liquidity in asian markets intensity of regional and global linkages this study investigates cross market linkages and the intensity of liquidity spillovers across nine asian markets and five developed markets during 2006 to 2016 further the study examines the con

the bond old bond spread abstract i document the profits on a trade that is long the old 30 year treasury bond and short the new 30 year treasury bond and is rolled over every auction cycle from june 1995 to november 1999 despite the systematic convergence of the spread over the auction cycle the average profits are close to zero the difference in repo market financing rates between the two bonds is a significant cost of carry in this trade i show that variation in the bond old bond spread is driven by the treasury supply of 30 year bonds as well as aggregate factors affecting investors preference for liquid assets

getting deals done the use of social networks in bank decision making economic actors confront various forms of uncertainty making decisions and how they deal with these obstacles may affect their success in accomplishing their goals this study examines the means by which relationship managers in a major commercial bank attempt to close transactions with their corporate customers it is hypothesized that under conditions of high uncertainty bankers will rely on colleagues with whom they are strongly tied for advice on and support of their deals drawing on recent network theory it is also hypothesized that transactions in which bankers use relatively sparse approval networks are more likely to successfully close than are transactions involving dense approval networks both hypotheses are supported bankers are faced with a strategic paradox their tendency to rely on those they trust in dealing with uncertainty creates conditions that render deals less likely to be closed successfully this paradox represents an example of unanticipated consequences of purposive social action

price formation and liquidity in the u s treasury market the response to public information the arrival of public information in the u s treasury market sets off a two stage adjustment process for prices trading volume and bid ask spreads in a brief first stage the release of a major macroeconomic announcement induces a sharp and nearly instantaneous price change with a reduction in trading volume demonstrating that price reactions to public information do not require trading the spread widens dramatically at announcement evidently driven by inventory control concerns in a prolonged second stage trading volume surges price volatility persists and spreads remain moderately wide as investors trade to reconcile residual differences in their private views how do financial markets form prices and provide liquidity when information arrives efforts to address this issue have led to an extensive microstructure literature on equity markets and to a lesser extent on the foreign exchange fx market relatively little work has focused on the u s treasury market however in spite of its importance in its own right and the advantages it offers as an alternative testing ground for microstructure hypotheses

the identification of monetary policy disturbances explaining the liquidity puzzle abstract this paper examines recent work on the identification of monetary policy disturbances its main finding is that the empirical anomalies found in the literature reflect a failure to properly address the federal reserve s policy of accommodating reserve demand shocks a new method of identifying monetary policy using nonborrowed reserves is proposed using this specification policy has a strong persistent liquidity effect regardless of subsample policy granger causes output even in the presence of interest rates explaining approximately 49 of the variance in output at a two year horizon and the residual explanatory power of interest rates for output is negligible

why the microbrewery movement organizational dynamics of resource partitioning in the u s brewing industry1 the number of small specialty brewers in the u s beer brewing industry has increased dramatically in recent decades even as the market for beer became increasingly dominated by mass production brewing companies using the resource partitioning model of organizational ecology this article shows that these two apparently contradictory trends are fundamentally interrelated hypotheses developed here refine the way scale competition among generalist organizations is modeled and improve the theoretical development of the sociological bases for the appeal of specialist organizations products especially those related to organizational identity evidence drawn from qualitative and quantitative research provides strong support for the theory the article offers a brief discussion of the theoretical and substantive issues involved in application of the model to other industries and to other cultures

price discovery in the u s treasury market the impact of orderflow and liquidity on the yield curve we examine the role of price discovery in the u s treasury market through the empirical relationship between orderflow liquidity and the yield curve we find that orderflow imbalances excess buying or selling pressure can account for as much as 26 percent of the day to day variation in yields on days without major macroeconomic announcements the effect of orderflow on yields is permanent and strongest when liquidity is low all of the evidence points toward an important role of price discovery in understanding the behavior of the yield curve

