stock returns implied volatility innovations and the asymmetric volatility phenomenon we study the dynamic relation between daily stock retums and daily innovations in optionderived implied volatilities by simultaneously analyzing innovations in index and firmlevel implied volatilities we distinguish between innovations in systematic and idiosyncratic volatility in an effort to better understand the asymmetric volatility phenomenon our results indicate that the relation between stock retums and innovations in systematic volatility idiosyncratic volatility is substantially negative near zero these results suggest that asymmetric volatility is primarily attributed to systematic market wide factors rather than aggregated firm level effects we also present evidence that supports our assumption that innovations in implied volatility are good proxies for innovations in expected stocic volatility

similarities in the distribution of stock market price changes between the eighteenth and twentieth centuries are all financial time series alike this article raises that question by establishing that eighteenth and twentieth century equity market time series behave similarly the distribution of price changes now and then both exhibit the same patterns or regularities in particular the distribution of price changes is leptokurtic and fluctuations in variance are persistent this article provides further evidence that financial market regularities are stable and not contingent on specific times and places the historical evidence shows that eighteenth century stock market and traders are not so different from those of today copyright 1998 by university of chicago press

foreign investment and spillover efficiency in an underdeveloped economy evidence from the mexican manufacturing industry abstract in this paper we consider the question whether differences in technical efficiency of mexican plants in part derive from spillover efficiency associated with foreign direct investment we use labour productivity as a measure of technical efficiency and relate this to capital intensity labour quality and scale of production we measure the degree of competition by different concentration indices and the final factor determining efficiency is the presence of foreign subsidiaries if there is a positive relation between efficiency of domestic plants and the foreign participation of various industries we conclude that there is a spillover of technical efficiency the empirical evidence from the study indicates that this is the case

foreign influence control and indirect ownership implications for productivity spillovers how does the presence of controlled foreign firms affect the productivity of domestic firms in the same industry we revisit the historical distinction between control and influence by the foreign owner and define controlled foreign firms as those with a foreign ultimate owner holding 50 or more of voting shares connecting insights from new internalization theory with knowledge based views of the mne we posit that controlled foreign firms will generate larger productivity spillovers than non controlled foreign firms we use a firm level panel dataset of 575 844 manufacturing firms 2 343 495 observations across 20 european countries to test our proposition we pay careful attention to how firms are categorized as foreign taking into account both direct and indirect ownership links allowing for indirect ownership turns out to be pivotal there are just as many indirectly controlled foreign firms as foreign firms captured with direct ownership data we find positive horizontal spillovers from controlled foreign firms and zero spillovers from non controlled foreign firms interestingly the strongest positive spillovers come from the indirectly controlled foreign firms the implications of our study extend beyond productivity spillovers to areas such as cross border m as joint ventures mne strategies of legitimation and corporate groups

productivity spillovers from foreign direct investment evidence from uk industry level panel data this paper examines intra industry productivity spillovers from foreign direct investment fdi in the uk manufacturing sector the empirical analysis uses panel data for 48 uk industries over the period 1991 1995 a major contribution is empirical evidence on spillover effects in situations where the host country is developed the results indicate that the very presence of fdi has a positive spillover impact on the productivity of uk owned firms the analysis also shows that the extent to which local firms benefit from the introduction of advanced technology depends largely on their own technological capabilities

the export diversifying impact of japanese and us foreign direct investments in the indian manufacturing sector the paper highlights the export diversifying impact of foreign direct investment fdi in a developing country fdi may lead to export diversification in the host country if it positively affects the export intensity of industries that have a low share in world exports indirectly fdi may encourage export diversification through spillover effects that is the presence of fdi in an industry may increase the export intensity of domestic firms the empirical results for the indian economy in the post liberalisation period show that fdi from the us has led to diversification of india s exports both directly and indirectly however japanese fdi has had no significant impact on india s exports

