labor market discrimination in a poor urban economy labor market discrimination by sex and by race in a poor urban economy is analyzed using a survey of manufacturing employees in tanzania there are large differences in mean wages by both sex and race using techniques previously applied to developed countries it is found that whereas the sex difference in mean wages can be explained mainly in terms of sex differences in personal characteristics the race difference is mainly the result of wage and job discrimination an attempt is made to explain the results which run counter to common presuppositions about discrimination

manufacturing investment in south africa a time series model abstract using data from the south african manufacturing sector we estimate a theory consistent model of the evolution of the capital stock the model is used to test hypotheses about the nature of the constraints and objective function of firms in this sector in particular we look at the magnitude of the impact of increased economic uncertainty

discount rate changes stock market returns volatility and trading volume evidence from intraday data and implications for market efficiency we examine the eaect of discount rate changes on stock market returns volatility and trading volume using intraday data equity returns generally respond negatively and significantly to the unexpected announcements however the eaect of expected changes on equity returns is insignificant furthermore our results indicate that equity prices respond to announcements within the trading period hour after the information release an indication of a return reversal is too small to cover the full transaction costs unexpected discount rate changes also contribute to higher market volatility although the volatility is short lived similarly unexpected changes in discount rates induce larger trading volume while expected changes do not abnormal trading volume occurs only in period t our results also support the notion that unexpected changes in the discount rates impact market returns irrespective of the federal reserve operating procedures 1999 elsevier science b v all rights reserved

the evolution of the racial wage hierarchy in post apartheid south africa this article develops a multilateral decomposition procedure for the analysis of wage differentials and applies this to the evolution of the racial wage hierarchy in south africa over the period 1993 2001 we find evidence that the wage position of the majority african workforce improved relative to all other racial groups immediately following the transition to democratic rule in 1994 but that these gains have been largely eroded in the ensuing years of the post apartheid era we review the range of policy initiatives that have been taken by the government since 1994 in the light of our empirical findings

gender wage differentials and discrimination in the new south africa research into discrimination within south africa sa has focused on racial issues with gender issues being largely ignored this study aims to estimate gender wage differentials and through decomposition analysis understand the different problems faced by white black coloured and indian asian in 1995 it is found that white and asian females suffer greater gender discrimination than their black and coloured counterparts which could be a signal to future problems black and coloured females may encounter the largest gender wage differential is faced by white females whilst the lowest is encountered by coloured and black females a possible explanation for this finding is the low subsistence wages that the black and coloured population groups command relative to other population groups

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

growth opportunities and risk taking by financial intermediaries we show that growth opportunities which cannot be converted to cash under conditions of financial distress gz are a critical determinant of an intermediary s choice of risk financial institutions in which gz is a low proportion of total assets will be much more likely to engage in go for broke behavior the model leads to a reevaluation of the effectiveness of several traditional remedies for dealing with banks that take excessive risks such as raising insurance premiums intervening before capital is depleted and restricting investment options the model also has implications about a new approach to the examination of financial intermediaries the insuring agencies are painfully aware that when a bank is at or near insolvency it has an incentive to take greater risks stanley silverberg 1984 p 100 director of research at the federal deposit insurance corporation has observed that under such conditions it is generally in the interest of managers and owners to gamble in an effort to recoup if the bank rolls the dice and loses the fdic typically bears the loss of course bank shareholders like shareholders in other limited liability corporations have an incentive to take larger gambles than if their activities were financed entirely by equity what distinguishes go for broke behavior however is that a firm in go for broke mode will be willing to play with dice loaded against it go for broke behavior occurs when a firm chooses an operating strategy that will lower the expected value of its assets a firm in go for broke mode causes a loss to society since it will allocate resources to uses that have a lower expected return than the opportunity cost of funds in this paper we examine the conditions under which a bank has an incentive to adopt go for broke behavior and the challenge faced by regulators in controlling such behavior we show that weakly capitalized banks with negligible opportunities for profitable growth pose the greatest threat and that traditional supervisory remedies are least effective against such banks