reprint of central bank collateral frameworks abstract this paper seeks to inform about a feature of monetary policy that is largely overlooked yet occupies a central role in modern monetary and financial systems namely central bank collateral frameworks their importance can be understood by the observation that the money at the core of these systems central bank money is injected into the economy on terms not defined in a market but by the collateral frameworks and interest rate policies of central banks using the collateral framework of the eurosystem as a basis of illustration and case study the paper brings to light the functioning reach and impact of collateral frameworks a theme that emerges is that collateral frameworks may have distortive effects on financial markets and the wider economy they can for example bias the private provision of real liquidity and thereby also the allocation of resources in the economy as well as contribute to financial instability evidence is presented that the collateral framework in the euro area promotes risky and illiquid collateral and more generally impairs market forces and discipline the paper also emphasizes the important role of ratings and government guarantees in the eurosystem s collateral framework

trade environment and development the issues in perspective abstract this special issue on trade and the environment brings together a number of papers that are constructively critical of the conventional economic wisdom on the topic we think that this criticism is warranted because of the decidely uncritical way in which free trade has been advocated in much of the literature and especially in policy the papers analyse the validity of the underlying assumptions on which the conventional wisdom is based and provide suggestions for ways to facilitate trade that is also adequately protective of the environment sustainability and other social values in this introductory piece we discuss trade the environment and sustainability summarizing arguments in the papers included in this issue and adding a few additional points not covered by them

dynamic liquidity in endowment economies abstract this paper analyzes endogenous variations in aggregate liquidity that arise in standard representative agent endowment economies i introduce a natural definition of liquidity essentially a shadow elasticity that characterizes the price impact function or bid ask spread that a small trader would experience i compute this quantity for some tractable examples and uncover a rich variety of predictions that in some cases appear consistent with levels and covariations observed in the data the results have important implications for the pricing and hedging of liquidity risk

the components of the illiquidity premium an empirical analysis of u s stocks 1927 2010 this paper implements a conditional version of the liquidity adjusted capm lcapm the conditional lcapm allows for a time varying decomposition of the total illiquidity premium into a level component and three risk components the estimated average annual total illiquidity premium for us stocks 1927 2010 is 1 74 2 08 which is substantially lower than in most previous studies the contributions from illiquidity level and illiquidity risk are 1 25 1 28 and 0 46 0 83 respectively of the three illiquidity risk components risk related to the hedging of wealth shocks is the most important while commonality risk is the least important the illiquidity premia are clearly time varying with peaks in downturns and crises but with no general tendency to decrease over time the level premium and the risk premium are significantly positively correlated at around 0 35 indicating that in periods of turbulence both illiquidity cost and illiquidity risk premia tend to be high

commonality in liquidity a global perspective we conduct the first comprehensive study of commonality in liquidity using intraday spread and depth data from 47 stock exchanges we show that commonality is a widespread global phenomenon firm level changes in spreads and depths are significantly influenced by exchange wide changes in liquidity on the majority of the world s stock exchanges emerging asian exchanges have exceptionally strong commonality while those of latin america exhibit little if any commonality in contrast to previous nyse based results we find that commonality in bid ask spreads is most prevalent among small firms while commonality in depths increases monotonically with firm size after documenting the pervasive role of commonality within individual exchanges we examine commonality across exchanges we extend the empirical model of chordia roll and subrahmanyam 2000 and find the first empirical evidence of a distinct global component in bid ask spreads and depths changes in global spreads and depths have a significant effect on changes in liquidity at the exchange level we show that while exchange size total market capitalization plays an influential role in the liquidity transmission process global commonality is not driven by a subset of large exchanges

liquidity commonality in commodities abstract we examine liquidity commonality in commodity futures markets using data from 16 agricultural energy industrial metal precious metal and livestock commodities we show there is a strong systematic liquidity factor in commodities liquidity commonality was present in 1997 2003 when commodity prices were relatively stable and during the recent boom there is some support for both supply side and demand side explanations for this commonality we find no evidence of a consistent link between stock and commodity liquidity in general energy commodities appear to provide a better hedge against equity market liquidity risk than the other commodity families