cross sectional estimation of fdi spillovers when fdi is endogenous ols and iv estimates for mexican manufacturing industries cross sectional estimates of foreign direct investment fdi spillovers are biased when the variable capturing the cross industry variation of foreign participation is endogenous to the estimated regression model in this article i introduce an original instrument for this problematic fdi variable capturing the general fdi intensity of manufacturing industries i use this instrument to estimate fdi externalities in a cross section of mexican manufacturing industries the main findings show that in contrast to the common criticism that ordinary least squares ols estimation produces an upward bias in the estimated fdi externality effect for the sample of mexican manufacturing industries ols estimation causes a downward bias controlling for the tendency among foreign manufacturing firms to gravitate towards low productivity industries the instrumental variable estimations provide robust evidence of significantly larger positive fdi spillover effects

why derivatives need models the political economy of derivative valuation models derivatives markets continue to turn over enormous volumes and are an important part of financialised capitalism in the early twenty first century a surprising and yet key feature of these large and apparently liquid markets is that they seem to be bound up with the widespread use of mathematical valuation and risk management models by market participants the paper investigates derivative models and risk management by highlighting the grounds for their emergence their establishment and their influence on market developments a political economy of derivatives markets provides insights into the essential nature of derivatives defining them against the material circumstances in which they arise and allows the logical development of valuation models and risk management as the necessary complement to the large scale derivatives markets that have developed since the 1980s the paper builds from finding prices for potential new trades to valuing completed trades and risk managing portfolios to show how and why valuation models and risk management are bound up with today s derivatives markets

is foreign direct investment beneficial for mexico an empirical analysis 1960 2001 summary this paper examines the impact of foreign direct investment fdi on labor productivity growth in mexico using cointegration analysis a dynamic labor productivity function for the 1960 2001 period is estimated that includes inter alia the impact of changes in the stock of private and foreign capital per worker the error correction model ecm estimates suggest that increases in both private lagged and foreign lagged investment per worker have a positive and economically significant effect on the rate of labor productivity growth however after taking into account the growing remittances of profits and dividends there is a marked decrease in the economic effect of foreign capital per worker on the rate of labor productivity growth the paper assesses the short term interactions of the relevant variables via impulse response functions irfs and variance decompositions vdcs based on a decomposition process that does not depend on the ordering of the variables

option markets and implied volatility past versus present abstract traders in the nineteenth century appear to have priced options the same way that twenty first century traders price options empirical regularities relating implied volatility to realized volatility stock prices and other implied volatilities including the volatility skew are qualitatively the same in both eras modern pricing models and centralized exchanges have not fundamentally altered pricing behavior but they have generated increased trading volume and a much closer conformity in the level of observed and model prices the major change in pricing is the sharp decline in implied volatility relative to realized volatility evident immediately upon the opening of the cboe

trade policy reform and performance in manufacturing mexico 1975 88 1 this article examines the impact of the major trade liberalisation that has been introduced in mexico since the mid 1980s on efficiency in the manufacturing sector alternative indicators of efficiency are estimated and changes in these indicators are explained by regression analysis including various measures of the degree of liberalisation the conclusion is that thus far liberalisation has had a positive but relatively weak effect on performance

foreign direct investment exports and imports in mexico this paper analyses the liberalisation of foreign direct investment fdi in mexico since the late 1980s and its relationships with exports and imports such a process has eased the access of multinational corporations mncs to the country which has promoted exports however it has also resulted in a higher import content and the displacement of local firms which has limited mexico s economic development through the balance of payments constraint the analysis is supported by the existence of linkages bidirectional granger causality between exports imports and fdi