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

the decline of discrimination against colored people in south africa 1970 to 1980 abstract the paper analyses the gap in earnings between white and colored people in south africa in 1970 and 1980 the gap is decomposed into its explained and discrimination components and from a model of occupational attainment into wage and job discrimination job discrimination decreased between 1970 and 1980 colored people in younger experience cohorts experienced a significant decline in discrimination between 1970 and 1980 most of which was due to a decline in job descrimination discrimination against those in older experience cohorts appears not to have declined

an intraday examination of the federal funds market implications for the theories of the reverse j pattern the intraday literature suggests that returns variances and volume form an intraday reverse j pattern two competing theories explain the observed patterns private information about future security prices and trading stoppages the federal funds market allows a unique opportunity to study the causes of intraday patterns because private information common to most markets does not play a role in setting prices we find reverse j variance patterns while accounting for generalized autoregressive conditional heteroskedasticity garch model effects our results support trading stops as an explanation for the reverse j pattern and suggest that private information is not a necessary condition for the observed pattern

volatility in wheat spot and futures markets 1950 1993 government farm programs seasonality and causality we explore how wheat spot and futures market volatility has been impacted by government farm programs during the 1950 1993 period we find that changing volatility in both markets is highly associated with changing farm programs the mandatory allotment programs of the 1950s and early 1960s 1 3 50 4 10 64 were associated with low volatility while the voluntary programs initiated in the mid 1960s seem to have induced high volatility 4 11 64 12 22 85 both market driven loan rates and conservation reserve programs appear to have helped volatility revert to lower levels since the mid 1980s 12 23 85 12 30 93 we also examine seasonality and causality in conjunction with the farm programs we explore how wheat spot and futures price volatility has been impacted by government farm programs many studies have examined the effects of various farm policies mckinnon 1967 blakeslee 1980 miranda and helmberger

occupational segregation and wage differentials between natives and immigrants evidence from hong kong abstract this paper attempts to provide the first set of evidence on the intra and inter occupational earnings differentials between immigrants and the native by studying hong kong 1996 census data we found that the intra occupational earnings differential is slightly more important than the inter occupational earnings differential comparing with the literature on gender wage differentials immigrants seem to face more barriers to entry into good occupations than females in a relative sense moreover most of the intra occupational differential is unexplained occupational segregation gets smaller as the duration of residence rises and does not exist for immigrants who came to hong kong at young ages

a note on weekday intraday and overnight patterns in the interbank foreign exchange and listed currency options markets abstract transactions data are used to investigate returns patterns for close to close close to open and intraday long positions in spot currency interbank and currency put options listed for the years 1983 through 1988 both trading day and calendar day hypotheses are investigated under the former spot market returns are found to be significantly higher from friday close to monday close and from friday close to monday open under the calendar day hypothesis however no significant close to close pattern emerges and the friday close to monday open effect is reversed finally spot put market returns are found to be significantly lower higher for tuesday and friday afternoons

a transactions data analysis of the variability of common stock returns during 1980 1984 abstract using transactions data for a large sample of nyse stocks for six months in 1971 1972 and calendar year 1982 wood mcinish and ord 1985 wmo show that the graph of the variability of index returns across days against time of day has a crude u shaped pattern this study demonstrates that relatively high variability of returns at the beginning and end of the trading day also occurs during calendar years 1980 1981 1983 and 1984 in addition the variability of intra minute returns across stocks is shown to have a crude u shaped pattern when plotted against time of day a model is developed and tested that explains this pattern of variability of intra minute returns in terms of variability of market returns over the trading day the empirical results are consistent with this explanation

industry wage differentials and efficiency wages a dissenting view with south african evidence abstract does industry wage dispersion constitute evidence of either efficiency wages or rent sharing comparison of the industry wage premia of whites and africans in south africa casts doubt upon the rent extraction and the gift exchange explanations of the industry wage structure unions combined with union threats fail to explain the data other explanations unobserved ability compensating differentials and the shirking monitoring and turnover models are rejected here as they have been before remaining possibilities are expense preference theory and internal equity rules implications for future research are pointed out

