nonlinear dependence but that the form of dependence is not chaotic

an examination of the robustness of the weekend effect this paper analyzes the robustness of the day of the week dow and weekend effects to alternative estimation and testing procedures the results show that sample size can distort the interpretation of classical test statistics unless the significance level is adjusted down ward specification tests reveal widespread departures from ols assumptions hypothe sis tests results are reported using robust econometric methods and a garch model the strength of the dow and weekend effect evidence appears to depend on the estimation and testing method both effects seem to have disappeared by 1975

from t bills to common stocks investigating the generality of intra week return seasonality the authors investigate the extent to which intra week seasonality still exists and whether its pattern is uniform across three stock indices and treasury bonds with seven different maturities they find that intra week seasonality continues to be significant and that its pattern is not uniform either between the stock indices and the treasury bonds or even among the bonds alone a pattern shared by stocks and bonds is that monday returns become increasingly negative with maturity these findings suggest that neither institutional nor general equilibrium explanations by themselves can explain the pattern of intra week seasonality in securities markets

market reaction to the formation of export trading companies by american banks the stock and bond market reactions to american banks announcements of their intentions to form export trading companies are investigated the results are robust to various return generating model specifications and are consistent with the view that the markets do not believe that u s bank export trading companies will be successful

us day of the week effects and asymmetric responses to macroeconomic news abstract this study considers the joint influence of contemporaneous and lagged responses to macroeconomic news in explaining us day of the week effects macroeconomic news is measured by movements in large firms stock prices the average response of smaller stocks to these movements is abnormally high on mondays especially in down markets after corrections for these asymmetries the us day of the week effect weakens substantially for most size ranked portfolios in most of the six approximately equal subperiods between 1962 and 1992 these findings suggest that seasonals in processing macroeconomic news account for much of the day of the week effect in equity returns

the power of integrality linkages between product architecture innovation and industry structure abstract a substantial literature stream suggests that many products are becoming more modular over time and that this development is often associated with a change in industry structure towards higher degrees of specialization these developments can have strong implications for an industry s competition as the history of the pc industry illustrates to add to our understanding of the linkages between product architecture innovation and industry structure we develop detailed product architecture measurements based on a previously proposed method fixson s k 2005 product architecture assessment a tool to link product process and supply chain design decisions journal of operations management 23 3 4 345 369 and study an unusual case in which a firm through decreasing its product modularity turned its formerly competitive industry into a near monopoly using this case study we explore how existing theories on modularity explain the observed phenomenon and show that most consider technological change in rather long term dimensions and tend to focus on efficiency related arguments to explain the resulting forces on competition we add three critical aspects to the theory that connects technological change and industry dynamics first we suggest integrating as a new design operator to explain product architecture genesis second we argue that a finer grained analysis of the product architecture shows the existence of multiple linkages between product architecture and industry structure and that these different linkages help explain the observed intra industry heterogeneity across firms third we propose that the firm boundary choice can also be a pre condition of the origin of architectural innovation not only an outcome of efficiency considerations

a further investigation of the weekend effect in stock returns this study uses a longer time period and additional stocks to further investigate the weekend effect we find consistently negative monday returns 1 for the s p composite as early as 1928 2 for exchange traded stocks of firms of all sizes and 3 for actively traded over the counter otc stocks the otc results are based on bid prices and therefore appear to reject specialist related explanations for the 30 individual stocks of the dow jones industrial index the average correlation between friday and monday returns is positive and the highest of all pairs of successive days the latter finding is inconsistent with fairly general measurement error explanations some of the most puzzling empirical findings reported in recent years indicate that the distribution of common stock returns varies by day of the week most notably the average return for monday close friday to close monday is significantly negative cross 3 and french 6 find negative monday returns using the standard and poor s composite index and gibbons and hess 7 find negative monday returns for the 30 individual stocks of the dow jones industrial index 1 this negative monday return or weekend effect has yet to be explained this study undertakes a further investigation of the weekend effect in stock returns we examine additional time periods extending the total period covered to 55 years we examine additional stocks such as those of small low capitalization firms and those traded over the counter in all cases the data exhibit a weekend effect that is at least as strong as that reported in previous studies the study also readdresses potential explanations for the effect such as measurement error but concludes that none of these explanations is satisfactory the first section presents a history of the weekend effect from 1928 through 1982 based on the standard and poor s composite index we essentially double the length of the period beginning in 1953 examined by french 6 the results indicate consistently negative monday returns throughout the 55 year period during much of the 25 year period from 1928 through 1952 the new york stock exchange was open on saturdays so monday s return is then computed from saturday s close to monday s close 2 these returns for one day weekends are consistently negative and not significantly different from the two day weekend