a meta analysis of fdi and productivity spillovers in developing countries markdownabstractthis meta analysis reviews the intrasector heterogeneity of productivity spillovers from foreign direct investment fdi in 31 developing countries through a larger more comprehensive data set we investigate how the inconsistencies in the reported spillover findings are affected by publication bias characteristics of the data estimation techniques and empirical specification analyzing 1450 spillover estimates from 69 empirical studies published in 1986 2013 our findings suggest that reported fdi spillover estimates are affected by publication bias in combination with model misspecification of the primary studies the bias overstates the genuine underlying meta effect but the meta effect remains economically and statistically significant our results emphasize that spillovers and their sign largely depend systematically on specification characteristics of the primary studies and publication bias publication bias is not caused by best practice choices future research needs to cover more developing countries and to investigate not only whether spillovers occur but also to explore inside the black box of how spillovers actually emerge

intra and inter industry externalities from foreign direct investment in the mexican manufacturing sector new evidence from mexican regions summary this paper presents new empirical evidence on externalities from foreign direct investment fdi in several mexican regions in the early 1990s the main findings are threefold first the presence of fdi creates negative externalities within industries and positive externalities between industries through backward linkages second fdi externalities are stimulated by large technological differences between fdi and mexican firms and by geographic concentration of industries third we identify a substantial level of regional heterogeneity of the externality impact of fdi in line with the notion that fdi may have contributed to processes of changing regional prosperity under trade liberalization the findings also imply that maquiladora firms in the border states are generating positive externalities

the market for equity options in the 1870s the introduction of exchange traded options in 1973 led to explosive growth in the stock options market but put and call options on equity securities have existed for more than a century prior to the listing of option contracts trading was conducted in an order driven over the counter market from 1873 to 1875 quotes for options contracts were published weekly in the commercial and financial chronicle during a period that saw extensive marketing efforts by a number of brokerage firms in this article we examine these quotes to determine why this seemingly sophisticated market existed for only a brief period in financial history in 1973 exchange traded options were introduced and for the first time a central marketplace was available for the trading of standardized option contracts in addition the creation of the options clearing corporation provided an intermediary to all contracts the volume of options traded has exploded during the past twenty three years as has our understanding of the pricing of options and other derivative securities put and call options on equity securities however have been available to american investors for more than a century following the civil war an active market in privileges the term then used for options1 developed in new york city with numerous brokerage firms offering put call and double privilege contracts this market reached the height of its activity in the period from 1873 through 1875 during that time indicative price quotes from a particular broker for options on about a dozen equity securities were generally published every saturday in the commercial and financial chronicle these quotes were placed along with the other financial data for the week including daily high and low stock prices bond prices gold prices money

emerging market spreads then versus now we analyze yield spreads on sovereign bonds issued by emerging markets using modern data from the 1990s and newly collected historical data on bonds traded in london during 1870 1913 a previous era of global capital market integration we show that spreads today comove across emerging markets to a significantly higher degree than they did in the historical sample moreover sharp changes in spreads in the 1990s tend to be mostly related to global events whereas they were primarily related to country specific events in 1870 1913 although we find that fundamentals comove somewhat more strongly today than they did in the past we conjecture that today s investors pay less attention to country specific events than their predecessors did

global investments and regional development trajectories the missing links abstractglobal investments and regional development trajectories the missing links regional studies regional economic development has been long conceptualized as a non linear interactive and socially embedded process these features were traditionally regarded as spatially mediated and highly localized however unprecedentedly fast technological change coupled with the intensification of global economic integration has spurred the need to place regional development in a truly open and interdependent framework despite substantial progress in the academic literature rethinking regional development in this perspective still presents a number of challenges in terms of concepts empirical evidence and policy approaches following an interdisciplinary assessment of how openness and connectivity proxied by one of the many cross border flows i e global investments interact with regional economic development trajectories this paper presents a picture of the geography of foreign investments from and