apartheid cui bono abstract economic explanations of racial discrimination in south africa tend to fall either into the liberal category capitalism is not responsible or into the radical one the capitalists benefit from the system the present paper offers a radic lib analysis of apartheid radical i e basically marxist assumptions are combined with a liberal i e neoclassical analytical framework the main analytical results predictions are surveyed an extension of the analysis the apartheid bureaucracy as a directly unproductive profit seeking activity is made finally the analytical predictions are compared with the history of south africa from the mineral discoveries in the late 19th century to the present it is concluded that neither the radical nor the liberal approach can explain the entire sequence a combination of the two is needed

speculation in international crises report from the gulf recent years have seen recurring international financial crises as well as a tremendous rise in trading and speculation how are the two related are speculators and trading responsible for market volatility this paper presents a study of the gulf crisis of 1990 1991 examining the behavior of the international oil market during a period of unprecedented volatility the analysis suggests that a combination of political events and market fundamentals rather than trading was behind this volatility

the commercial banking firm a simple model a commercial bank must decide its volume of illiquid loans and investments without full knowledge of its deposits in case withdrawals exceed its defensive position in liquid assets the bank incurs extra costs in meeting reserve requirements penalties in borrowing or losses in disposing of illiquid assets in case of good luck on deposits an unnecessarily large defensive position sacrifices profits from more remunerative but less liquid assets the paper presents a simple model of this precautionary portfolio decision by a profit maximizing bank the effects of variations in monetary policy banking regulations and competitive structure are traced reserve requirements access to central bank credit deposit interest rate ceilings monopolistic power in loan and deposit markets relative importance of capital and time deposit liabilities size and nature of illiquidity penalties and degree of deposit uncertainty commercial banks are the most important kind of financial intermediary their liabilities are the closest privately issued substitutes for government currency demand deposits serve as means of payment generally acceptable for most transactions for several reasons depositors bear very little of the risks of the loans the banks make there are economies of scale in pooling of default risks specific to borrowers and in specialized administration and appraisal of the loans the banks shareholders assume the residual risk only after their equity is wiped out would depositors claims be jeopardized finally the government stands behind bank deposit liabilities both as lender of last resort to tide banks over crises of illiquidity and as insurer of deposits against the contingency of insolvency government monetary and credit policy operates mainly through the commercial banking system and this is the main reason today to give special attention to commercial banks historically the first reason for government intervention in the banking business was to protect depositors or in older times bank note holders against the risks of bank illiquidity and insolvency but the public regulations and institutions established for this purpose can also be used to regulate credit markets in the interests of economic stabilization maintenance of the value of the currency or other government objectives as the protective purpose of government intervenscand j of economics 1982 this content downloaded from 207 46 13 172 on fri 07 oct 2016 06 13 42 utc all use subject to http about jstor org terms

credit rationing concessionary lending and debt maturity abstract a firm raises capital for a two period investment while creditors observe the project status midstream unobservable managerial perks may consume capital each period when the firm is unfortunate early on short term financing results in either concessionary lending or costly liquidation rolling over short term debt may be problematic because the high risk premium creditors demand when asset value is low relative to debt impares managerial motivation precisely when the incentive to defer perk consumption is weakest long term financing may reduce total agency costs be enabling lenders to charge higher initial premia in effect shifting loan repayments to states in which incentive constraints are non binding

capital regulation and deposit insurance abstract a model of deposit insurance in which the bank closure rule can systematically deviate from the economic insolvency condition used in earlier models is developed simulation of that model for plausible parameter values suggests that the failure to close banks on a timely basis has a profound effect in increasing the insurer s liability the implications of these results for capital regulation are discussed

caste discrimination in the indian urban labour market abstract this the pioneering quantitative analysis of caste in the indian urban labour market examines the age old problem of caste in the light of discrimination theory and government policy using a survey of workers in delhi the gross wage difference between scheduled untouchable and non scheduled caste is decomposed into its explained and discrimination components and from a model of occupation choice into wage and job discrimination discrimination is found to exist and to operate at least in part through the traditional mechanism viz assignment to jobs with the scheduled castes entering poorly paid dead end jobs it is assisted by methods of recruitment based on contacts prevalent in the manual occupation which also cause past discrimination to carry over to the present its practice serves the economic interests of those who exercise a taste for discrimination