day of the week and intraday effects in stock returns abstract this study examines day of the week effects using hourly values of the dow jones industrial average we find that over the 1963 1983 period the weekend effect has sifted from characterizing active trading on monday to characterizing the non trading weekend over the early part of our sample period negative returns characterize each hour of trading on monday while the return from friday close to monday open is positive in the most recent subperiod monday average hourly returns after noon are all positive and the weekend effect is due to negative average returns from friday close to monday open

growth theory and industrial revolutions in britain and america abstract long run economic growth has again become a major focus of economic theory a perception of technological change as an economic process with externalities has motivated the development of aggregate models that generate different steady state growth paths economic history has also long been interested in long run economic growth here a dialogue is presented between growth theory and the historical literature on the industrial revolution in britain and america s surge to international economic leadership in the late nineteenth century in conclusion economists recent thinking about the microeconomics of technological change has provided fruitful material for the economic historian of growth unfortunately the models of endogenous growth on the other hand present too aggregated a view of the economy to prove helpful when confronted with the details of economic history jel classification n0 n1 1 theorie de la croissance et revolutions industrielles en grande bretagne et en amerique la croissance economique a long terme est redevenue un point d interet majeur pour la theorie economique une perception du changement technologique comme processus economique porteur d externalites a engendre le developpement de modeles agreges qui generent differents sentiers de croissance en regime permanent l histoire economique s interesse depuis longtemps a la croissance economique a long terme ce texte engage le dialogue entre la theorie de la croissance et la litterature historique a propos de la revolution industrielle en grande bretagne et de l emergence de l amerique au statut de leader international a la fin du dix neuvieme siecle on en arrive a la conclusion que les recents developpements dans la pensee economique a propos de la micro economie du changement technologique ont produit des resultats utiles pour l histoire economique de la croissance malheureusement d autre part les modeles de croissance endogene presente une vue trop agregee de l economie pour s averer utile dans l examen des details de l histoire economique

losing sleep at the market comment in a recent provocative paper in this journal mark j kamstra et al 2000 test and reject the hypothesis that the mean weekend return following changes in daylight saving time equals the mean weekend return throughout the rest of the year the authors report that the average friday to monday return on daylight saving weekends is 200 500 percent larger than the average negative return for the other weekends of the year the nding appears to hold not only in the united states and canada where daylightsaving date patterns are similar but also in the united kingdom whose patterns ostensibly differ from those in north america the results also appear robust to alternative statistical methods based on time varying conditional heteroscedasticity and or bootstrapping this paper provides further robustness tests of the results reported by kamstra et al i show that the difference between mean weekend returns for daylight saving and non daylightsaving weekends is signi cant only for fall changes in daylight saving time and that the fall difference is driven by two outliers associated with international stock market crises two separate adjustments for the heteroscedasticity these outliers induce cause the signi cance of the fall difference to vanish the total sample spring plus fall difference remains marginally signi cant for some indexes after heteroscedasticity adjustments with classical xed level hypothesis tests however bayesian sample size adjustments produce posterior odds ratios that consistently favor the null hypothesis of no daylight saving anomaly over the alternative that the anomaly exists i also fail to reject the hypothesis that daylight saving and nondaylight saving weekend returns have equal distributions for these reasons i question the robustness of the ndings reported by kamstra et al 2000 section i presents more details of my tests and section ii summarizes my ndings and discusses their interpretation