the conditioning effect of time on firm survival an industry life cycle approach in an effort to reconcile theoretical blind spots we integrated research in technology management organizational ecology and evolutionary economics the central premise underlying the resultan

a variance spillover analysis without covariances what do we miss we evaluate the relevance of covariances in the transmission mechanism of variance spillovers across the us stock us bond and gold markets from july 2003 to december 2012 for that purpose we perform a comparative spillover analysis between a model that considers covariances and a model that considers only variances our results emphasise the importance of covariances including covariances leads to an overall increase of the spillover level and detects the beginnings of the financial crisis and of the us debt ceiling crisis earlier than the spillover measure that considers only variances even for the low dimensional system that we consider one misses important variance spillover channels when covariances are excluded

high frequency trading and comovement in financial markets abstract using the staggered entry of chi x in 12 european equity markets as a source of exogenous variation in high frequency trading hft we find that hft causes significant increases in comovement in returns and in liquidity about one third of the increase in return comovement is due to faster diffusion of market wide information we attribute the remaining two thirds to correlated trading strategies of hfts the increase in liquidity comovement is consistent with hft liquidity providers being better able to monitor other stocks and adjust their liquidity provision accordingly our findings suggest a channel by which hft impacts the cost of capital

events that shook the market tick data on the standard and poor s 500 stock index s p 500 futures contract and newswire searches are used to match events to large 1 to 5 minute stock price changes sixty nine events that led to large stock price changes are identified between 1982 and 1999 53 of which are directly or indirectly related to monetary policy many large stock price changes have no events associated with them

trading volume definitions data analysis and implications of portfolio theory we examine the implications of portfolio theory for the cross sectional behavior of equity trading volume two fund separation theorems suggest a natural definition for trading activity share turnover if two fund separation holds share turnover must be identical for all securities if k 1 fund separation holds we show that turnover satisfies an approximately linear k factor structure these implications are examined empirically using individual weekly turnover data for nyse and amex securities from 1962 to 1996 we find strong evidence against two fund separation and a principal components decomposition suggests that turnover is well approximated by a two factor linear model if price and quantity are the fundamental building blocks of any theory of market interactions the importance of trading volume in modeling asset markets is clear although most models of asset markets have focused on the behavior of returns predictability variability and information content their implications for trading volume have received far less attention in this article we derive the implications of various asset market models for volume and quantify their importance using recently available volume data for individual securities from the center for research in security prices crsp although the volume literature is voluminous 1 we hope to add to this literature in two ways first we develop the volume implications of popular asset market models rather than construct more specialized and often stylized models to

the price of liquidity the effects of market conditions and bank characteristics we study the prices that individual banks pay for liquidity captured by borrowing rates in repos with the central bank and benchmarked by the overnight index swap as a function of market conditions and bank characteristics these prices depend in particular on the distribution of liquidity across banks which is calculated over time using individual bank level data on reserve requirements and actual holdings banks pay more for liquidity when positions are more imbalanced across banks consistent with the existence of short squeezing we also show that small banks pay more for liquidity and are more vulnerable to squeezes healthier banks pay less but contrary to what one might expect banks in formal liquidity networks do not state guarantees reduce the price of liquidity but do not protect against squeezes

asset returns discount rate changes and market efficiency the primary purpose of this paper is to reconcile the previous findings of discount rate endogeneity with the presence of discount rate announcement effects in securities markets the crux of this reconciliation is the distinction between technical discount rate changes that are endogenous and nontechnical changes which contain some informative policy implications in essence we attempt to separate expected discount rate changes from unexpected changes or equivalently the expected component of discount rate changes from the unexpected component if markets are efficient the former should have no announcement effects while the latter may be associated with an announcement effect accordingly the focus of the empirical analysis is on the interaction between discount rate exogeneity the specific monetary policy regime and accouncement effects in addition we examine whether the behavior of these markets in the postannouncement period is consistent with the rapid price adjustment implied by market efficiency