foreign investment and productive efficiency the case of mexico this paper examines whether the relative performance of firms within mexican manufacturing industries varies systematically with the presence of foreign subsidiaries it also analyzes how foreign entry influences the technological structure in host country industries the findings suggest that 1 foreign presence in an industry is positively correlated with structural efficiency and 2 foreign entry is related to structural changes only in the modern part of the industries the most important source of spillover efficiency is found to be in the competitive pressure induced by the foreign firms i introduction a widely held view among economists studying foreign investment is that one of the important contributions to the host country is likely to stem from external effects or spillovers the spillovers can be of different kinds the foreign firms may influence the productivity and growth of the domestically owned firm they may change the nature and evolution of concentration they may alter financing marketing and technological and managerial practices in the industries that they enter et cetera because of great methodological difficulties in investigating these effects empirically in addition to lack of data few empirical investigations appear in the literature three available econometric studies deal with the influence of foreign investment on the technical efficiency of host country firms one focuses on australia caves 1974 one on canada globerman 1979 and one on mexico blomstrom and persson 1983 all three find some support for the spillover benefit hypothesis but none of the studies analyzes the nature of spillover efficiency in depth the present paper is an attempt to identify through what mechanisms the spillover efficiency of foreign investment takes place by analyzing the effects of foreign investment on the productive efficiency of the industrial structure in mexico we will examine whether the relative performance of firms within an industry varies systematically with the presence of foreign subsidiaries we will also analyze the impact of foreign investment on structural change that is how foreign entry influences the technological structure in host country industries

when and where does foreign direct investment generate positive spillovers a meta analysis local firms may attract productivity spillovers from foreign investors yet these vary with local firms awareness capability and motivation to react to foreign entry in consequence spillovers vary across countries at different levels of economic development we apply competitive dynamics theory to analyze these contextual moderators of spillovers and test hypotheses thus derived in a meta analysis of the empirical literature on spillovers our analysis suggests a curvilinear relationship between spillovers and the host country s level of development in terms of income institutional framework and human capital

externalities and technology transfer through multinational corporations a theoretical analysis abstract this paper examines the optimal behavior of a multinational firm s subsidiary in a host country when learning of its production techniques by its native rivals occurs in a dynamic framework it is shown among other things that a it is worthwhile for the subsidiary to import better technology from its parent firm and that b such technology transfer may not benefit the firms of the host country despite their learning while the host country as a whole does benefit

the bitcoin options market a first look at pricing and risk this paper offers the first ever look at bitcoin options by investigating the wedge between optimum bitcoin option prices based on classical option valuation models black scholes merton and the he

foreign direct investment and host country productivity the american automotive component industry in the 1980s although several studies have shown that inward foreign direct investment fdi often leads to greater host country productivity researchers have yet to determine the relative importance of direct technology transfer and competitive pressure to assess the relative importance of the two channels we examine the us auto component industry between 1979 and 1991 during this period japanese automobile assemblers began to produce vehicles in north america and began to purchase inputs from us auto component manufacturers those us manufacturers that sold components to japanese transplants would be the direct recipients of any technologies transferred from the japanese although we find that the direct investment by japanese assemblers was associated with overall productivity improvement in the us auto component industry we find little evidence of direct technology transfer the productivity growth of us suppliers affiliated with japanese assemblers was no greater than that of other non affiliated us suppliers further we find that the japanese assemblers tended to purchase components from less productive us suppliers and moreover that low productivity suppliers that sold goods to japanese assemblers had a higher survival rate than low productivity suppliers that did not sell to japanese firms the results suggest that increased competitive pressure in the auto sector was the main cause of overall productivity improvement at least during the initial stages of fdi of the 1980s

growth technology transfer and the long run theory of international capital movements abstract this paper provides a model of growth and international capital movements technology is assumed to be transferred via international capital movements from the developed north to the developing south it is shown that when the south shifts from autarky to free capital mobility its steady state growth rate of per capita income rises also under free capital movements an increase in the autarkic growth rate of human capital and or technological diffusion rate in the south lowers the steady state income gap between the north and the south

the comparative performance of foreign and domestic firms in brazil abstract this paper analyzes data for 282 pairs of foreign owned and private brazilian firms which are matched by sales and by four digit manufacturing industry differences between the two types of firms are surprisingly large and highly significant compared to their local counterparts foreign firms operate fewer plants have higher ratios of value added to output higher levels of advertising and royalty payments greater exports higher labor productivity higher wages and greater capital intensity