patent protection and strategic delays in technology development implications for economic growth we present an endogenous growth model in which both the investment to develop a new technology that upgrades the quality of machines and entry of imitators are determined endogenously according to the model how soon the new technology machine is launched after the patent is granted is influenced by two factors returns to scale in technology development and strategic delays strategic delays in technology development are most likely to occur when earlier dates of success enable imitators to enter an industry i e when imitation is swift and relatively cheap and or patent protection is relatively lengthy we then explore the link between the optimal patent length and economic growth and find that the equilibrium investment in technology development and thus the expected rate of technological progress exhibit an inverted u shape relationship with respect to the legal patent length our results further suggest that in order to minimize the strategic delays in technology development and spur technological progress legal patent lengths should be shorter in industries where barriers to entry are relatively low

implementation with incomplete information in exchange economies in this paper we analyze the problem of designing incentive compatible mechanisms in pure exchange economic environments when agents have incomplete information the equilibrium concept employed is bayesian nash equilibrium and the notion of implemantation is full implementation which is stronger than the more commonly employed notion of truthful implementation an allocation rule is truthfully implementable if there exists a direct mechanism to which truth telling is an equilibrium and which yields the allocation rule as its truthful equilibrium outcome an allocation rule is fully implementable if there exists mechanism which yields the allocation rule as its unique equilibrium outcome more generally a set of allocation rules or a social choice set is fully implementable if there exist a mechanism whose equilibrium outcomes coincide with the set this stronger notion of implemention avoids the well known problems of multiple equilibria which arise in direct revelation games we develop a condition termed bayesian monotonicity which we show is necessary for full implementation an incentive compatibility condition is also necessary we prove that bayesian monotonicity and a slightly stronger incentive compatibility condition are sufficient for full implementation when there are at least three agents we present several examples of allocation rules which do and do not satisfy our condition one example is that of an allocation rule which is fully inplementable by an indirect mechanism but for which every equivalent direct mechanism has multiple equilibrium outcomes

how does germany s green energy policy affect electricity market volatility an application of conditional autoregressive range models abstract based on a dynamic model for the high low range of electricity prices this article analyses the effects of germany s green energy policy on the volatility of the electricity market using european energy exchange data from 2000 to 2015 we find rather high volatility in the years 2000 2009 but also that the weekly price range has significantly declined in the period following the year 2009 this period is characterised by active regulation under the energy industry law enwg the eu emissions trading directive etd and the renewable energy law eeg in contrast to the preceding period price jumps are smaller and less frequent especially for day time hours implying that current policy measures are effective in promoting renewable energies while simultaneously upholding electricity market stability this is because the regulations strive towards a more and more flexible and market oriented structure which allows better integration of renewable energies and supports an efficient alignment of renewable electricity supply with demand

efficient investments in the implementation problem abstract this paper identifies a condition for an efficient social choice rule to be fully implementable when we take into account investment efficiency to do so we extend the standard implementation problem to include endogenous ex ante and ex post investments in our problem the social planner aims to achieve efficiency in every equilibrium of a dynamic game in which agents strategically make investments before and after playing the mechanism our main theorem shows that a novel condition commitment proofness is sufficient and necessary for an efficient social choice rule to be implementable in subgame perfect equilibria the availability of ex post investments is crucial in our model there is no social choice rule that is efficient and implementable in subgame perfect equilibria without ex post investments we also show that our positive result continues to hold in the incomplete information setting

new findings regarding day of the week returns over trading and non trading periods a note this paper decomposes daily close to close returns into trading day and non trading day returns we discover that all of the average negative returns from friday close to monday close documented in the literature for stock market indexes occurs during the non trading period from friday close to monday open in addition average trading day returns open to close are identical for all days of the week january firm size turn of the year anomalies are shown to be interrelated with day of the week returns