is the first to market the first to fail empirical evidence for industrial goods businesses abstract when entering a new market the first entrant typically faces the greatest market and technological uncertainties memorable phrases reflect the associated survival risk such as the first to market is the first to fail and the pioneer is the one with the arrows in its back although research estimates the market pioneer s survival rate the typical pioneer survival rate has not been compared with that of early followers the authors study compares survival rates for 167 first entrant market pioneers versus 267 early followers for these industrial goods businesses 66 of the pioneers versus 48 of the early followers survived at least ten years the main conclusion is that the pioneer s temporary monopoly over the early followers plus its first mover advantages typically offset the survival risks associated with market and technological uncertainties these results are consistent with previous research in the sense that first mover advantages that increase a pioneer s market share also hel

the information content of discount rate announcements and their effect on market interest rates this paper presents evidence that throughout the 1973 85 period the federal reserve systematically used certain types of discount rate a nnouncements to signal changes in its policy instrument the federal funds rate market participants understood the signals contained in d iscount rate announcements and used them to revise their expectations of the funds rate these revisions in funds rate expectations caused movements in treasury bill rates copyright 1988 by ohio state university press

on the quantitative importance of market completeness abstract this paper quantitatively compares allocations in calibrated large overlapping generations growth models that only differ in their market structures for insuring against aggregate risk the findings are that the equilibrium behavior of aggregate variables is very similar across all market structures there are only minor differences the ratio of the volatility of aggregate consumption relative to that of investment is higher in complete market economies due partly to the higher volatility of consumption of older people it was also found that the risk premia in complete markets economies is basically zero therefore we can conclude that we can for the most part abstract from the issue of whether there exist markets for aggregate risk

stock prices and volume the authors undertake a comprehensive investigation of price and volume co movement using daily new york stock exchange data from 1928 to 1987 they adjust the data to take into account well known calendar effects and long run trends to describe the process they use a seminonparametric estimate of the joint density of current price change and volume conditional on past price changes and volume four empirical regularities are found 1 positive correlation between conditional volatility and volume 2 large price movements are followed by high volume 3 conditioning on lagged volume substantially attenuates the leverage effect and 4 after conditioning on lagged volume there is a positive risk return relation article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

the microeconomics of market making this paper examines the influence of risk aversion on the pricing policies of a market maker for securities it is shown that a market maker s bid ask spread can be decomposed into a portion for the known limit orders a risk neutral adjustment for expected market orders and a risk adjustment for market order and inventory value uncertainty it is dem onstrated that a risk averse market maker may set a smaller spread than a risk neutral specialist finally this paper demonstrates the pervasive role of inventory in affecting both the placement and size ofthe spread

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

daily momentum and contrarian behavior of index fund investors we use a two year panel of individual accounts in an s p 500 index mutual fund to examine the trading and investment behavior of more than 91 000 investors who have chosen a low cost passively managed vehicle for savings we identify classes of momentum investors and contrarian investors we use these classes to build up behavioral factors based on contrarian and momentum flows and we show that they are relevant for pricing they perform well against a benchmark of loadings on latent factors extracted from returns

testing for linear and nonlinear granger causality in the stock price volume relation linear and nonlinear granger causality tests are used to examine the dynamic relation between daily dow jones stock returns and percentage changes in new york stock exchange trading volume we find evidence of significant bidirectional nonlinear causality between returns and volume we also examine whether the nonlinear causality from volume to returns can be explained by volume serving as a proxy for information flow in the stochastic process generating stock return variance as suggested by clark s 1973 latent common factor model after controlling for volatility persistence in returns we continue to find evidence of nonlinear causality from volume to returns

monetary policy surprises and interest rates evidence from the fed funds futures market abstract this paper estimates the impact of monetary policy actions on bill note and bond yields using data from the futures market for federal funds to separate changes in the target funds rate into anticipated and unanticipated components interest rates response to anticipated target rate changes is small while their response to unanticipated changes is large and highly significant these responses are generally consistent with the expectations hypothesis of the term structure surprise target rate changes have little effect on expectations of future actions however which helps to explain the lack of empirical support for the expectations hypothesis at the short end of the yield curve