mode size and location of foreign direct investments and industry markups abstract several studies find that inward foreign direct investment fdi raises host industries competition and productivity using aggregate fdi measures the monetary flows or the change in the industries foreign production share yet fdi flows are composed of many individual heterogeneous investments reflecting this heterogeneity i ask how the average traits of the individual investments that constitute the fdi flow further affect the host while the results show that inward fdi does heighten competition for us manufacturing industries in 1987 1991 price cost markups fall even more when foreign investments locate further away from incumbent industry which is consistent with endogenous location choice

foreign direct investments environmental externalities and capital segmentation in a rural economy this paper examines the possible effects of external investment inflows on the development of local rural economies taking into account two recurrent features of many developing countries capital market segmentation and environmental externalities to investigate this issue we examine a model with two sectors the local sector and the external sector physical capital accumulation in the latter sector is driven by foreign direct investments while in the former sector it follows a solow type accumulation mechanism we assume that the production activity of the external sector damages the environment while the local sector relies on natural resources in this context we give the conditions under which capital inflows can promote diversification of host economy while improving welfare of local populations if these conditions are not satisfied external investments fuel a welfare reducing process for the local community and a self enforcing growth of the external sector at the expense of the local one

foreign direct investment pollution and economic growth evidence from malaysia the bounds test developed by pesaran et al 2001 is applied to examine the existence of a long run relationship between foreign direct investment fdi inflows pollution and output of malaysia granger causality tests are also utilized to test for the presence of the short run and long run causal relationship between these variables both fdi inflows and pollution have short run causal relationship on output output only has long run causal relationship on fdi inflows

is the relationship between inward fdi and spillover effects linear an empirical examination of the case of china this paper finds evidence for the coexistence within chinese manufacturing industry of both curvilinear and linear relationships between inward foreign direct investment fdi and the productivity of locally owned enterprises loes this complexity of spillover effects challenges the laissez faire view that all inward fdi into all types of domestic industry is equally valuable in terms of productivity spillover benefits our findings suggest that inward fdi into china leads either to spillovers that decline beyond a critical point or to effects that continue linearly depending on the ownership of foreign investors and the technological characteristics of the industry concerned our analysis yields original insights into the complex pattern of spillover effects from fdi into china and deeper understanding of its possible causes

mutual productivity spillovers between foreign and local firms in china the existing literature treats advanced technology sourcing as the only cause of reverse productivity spillovers from local to foreign firms and implies that mutual spillovers between foreign and local firms can only happen in the developed world this paper argues that the diffusion of indigenous technology and local knowledge helps the productivity enhancement of multinationals so that there can be mutual spillovers even in a developing country the results from a large sample firm level econometric analysis and a comparative case study of seven companies in chinese manufacturing support this new argument as mutual spillovers are identified between local chinese firms and overseas chinese or oecd invested firms

the behavior of volatility expectations and their effects on expected returns this article examines the behavior of common stock return volatility forecasts implied by call option prices and studies the relationship between implied volatilities and stock returns the author estimates a model that integrates the findings of previous theoretical and empirical research the author finds that implied volatilities are significantly positively related to forecasts of market return volatility and to recent realizations of stock and market volatilities the author s model is able to capture much of the previously unexplained cross sectional and serial correlation in implied volatilities moreover stock returns are found to be significantly positively related to lagged implied volatilities copyright 1993 by university of chicago press

stock price volatility mean reverting diffusion and noise abstract using weekly call option prices on twenty five stocks over a ten year period 1975 1985 and calls on the s p 500 stock index futures we find that ex ante market volatility follows a mixed mean reverting diffusion with noise process changes in volatility are correlated across stocks and a marketwide volatility effect is found strong forces pull the volatility back to its long term value the findings suggest the development of new option pricing models