day of the week effects in financial futures an analysis of gnma t bond t note and t bill contracts this paper provides a comprehensive study of weekly seasonal effects in gnma t bond t note and t bill futures returns two distinct patterns are found in returns on gnma t bond and t note contracts while no seasonals are noted for t bill futures a negative monday seasonal similar to the well known monday effect in stock returns is found for gnma and t bond contracts a positive tuesday seasonal is found on gnma t bond and t note contracts our evidence indicates that the significance of weekly sea sonals depends in an important way on the time period studied the negative monday phenomenon occurs only in the data before 1982 while the positive tuesday effect is present only after 1984 in addition we find that both seasonal phenomena occur only during months prior to a delivery month this effect appears to be related to the calendar month more specifically the monday effect is apparently concentrated during february while the tuesday effect is concentrated during may

daily seasonality in crude oil returns and volatilities abstract in this article we test for the existence of daily seasonality in returns and volatilities of crude oil using a dummy augmented garch specification for the period from may 1987 to october 2013 our key findings are as follows i volatilities on mondays are significantly higher than on all other weekdays providing the important insight that seasonal effects should be considered when forecasting crude oil volatility ii returns on the other hand tend to be lower on mondays than on other weekdays suggesting profitable investment strategies based on this seasonal pattern in fact the analysis of a simple long short trading rule based on the monday effect provides some evidence that it can outperform a passive buy and hold approach however it cannot do so to an extent that is statistically significant iii our seasonality results are fairly robust to the choice of other frequently used garch model variants like garch m tgarch and cgarch

gpt driven endogenous growth seven years after helpman s 1998 book on general purpose technologies gpts there is a dearth of subsequent models early models employed technically complex dynamic optimising techniques which limited further development we present a model in which sustained growth is driven by a succession of gpts that is technically simpler than the early models yet captures stylised facts that were omitted from them ours has diminishing returns to inputs and endogenous incremental technological changes from r d interrupted by the occasional introduction of new gpts gpts are themselves developed endogenously with payoffs that are subject to uncertainty in magnitude and timing

weekly patterns in japanese stock returns this study investigates the day of the week effect in the japanese stock returns low tuesday and high wednesday returns are observed most of the positive returns arise during the nontrading period the monday effect is also observed in the week whose previous week is closed by friday trading low tuesday returns appear to be related to low monday returns in the u s the weekly pattern is more pronounced for the returns of smaller firms a reverse size effect is observed during the trading period

subgame perfect implementation this paper examines the use of stage mechanisms in implementation problems and provides a partial characterization of the set of subgam e perfect implementable choice rules it is shown that in many economic environments virtually an y choice rule can be implemented to illustrate the power of this approach the paper discusses a number of models in which it is possible to implement the first best although it wouldn t have been possible to do so without using stage mechanisms the diversity of these models suggests that subgame perfect implementation may find wide application copyright 1988 by the econometric society

is demand pulled innovation equally important in different groups of firms previous empirical literature has tested the demand pull hypothesis and found that innovation may be driven by output using a balanced panel of 216 italian manufacturing firms 1995 2000 and checking for the path dependent nature of r d we find a role of sales in inducing r d however the demand pull effect plays a varying role for different sub samples of firms exporting firms liquidity constrained firms not subsidised firms and those not heading a group seem to be sensitive to sales in deciding r d these results have been obtained using a least squares dummy variable corrected estimator a recent panel data technique suitable for small samples

using network analysis to understand public policy for wave energy abstract the uk s wave energy sector is at a pre commercial stage transitioning from prototype demonstration towards a revenue supported industry a host of advantages that could be realised through successful commercialisation include the potential to generate 40 50 twh yr 3 7bn of export and 10 000 jobs by 2020 with tidal despite this criticisms have been made about the lack of coordination between funding bodies communication between stakeholders and overly centralised actors although the value of strong problem solving networks has been noted problems arise in validating the presence nature and value of relationships as well as identification of tacit and informal linkages here network analysis is used to validate these criticisms and provide insight into sector activities it is shown that although high levels of interaction are occurring overall there are wide disparities prime movers are clearly present and less mature developers are isolated from the system as it develops norms and practices this combined with government fund gating has led to a matthew effect whereby some have access to finance and are shaping institutional norms while others struggle although convergence is expected a lack of public sector coordination transparency of decision making and comparability between devices has reduced both investor and stakeholder legitimacy