systematic liquidity and the funding liquidity hypothesis abstract in order to reconcile weak evidence of supply side determinants of commonality in liquidity in previous studies we examine commonality in liquidity in china over the period 1995 2012 consistent with supply side explanations we find that market declines and market volatility increase liquidity commonality to identify the direct relationship between the supply side determinants and commonality in liquidity we provide two specific tests and show that an increase in market participants has a negative effect on liquidity commonality while the split share structure reform in 2005 2007 that results in a large increase in shares supply has a positive impact on liquidity commonality finally we find that commonality in liquidity also has a real impact on the economy

the fed and interest rates a high frequency identification we measure monetary policy shocks as changes in the fed funds target rate that surprise bond markets in daily data these shock series avoid the omitted variable time varying parameter and orthogonalization problem of monthly vars and do not impose the expectations hypothesis we find surprisingly large and persistent responses of bond yields to these shocks 10 year rates rise as much as 8 10 of a percent to a one percent target shock the usual view that monetary policy only temporarily raises long term rates and influences inflation would lead one to predict a negative long rate response this abstract was borrowed from another version of this item

order imbalance liquidity and market returns traditionally volume has provided the link between trading activity and returns we focus on a hitherto unexplored but intuitive measure of trading activity the aggregate daily order imbalance on the new york stock exchange signed order imbalances increase decrease following market declines rises which reveals that investors are contrarians on aggregate order imbalances in either direction either excess buy or sell orders reduce liquidity market wide returns are strongly affected by contemporaneous and lagged order imbalances market wide returns reverse themselves after high negative imbalance large negative return days the magnitude of this reversal is partially predictable from the level of the imbalance and return even after controlling for aggregate market volume and liquidity market returns are affected by order imbalance

the on the run liquidity phenomenon abstract we test the implications of a model of multi asset speculative trading in which liquidity differentials between on the run and off the run u s treasury bonds ensue from endowment shocks in the presence of two realistic market frictions information heterogeneity and imperfect competition among informed traders and a public signal our evidence suggests that i off on the run liquidity differentials are economically and statistically significant even after controlling for several of the bonds intrinsic characteristics such as duration convexity repo rates or term premiums and ii off on the run liquidity differentials are smaller immediately following bond auction dates and larger when the uncertainty surrounding the ensuing auction allocations is high when the dispersion of beliefs across informed traders is high and when macroeconomic announcements are noisy consistent with our model

travel patterns and environmental effects now and in the future implications of differences in energy consumption among socio economic groups travel patterns among different socio economic groups in sweden are investigated it is shown that elderly persons persons with low incomes and women in general do not travel extensively middle aged persons persons with high incomes and men travel much farther cars are the dominant transportation mode for all population groups aeroplanes are used mostly by high income earners and men while public transportation is mostly used by young people and women energy consumption for the different travel patterns differs substantially men with high incomes consume the most energy with 94 000 mj during one year while elderly women consume 12 000 mj when compared to a calculated sustainable level of energy consumption for travel most population groups are in excess the level for sustainable energy consumption is calculated based on an assumed global potential for renewable energy of 360 ej per year divided equally among the global population a certain share of this energy potential is supposed to be used for travelling a scenario for 2020 is presented in which vehicle energy efficiency has increased and travel patterns have changed from what they are today sustainability can only be reached when both travel patterns and vehicle technology have changed radically differences in energy consumption for travel due to age and gender are likely to remain in the future scientific knowledge from the social domains seems to be important for devising efficient strategies for a sustainable society current focus on policy measures has been mainly on technical issues