fdi trade and spillover efficiency evidence from china s manufacturing sector using firm data from the 1995 third industrial census of china this paper finds that the presence of foreign ownership has a positive and significant effect on domestic firms productivity moreover trading with more advanced countries helps china gain access to new technology and information which improves its productivity and enables it to compete in international markets it is found that china s imports from oecd and the four asian tigers and exports to oecd have positive effects on domestic firms productivity by dividing industries into high technology gap and low technology gap groups it is found that the spillover effects of fdi are larger for the low technology gap group than for the high technology gap group however the estimation results of the trade induced technology spillover effect support the technology gap learning theory and the significance of importing appropriate technology

spillovers from foreign direct investment within or between industries this paper contributes an estimation framework to measure both technological and linkage externalities from foreign direct investment fdi empirical research dealt mainly with intra industry spillovers from fdi with restrictive treatment of inter industry effects until recently however as optimal organization of the multinational corporation mnc involves minimization of profit losses due to leakage of technical information to competitors host country firms within the mnc s sector experience limited productivity gains ensuing fdi host country producers in other sectors may benefit for example mncs transfer knowledge to local downstream clients or outsource to local upstream suppliers hence fdi substitutes within sector domestic investment but complements it across sectors the net impact on aggregate capital formation by host country producers hinges on the interaction between linkages and spillovers estimations based on the colombian manufacturing census yield the sectoral pattern of fdi spillovers displaying knowledge propagation between but not within industries the findings reveal outsourcing relationships of mncs with local upstream suppliers as the channel of diffusion

determinants of fdi induced externalities new empirical evidence for mexican manufacturing industries summary this paper presents new statistical evidence on foreign direct investment fdi induced externalities in mexican manufacturing industries for 1993 the new empirical results are important in three respects first the size of technological differences between fdi and mexican firms is positively related to positive externalities indicating the importance of sufficient scope of potential externalities incentives to make externality facilitating investments and the absence of negative competition effects second geographical concentration is identified as a structural determinant of positive fdi externalities finally the effect from fdi cleared from the influence of technological differences and agglomeration is the creation of positive externalities especially when endogeneity of the foreign participation variable is controlled for

the impact of regional and institutional factors on labor productive performance evidence from the township and village enterprise sector in china this paper investigates the determinants of township and village enterprise tve labour productivity in china examining behaviour at both the national and regional levels the results suggest that human capital the real wage level foreign intensity export intensity capital investment and firm size are the most important factors affecting labour productivity at the national level but their relative importance varies significantly between the regions the results also indicate that government privatization reforms had a major impact on labour productivity in the tve sector across the regions

a technique for obtaining improved proxy estimates of minimum optimal scale in the field of industrial organization the concept of economies of scale is of fundamental importance large minimum optimum scale mos 1 and significant unit cost reduction up to mos size together suggest the possibility of high industry concentration and significant barriers to entry 2 however a recent paper in this review caves shirazi and porter 1975 has pointed to the severe difficulties encountered by students of industrial organization in empirical analyses of these relationships the chief problem is that objective measures of mos i e engineering estimates 3 and of the cost disadvantage of suboptimal scale production are available for only a small minority of all u s manufacturing industries at say the 4 digit level since there are more than 400 such industries it is most unlikely that there ever will be much change in this situation this means that in large scale cross section statistical analyses various proxies for scale economy influences must be used this is also the case in other fields of economics in which the influence of industrial organization has been recently felt in the investigation of sectoral patterns of direct foreign investment and the commodity composition of international trade for example unfortunately little has been achieved in terms of the development of reliable proxies for scale economies or minimum optimal scale this relative poverty in the data seriously jeopardizes the empirical analyses undertaken in all the above mentioned fields the present paper is a first step at overcoming this deficiency it offers a critical analysis of the proxies currently in vogue and it suggests an alternative technique for generating estimates of mos that appear to be substantially superior to them