science parks and regional innovation performance in fiscal austerity era less is more european financial crisis has raised questions about the sustainability and the contribution of innovation anchors especially in southern european countries such as greece this paper utilizes the concept of regional innovation systems riss and introduces a methodological approach that allows for evaluating an science and technology park s stp contribution into the corresponding ris performance taking into consideration 1 the ris idiosyncrasies 2 the dominant role of government expenditures on r d and 3 the underlying complexity of knowledge production and management under alternative sets of restrictions imposed by fiscal consolidation on the preferences of authorities which design and implement science technology and innovation sti policies our framework relies on the estimation of a multi input multi output latent knowledge production function approach and the corresponding efficiency indices data requirements are sourced from the regional innovation scoreboard for the four greek regions and from a small scale case study with respect to the examined regional stp covering the period from 2000 to 2012 the main empirical findings highlight that the contribution of the examined stp in the corresponding ris performance diminishes alongside with the decrease in gerd investment levels with respect to all the efficiency indices these findings are attributed to the structural characteristics of both the ris and the stp under investigation and capture their dependence on managing public financial resources for sti activities

the individual investor and the weekend effect it is well known that stock returns on average are negative on mondays yet it is less well known that this finding is substantially the consequence of returns in prior trading sessions when friday s return is negative monday s return is negative nearly 80 percent of the time with a mean return of 0 61 percent when friday s return is positive the subsequent monday s mean return is positive 0 11 percent this relationship is stronger than for any other pair of trading days and is most acute in small and medium size companies the trading behavior of individual investors appears to be at least one factor contributing to this pattern individual investors are more active sellers of stock on mondays particularly following bad news in the market

inside the black box technology and economics economists have long treated technological phenomena as events transpiring inside a black box and on the whole have adhered rather strictly to a self imposed ordinance not to inquire too seriously into what transpires inside that box the purpose of professor rosenberg s work is to break open and examine the contents of the black box in so doing a number of important economic problems be powerfully illuminated the author clearly shows how specific features of individual technologies have shaped a number of variables of great concern to economists the rate of productivity improvement the nature of learning processes underlying technological change itself the speed of technology transfer and the effectiveness of government policies that are intended to influence technologies in particular ways the separate chapters of this book reflect a primary concern with some of the distinctive aspects of industrial technologies in the twentieth century such as the increasing reliance upon science but also the considerable subtlety and complexity of the dialectic between science and technology other concerns include the rapid growth in the development of costs associated with new technologies as well as the difficulty of predicting the eventual performance characteristics of newly emerging technologies

hourly volatility spillovers between international equity markets abstract this paper examines the timing of mean and volatility spillovers between new york and london equity markets using an arch model it is found that the evidence of volatility spillovers between these markets is minimal and have a duration which lasts only an hour or so the most significant effects surround the movement of share prices around the new york opening but these results are not strong several new arch models are estimated including an asymmetric or leverage model and a non linear model which allows big shocks to have a different impact from small shocks

information and intellectual property the global challenges the paper analyses the contribution of golden papers seminal works whose ideas remain as fresh and relevant today as when they were first published decades ago and which continue to dominate academic discourse among successive generations of scholars the authors analyse why two works written within an industrial development context the simple economics of basic scientific research by richard nelson 1959 and kenneth arrows economic welfare and the allocation of resources for invention 1962 are so relevant in today s knowledge driven economic paradigm focusing on the papers application to current global policy debates on information knowledge and intellectual property they argue that while the context has changed the essential nature of innovation driven by widespread access to the ability to replicate and improve remains the same hence a focus on endogenous innovation policy is as relevant today as it was 50 years ago