the lender of last resort in the wake of the crash scholars since henry thornton and walter bagehot have advised central banks to lend in a crisis to any deserving customer who is illiquid but solvent aid should be given quickly visibly in large amounts when necessary temporarily and comprehensively the loans should not subsidize errors of judgement disrupt long term monetary policy goals or promote moral hazard they should restore confidence prevent panic and contain spillover today students of the lender of last resort llr also advise that recipients should be chosen equitably and aid be dispensed fairly see my study with elizabeth plautz 1988 the federal reserve in executing its llr responsibilities accepts most of these precepts two departures were particularly evident in october 1987 however first the fed prefers to lend to commercial banks and does not lend directly to just any type of organization second it likes to operate behind closed doors the possibility of further financial deregulation particularly the union of commercial and investment banking and the postcrash reform of the stock options and futures markets raise the question whether the federal reserve s preferences can continue to be met

an empirical analysis of stock and bond market liquidity this article explores cross market liquidity dynamics by estimating a vector autoregressive model for liquidity bid ask spread and depth returns volatility and order flow in the stock and treasury bond markets innovations to stock and bond market liquidity and volatility are significantly correlated implying that common factors drive liquidity and volatility in these markets volatility shocks are informative in predicting shifts in liquidity during crisis periods monetary expansions are associated with increased liquidity moreover money flows to government bond funds forecast bond market liquidity the results establish a link between macro liquidity or money flows and micro or transactions liquidity a number of important theorems in finance rely on the ability of investors to trade any amount of a security without affecting the price however there exist several frictions 1 such as trading costs short sale restrictions and circuit breakers that impact price formation the influence of market imperfections on security pricing has long been recognized liquidity in particular has attracted a lot of attention from traders regulators

social identity market memory and first mover advantage considerable attention goes to whether there is a first mover advantage among organizations technical mechanisms have been considered for this advantage such as learning and occupancy of preferred market segments we argue that first movers may also benefit from a social identity advantage because being identified as the original in a market implies authenticity when first mover advantage is based on such an identity market memory is important initially audiences distinguish the originality of the first mover but as time passes such differences are less recognizable we find evidence of this pattern and that organizations are constrained from expanding beyond where their identity is established the results suggest the usefulness of a sociological approach to understanding the first mover strategy copyright 2013 the author 2012 published by oxford university press on behalf of associazione icc all rights reserved oxford university press

trade size order imbalance and the volatility volume relation abstract this paper examines the roles of the number of trades size of trades and order imbalance buyer versus seller initiated trades in explaining the volatility volume relation for a sample of nyse and nasdaq stocks our results reconfirm the significance of the size of trades beyond that of the number of trades in the volatility volume relation on both markets after controlling for the return impact of order imbalance the volatility volume relation becomes much weaker for nyse stocks the order imbalance in large trade size categories affects the return more than in smaller size categories for nasdaq stocks the largest return impact comes from the order imbalance in maximum sized small order execution system soes trades

money supply announcements and the market s perception of federal reserve policy this paper investigates the reason why innovations in money supply announcements cause interest rates to change the paper empirically discriminates between the liquidity premium and the expected inflation hypotheses by directly taking into account investors expectations regarding the federal reserve s monetary policy stance the results support the liquidity premium hypothesis and the model provides an explanation for the observed time variation in the response of interest rates to money announcement surprises copyright 1990 by ohio state university press

measuring the reaction of monetary policy to the stock market movements in the stock market can have a significant impact on the macroeconomy and are therefore likely to be an important factor in the determination of monetary policy however little is known about the magnitude of the federal reserve s reaction to the stock market in part because the simultaneous response of equity prices to interest rates makes it difficult to estimate this paper uses an identification technique based on the heteroskedasticity of stock market returns to measure the reaction of monetary policy to the stock market we find a significant policy response with a 5 percent rise fall in the s p 500 index increasing the likelihood of a 25 basis point tightening easing by about a half