learning through the international joint venture lessons from the experience of china s automotive sector this study explores why international joint ventures ijvs based on the global south may meet with only partial success in nurturing local technological capability the experience of china s passenger vehicle sector demonstrates that in the existence of a substantial technological capability gap between alliance partners the ijv arrangement is likely to create a passive learning mode and learners using this ijv arrangement may be able to strengthen their production capability but leaving their project execution and innovation capabilities largely undeveloped

united arab emirates fdi outlook fdi is important in building a sustainable and diversified knowledge based uae economy the stock of fdi grew at an average annual growth rate of 45 3 percent over the past decade reaching us 95 billion or nearly 27 percent of gdp in 2012 fdi flows have not recovered from the global financial crises most fdi stock is concentrated in finance construction and real estate recent greenfield fdi is concentrated in construction while more than half of top m a deals took place in finance transportation communications and utilities the list of top oecd home countries for fdi flows to the uae include italy germany chile united kingdom luxembourg france united states and belgium though uae investment policy limits foreign investment and reduces competition the government has undertaken reforms and contracted investment treaties that have encouraged investment efforts are under way to speed up the ratification of a new foreign investment law which removes several of the current legal barriers to fdi and offers foreign investors similar rights to those of uae nationals the uae has high fdi potential with plenty of room for improving fdi performance and benefiting the economy

causality between foreign investment and spillover efficiency while there is considerable evidence on the observed linkage between foreign investment and technical efficiency of the developing countries the question of causality between them has not been investigated this paper re examines the relationship between foreign direct investment and technical efficiency in mexico brazil chile singapore and zambia using granger causality tests the results suggest that foreign direct investment and labour productivity are causally independent variables however capital formation of the host country is found to exert causal influence on foreign investment

foreign direct investment inflows and the industrialization of african countries summary this paper examines the relationship between inward foreign direct investment fdi and the industrialization process in africa it uses panel data from 49 countries over the period of 1980 2009 the results indicate that fdi did not have a significant impact on the industrialization of these countries while other variables such as the size of the market the financial sector and international trade were important this study concludes that the role of fdi in the transformation agenda which is currently being discussed in africa should be carefully analyzed to maximize the impact of these capital inflows

constructing a market performing theory the historical sociology of a financial derivatives exchange this analysis of the history of the chicago board options exchange explores the performativity of economics a theme in economic sociology recently developed by callon economics was crucial to the creation of financial derivatives exchanges it helped remedy the drastic loss of legitimacy suffered by derivatives in the first half of the 20th century option pricing theory a crown jewel of neoclassical economics succeeded empirically not because it discovered preexisting price patterns but because markets changed in ways that made its assumptions more accurate and because the theory was used in arbitrage the performativity of economics however has limits and an emphasis on it needs to be combined with classic themes in economic sociology such as granovetterian embedding and the way in which exchanges can be cultures and moral communities in which collective action problems can be solved

accounting for sources of fdi technology spillovers evidence from china using a set of panel data of 11 324 firms in china from 1996 to 1999 the paper finds that positive technology spillovers from fies to domestic firms occur through tangible assets rather than intangible assets through domestically consumed products rather than exported products through traditional products rather than new products and through fies employing unskilled workers rather than fies employing skilled workers fies are found to generate negative spillovers through exports and through employment of skilled workers

externalities from foreign direct investment in the mexican retailing sector this contribution to the discussion on the impact of foreign direct investment in developing countries is based on an empirical study of the consequences of transnational corporations presence in the mexican retailing sector particularly wal mart first it is shown that the arrival of foreign firms accelerates the modernisation but has a negative impact on local firms performance as well as local worker remuneration as a result of the growing competitive pressure in the sector second the changes that occurred in supply chain governance and the tremendous increase of imports initiated by wal mart are described and some probable implications for local suppliers are suggested