a critical realist interpretation of evolutionary growth theorising the article discusses a critical realist interpretation of evolutionary growth theorising by focusing on some of its basic characteristics the evolutionary ontology is complex differentiated structured systemic open ever changing and radically uncertain its methodology tends to be increasingly based on appreciative theorising retroductive explanations and interdisciplinary analysis after discussing these features the article suggests that critical realism may indeed constitute an important philosophical and methodological foundation for the future development of evolutionary theories of economic growth

intraday linkages between the spanish and the us stock markets evidence of an overreaction effect this paper focuses on short term information transmission between the us stock market properly the dow index and the main spanish stock index ibex 35 in its early and final hours we follow the approaches of lin engle and ito 1994 susmel and engle 1994 and baur and jung 2005 who use a garch model to analyze the influence of the previous daytime and overnight returns and volatility of the dow upon the overnight returns and daytime returns of the ibex from open to 3 30 and from 3 30 to close the results suggest that the spanish stock market usually has a low price movement till wall street opens additionally they indicate that the spanish market reacts quickly to the news basically in the first four minutes following the opening of the us market furthermore we find the existence of an overreaction effect during the two hours before the closing of the spanish market

are foreign exchange markets really efficient asset prices determined in a weakly efficient market cannot be cointegrated because cointegration implies a granger causal link however strong evidence of cointegration in currency markets is found using johansen s multivariate procedure on london daily closing rates for the six major currencies in dollar terms an error correction based trading model is implemented

the impact of stock index futures trading on daily returns seasonality a multicountry study in this article we investigate the impact of the introduction of stock index futures trading on the daily returns seasonality of the underlying index for seven national markets it has been previously argued that the introduction of futures trading should lead to reduced seasonality of mean returns and generally our results support this conclusion the impact of index futures introduction on return autocorrelations and volatility is also tested and the evidence presented suggests that futures trading has no impact on the former although a change in the seasonal for the latter was detected

retrieving and transferring embodied data implications for the management of interdependence within organizations this research helps to link theories of sticky information with organizational design and governance it suggests that information embodied in process material can allow downstream tasks to uncover information about upstream tasks it shows that downstream operators can use this information to negotiate interdependence problems with upstream operators data presented in this article begin to uncover when such information retrieval and exchange occurs and how managers can encourage it finally the article discusses implications for theories of operational design and governance

the week end effect in common stock returns the international evidence this paper examines the daily stock market returns for four foreign countries we find a so called week end effect in each country in addition the lowest mean returns for the japanese and australian stock markets occur on tuesday the remainder of the paper answers four questions are seasonal patterns in foreign stock markets independent of those previously reported in the u s do japan and australia exhibit a seasonal one day out of phase due to different time zones do settlement procedures across countries bias week end effects does the seasonal pattern in foreign exchange offset the week end effect in stocks for americans investing overseas some of the most anomalous empirical findings in finance are associated with the sample distributions of daily common stock returns cross 1 french 2 gibbons and hess 3 and keim and stambaugh 4 have documented that the average return on friday is abnormally high and the average return on monday is abnormally low to our knowledge this so called day of the week effect or week end effect has yet to be explained because this anomaly has been reported primarily for u s stock returns it is appropriate to investigate whether similar results occur for other countries positive findings would strongly support the proposition that the weekly seasonal effect is a general world wide phenomenon rather than the result of a special type of institutional arrangement in the u s to shed more light on this proposition our paper examines stock market returns in the u k japan canada and australia since we find a week end effect in each country we can examine a set of interesting questions for example are these seasonals independent of the previously reported seasonal in the u s due to different time zones do far eastern countries exhibit a seasonal one day out of phase do different settlement procedures across countries influence weekend effects does the seasonal in foreign exchange fluctuations see mcfarland pettit and sung 7 and levi 6 offset the week end effect in stock market returns for americans investing overseas