sustainable pioneering advantage profit implications of market entry order there is strong theoretical and empirical evidence supporting the idea that first to market leads to an enduring market share advantage in sharp contrast to these findings we find that at the business unit level being first to market leads on average to a long termprofit disadvantage this result holds for a sample of consumer goods as well as a sample of industrial goods and leads to questions about the validity of first mover advantage in and of itself as a strategy to achieve superior performance we replicate the typical demand side pioneering advantage but find an evengreater average cost disadvantage which is the source of the pioneering profit disadvantage in an extended analysis we show that first to market leads to aninitial profit advantage which depending on the sample or profit measure lasts for about 12 to 14 years before turning into a disadvantage moreover we show that pioneers differentially benefit from a lack of consumer learning a strong market position and patent protection these three moderating factors together can actually help pioneers achieve a sustainable profit advantage over later entrants finally we find strong support for the theoretical argument that the entry order decision should be treated as endogenous in empirical estimation

supply contraction and trading protocol an examination of recent changes in the u s treasury market we investigate liquidity and trader behavior in the u s treasury market during recent supply contractions as in the precontraction period dealers employ expandable order strategies to achieve greater than posted depth at the posted price and use expandable orders more often when expected information asymmetry is greater overall however dealers are less likely to discover greater than quoted depth during the supply contraction regimes we find that even after substantial losses in their market share of coupon treasury trading brokers reporting voice brokered trading through govpx provide an important protocol for depth discovery we investigate liquidity and trader behavior in the u s treasury market during recent supply contractions as in the precontraction period dealers employ expandable order strategies to achieve greater than posted depth at the posted price and use expandable orders more often when expected information asymmetry is greater overall however dealers are less likely to discover greater than quoted depth during the supply contraction regimes we find that even after substantial losses in their market share of coupon treasury trading brokers reporting voice brokered trading through govpx provide an important protocol for depth discovery

design and development of a measuring method for environmental sustainability in food production systems abstract these days sustainability is a key issue for many private companies that address their sustainable corporate performance scp the perspective is essential for their license to operate and forms the basis for business principles and practices the lack of internationally accepted reporting standards on what when and where to report makes it difficult to assess sustainability however moreover measuring tools providing information on scp are only the first step towards sustainability to prevent negative effects of operations being transferred from one company to another the second step is the development of a system based approach for all companies that contribute to an end product this paper presents the findings of a study about the use of environmental indicators for food production and proposes a measuring method for environmental sustainability in food production systems the study shows that environmental scp often focuses on events at a local level the enormous number of indicators found in the literature generates too much data that often provide no additional knowledge on the environmental sustainability of a system moreover although environmental research has addressed many aspects of sustainability it has often ignored interactions overall environmental implications of food production are therefore poorly understood the proposed measuring method uses three indicators that address global environmental issues the use of energy from both fossil and renewable sources land and water the systemic approach can calculate trade offs along supply chains that make up a production system the use of the method implies an extension of environmental scp towards the overall performance of a production system the final outcome is expressed in three performance indicators the total land energy and water requirement per kilogram of available food for companies the data generated can be used to compare trends over time to compare results with targets and to benchmark a company against others for consumers data can be used to compare the environmental effects of various foods the method is also applicable to other business sectors the study is part of a multidisciplinary project on the scientific modeling and measuring of scp involving economic social and environmental dimensions acceptance of the measuring methods developed may be a powerful contribution towards creating sustainable business practices

the cross market dynamic effects of liquidity on volatility evidence from chinese stock index and futures markets abstractthis article investigates the cross market asymmetric dynamic effects of liquidity on realized volatility and its intersection with jump volatility between chinese stock index and futures m

weighted average source points and distances for consumption origin tools for environmental impact analysis abstract this paper presents two methods to quickly assess how local people s consumption is dependant on sources other than local or domestic weighted average source points wasps or weighted average source distances wasds for consumption origin are calculated and used to illustrate the extent to which the goods consumed come from places other than where the consumer lives two case studies show the practicability of the methods the first is a comparison between the consumption origins of tomatoes and carrots and the second a comparison between grape consumption origins in 1965 and 1992 both the wasp and the wasd methods are easy to use and the results can be communicated in illustrative ways these methods however give only an estimate of possible environmental impacts