the price of options illiquidity the purpose of this paper is to examine the effect of illiquidity on the value of currency options we use a unique dataset that allows us to explore this issue in special circumstances where options are issued by a central bank and are not traded prior to maturity the value of these options is compared to similar options traded on the exchange we find that the nontradable options are priced about 21 percent less than the exchange traded options this gap cannot be arbitraged away due to transactions costs and the risk that the exchange rate will change during the bidding process

the internationalization of small and medium sized enterprises a policy perspective small and medium sized firms play an impor tant role in the process of creative destruction the focus of the paper is on the international diffusion of small and medium sized firms innovations small and medium sized firms face two challenges in globalization property rights protection and barriers to entry we suggest that these barriers can frequently be circumvented by using existing multinationals as interna tional conduits for small and medium size firms innovations however such intermediated modes of expansion is adversely affected by transaction difficulties and intermediator s rent extraction we raise two categories of questions i is the private sector systematically making the wrong choice between the direct and intermediated mode of international expansion and ii what should be the policy guidelines to improve the overall rate of international diffusion of innova tion by small and medium sized enterprises

the saga of the first stock index futures contract benchmarks models and learning in the presence of imperfect or perturbed benchmarks pricing based on relative valuation or arbitrage can be affected adversely this study highlights persistent pricing irregularities in the kansas city value line kcvl stock index futures market this contract is especially interesting because the underlying benchmark underwent a midstream change in definition from a complex equally weighted geometric index to an equally weighted arithmetic index empirical analysis reveals that during a four year period the market displayed herd like behavior and priced the kcvl geometric contract using the simple but wrong cost of carry benchmark model a dramatic change occurs around the publication of the eytan harpaz 1986 model when the market turns efficient from the perspective of this new model the market appears to have succumbed initially to a bad information cascade primarily because arbitrage was difficult to understand and carry out under complex benchmarking the evidence provides empirical extension to the observational social learning paradigms of simon 1955 banerjee 1992 and bikhchandani hirshleifer and welch 1992 that lead to behavioral herding and information cascades

does foreign direct investment lead to productivity spillovers firm level evidence from indonesia this paper examines whether spillovers from foreign direct investment fdi make any contribution to productivity growth in the indonesian chemical and pharmaceutical firms using plant level panel data the spillover effects from fdi are analyzed using a stochastic frontier approach and productivity growth is decomposed using a generalized malmquist output oriented index the results show positive productivity spillovers from fdi higher competition is associated with larger spillovers and domestic firms with r d gain more spillover benefits compared to those without r d fdi spillovers are found to be positive and significant for technological progress and positive but not significant for technical and scale efficiency change

determinants of technological diffusion in mexican manufacturing a plant level analysis abstract production function estimates serve to measure and compare the productive efficiency of a large panel of mexican manufacturing firms during a period of trade liberalization 1984 90 foreign capital is found to have a positive influence on productive efficiency at the plant level but contrarily to crossindustry studies it does not lead to significant spillovers at the sector level enlarging the analysis it is found that technological diffusion is favored by the size of the plant and by agglomeration economies while its correlation with international trade exposure does not appear to be robust

nonparametric tests of alternative option pricing models using all reported trades and quotes on the 30 most active cboe option classes from august 23 1976 through august 31 1978

analysing the determinants of us direct investment in mexico in this paper a simple model of foreign direct investment is developed and tested on investment flows from the usa to mexico between 1967 and 1994 using cointegration analysis domestic demand and relative factor costs are found to influence direct investment flows suggesting support for both the cheap labour and market size hypotheses the short run dynamics of the model indicate that exchange rate movements have an effect on the timing of the investment decision

message contingent delegation abstract the paper studies the role of delegation and authority in a principal agent relation in which a non contractible action has to be taken the agent has private information relevant for the principal but has policy preferences different from the principal consequently an information revelation problem arises i consider a partially incomplete contracting environment with contractibility of messages and decision rights and with transferable utility i contribute to the literature by allowing for message contingent delegation and by deriving the optimal partially incomplete contract it is shown that message contingent delegation creates incentives for information revelation and may outperform unconditional authority and unconditional delegation