the economic dynamics of technologies development abstract there is little doubt about the fact that specific major technologies shape the long waves in economic activity the trouble is that we don t understand very well what exactly is meant economically by the term specific technologies synthetic materials microelectronics and alike the purpose of this paper is to set up a conceptual framework to fit this requirement and thus to understand the economic dynamics of the development process involved schumpeter did study the innovation s economics dynamics still he did not elaborate a consistent story and the internal forces of a given technology as for ourselves following schmookler by theorizing the behaviour of the small innovation instead of the major one and rosenberg by taking into consideration the technical heuristic as such we suggest a framework for the dynamics of technologies development we use an evolutionary approach a la nelson and winter and gradually define the different components of this special dynamics a specific technology would appear to be a theoretical unit which gives structure to elementary small innovations according to a particular cumulative path

technological pre adaptation speciation and emergence of new technologies how corning invented and developed fiber optics this article investigates how established firms innovate and even initiate new technological trajectories we build on and expand the notion of technological speciation to describe how a new technology emerges when a firm leverages its technological knowledge into a new application domain current research on technological speciation does not investigate how firms accumulate the technological knowledge which they eventually redeploy into different domains nor does it clarify the precise role of luck historical accidents and foresight strategy in shaping the overall process this requires a finer grained investigation of the microprocesses and evolutionary forces underlying the dynamics of technological speciation to this end we use a longitudinal case study of corning s invention and development of fiber optics technology we focus less on testing theory and more on describing a phenomenon to generate new theoretical insight

implementation with partial provability we extend implementation theory by allowing the social choice function to depend on more than just the preferences of the agents and allowing agents to support their statements with hard evidence we show that a simple condition on evidence is necessary for the implementation of a social choice function f when the preferences of the agents are state independent and sufficient for implementation for any preferences including state dependent with at least three agents if the social planner can perform small monetary transfers beyond those called for by f if transfers can be large f can be implemented in a game with perfect information when there are at least two players under a boundedness assumption for both results transfers only occur out of equilibrium the use of evidence enables implementation which is robust in the sense that the planner needs little information about agents preferences or beliefs and agents need little information about each others preferences our results are robust to evidence forgery at any strictly positive cost

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

on bayesian implementable allocations this paper identifies several social choice correspondences which are and are not fully implementable in economic environments when agents are incompletely informed about the environment we show that in contrast to results in the case of complete information neither efficient allocations nor core allocations define implementable social choice correspondences we also identify conditions under which the rational expectations equilibrium correspondence is implementable we extend the concepts of fair allocations and lindahl allocations to economies with incomplete information and show that envy free allocations and lindahl allocations are implementable under some conditions while fair allocations are not

superstitious seasonality in precious metals markets evidence from garch models with time varying skewness and kurtosis in this article we analyse whether the friday the 13th effect documented by kolb and rodriguez 1987 can be observed in precious metals markets specifically we use dummy augmented garch models to investigate the impact of this specific calendar day on the conditional means of gold silver palladium and platinum returns the specification of the garch model follows a flexible class recently proposed by leon et al 2005 that incorporates time varying skewness and kurtosis by applying a gram charlier series expansion of the normal density function our results for the period from july 1996 to august 2013 provide three important insights first there is no evidence that human superstition regarding bad luck fridays affects precious metals markets in a negative way i e returns on fridays the 13th are not significantly lower than on regular fridays second besides showing robustness in a variety of settings we can confirm this main result in a sensitivity check where we replace the dummy variables

biosecurity bioterrorism and the governance of science the increasing convergence of science and security policy science and security policy are increasingly overlapping because of concerns that legitimate research might be misapplied to develop biological weapons this has led to an expansion of security policy to cover broad areas of research and scientific practice including funding publishing peer review employment materials transfer post graduate teaching and academics ability to design and perform experiments and disseminate research such changes raise policy concerns because many of the technologies used to produce biological weapons are dual use and have legitimate peaceful applications as a result attempts to control their generation diffusion or application can have unintended impacts on socially beneficial applications this paper explores recent changes in the governance of science and technology and contributes to future policy making by assessing the relative merits of understanding the development of dual use policy in terms of either technology transfer or technology convergence 2007 elsevier b v all rights reserved

the italian stock market efficiency and calendar anomalies abstract after describing the various concepts of efficiency information valuation full insurance and functional with special reference to the italian stock market the paper analyzes the impact of particular dates and periods of the civil year and stock exchange calendars on stock price changes to test the existence of information inefficiencies the analysis is based on the milan stock exchange s mib storico stock index with reference to the period 2 january 1975 22 august 1989 the events tested for systematic anomalies include weekend and public holidays the end of the calendar and stock exchange months and the end of the year the results obtained are in line with those found for the u s market with evidence of anomalous changes though not all are stable over time

socio technical inertia understanding the barriers to electric vehicles it is widely accepted that electrification of the transport sector is one of several technological trajectories that could redress some of the environmental issues associated with the growth in travel demand including climate change and oil demand at a global scale and air quality and noise pollution at the urban scale electric vehicles have been considered a promising technology at repeated intervals over the last century but this promise has not been realised this paper is a contribution to understanding the key tools and strategies that might enable the successful introduction of new technologies and innovations by exploring the key barriers to electric vehicles encountered in two countries uk and germany where the automobile industry has been historically significant the study evaluates stakeholders opinions on relevant regulation infrastructure investment r d incentives and consumer incentives the key findings of the research are that the introduction and penetration of evs is confronted by several barriers that inhibit a larger market penetration under current conditions which in turn casts doubt on the assumptions of strategic niche management and transitions theory

option mispricing around nontrading periods we find that option returns are significantly lower over nontrading periods the vast majority of which are weekends our evidence suggests that nontrading returns cannot be explained by risk but rather are the result of widespread and highly persistent option mispricing driven by the incorrect treatment of stock return variance during periods of market closure the size of the effect implies that the broad spectrum of finance research involving option prices should account for nontrading effects our study further suggests how alternative industry practices could improve the efficiency of option markets in a meaningful way

nash equilibrium and welfare optimality if is a set of social alternatives a social choice rule scr assigns a subset of a to each potential profile of individuals preferences over a where the subset is interpreted as the set of welfare optima a game form or mechanism implements the social choice rule if for any potential profile of preferences 1 any welfare optimum can arise as a nash equilibrium of the game form implying in particular that a nash equilibrium exists and 2 all nash equilibria are welfare optimal the main result of this paper establishes that any scr that satisfies two properties monotonicity and no veto power can be implemented by a game form if there are three or more individuals the proof is constructive

weekend effects on stock returns a note some researchers have apparently been surprised to discover that the distribution of stock returns depends on the day of the week kenneth french 3 for example in testing whether daily stock returns are generated by a trading time or calendar time hypothesis provided convincing evidence of a negative market return on mondays as french carefully notes this finding runs counter to both hypotheses since a trading time view would have expected stock returns equal on different days and a calendar time view would have higher expected returns on monday to compensate for the longer holding period in this paper we offer a partial explanation for the apparently puzzling discovery of different daily returns we argue that the expected stock returns as measured for example from closing to closing prices should depend on the day of the week in general we argue that the expected returns on mondays should be lower than would be implied simply by a trading time or calendar time model and the returns on fridays should be higher in addition we anticipate that holidays will have complex effects on stock returns on other days of the week our argument is based on the delay between trading and settlements in stocks and in clearing checks the explanation that we offer for different measured daily returns does not contradict the efficient market hypothesis as correctly adjusted expected returns should not differ according to the day of the week

losing sleep at the market the daylight saving anomaly reply motivated by the recent flurry of activity in sleep research this paper explores the connection between sleep disruptions following spring and fall clock shifts associated with daylight savings time and equity returns it is shown that the weekend effect in the form of the lower than expected friday to monday returns is particularly pronounced for the two weekends involving daylight savings clock changes this abstract was borrowed from another version of this item