the economics of workout lending lenders are forced to consider a workout loan when a borrower loses access to financial markets and must seek loans from existing creditors to continue servicing outstanding loans a model of the loan decision is developed that distinguishes socially useful from socially wasteful workout loans the analysis is extended to examine two collective action problems that may arise when many lenders have claims on a troubled borrower the paper concludes with a consideration of the implications of the model for the establishment of prudential lending limits and of policies to stimulate new lending to troubled debtor countries copyright 1989 by ohio state university press

a multinomial logit analysis of problem loan resolution choices in banking this paper presents a conceptual framework of problem loan resolution choices that is a function of the combined borrower and lender decisions a bank will choose a workout option if its expected value is greater than the outcome under a no workout plan for the borrower if the reputational penalty due to a default is less than the opportunity cost of the best new alternative the borrower will have an incentive to default if the reverse holds then the borrower will be better off with a loan workout using a unique data set composed of borrower lender and economic factors we empirically examine the problem loan resolution choices the results provide support for our conceptual framework that problem loan choices are based on combined borrower lender variables copyright 1995 by ohio state university press

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

intraday effects of foreign exchange intervention by the bank of japan abstract we examine the effects of intervention by the bank of japan using intraday data from oct 1 1992 to sept 30 1993 news related to the bank of japan s intervention in the jpy market was retrieved from reuters headlines we find that jpy volatility varies significantly differently across periods from 1 h before to 1 h after reuters intervention reports results from arch models show that intervention by the bank of japan has a positive and significant impact on jpy volatility particularly at high frequencies 5 and 10 min intervals we also find that our intervention proxy has the largest effect upon high frequency volatility 30 to 45 min prior to reuters reports

federal deposit insurance regulatory policy and optimal bank capital this paper seeks to explain the combination of explicit and implicit pricing for deposit insurance employed by the fdic essentially the fdic sells two products insurance and regulation to span the product space it must and does set two prices we argue that the need to establish regulatory disincentives to bank risk taking is the heart of the controversy over the adequacy of bank capital and that the ability to close risky banks before exhausting their charter value i e the value of their right to continue in business stands at the center of these disincentives and in front of the fdic s insurance reserves just as a book shouldn t be judged by its cover a government agency shouldn t be judged by the words behind its initials with the fdic federal deposit insurance corporation the agency s name describes only part of its formal operations the fdic is quasi governmental has a regional structure and sells deposit insurance however the initials fail to convey the fdic s critical place in the governmental regulatory structure as the sole federal overseer of the approximately 8900 state chartered commercial banks that have chosen not to belong the federal reserve system reflecting the federal reserve s membership problem the number of these banks is growing year by year besides selling deposit insurance at bargain explicit rates the fdic performs four regulatory functions 1 entry regulation it passes on new banks applications for deposit insurance and on branch and merger proposals as well thereby protecting the value of existing bank charters 2 examination two thirds of fdic employees are concerned with inspecting bank records and supervising managerial activity 3 regulation of deposit rates and conditions for withdrawal by tradition fdic policies on these matters conform entirely with regulations applicable to federal reserve member banks and 4 disposition of failed banks when an insured bank fails the fdic usually chooses not to liquidate it 2

interday variations in volume variance and participation of large speculators abstract we use data uniquely available from the commodity futures trading commission cftc to document the intraweek trading patterns of large speculators in five futures markets these markets include futures traded against the standard and poor s 500 stock index treasury bonds gold corn and soybeans we also examine the influence of large speculator trades on the patterns of volume and volatility for the contracts in our sample though we detect the familiar u shaped and inverted u shaped patterns across weekdays for volatility and aggregate volume the association between volume and volatility becomes stronger when we separate large speculator volume from volume associated with other traders the coefficient on large speculator volume is much larger than the coefficient on other volume in these regressions compared with total volume large speculator volume is greater on mondays than on the other days of the week in all five markets

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

a multinomial logit nondiscriminatory approach to estimating racial wage and occupational discrimination this paper combines a technique to measure nondiscriminatory wage structures with a multinomial logit model to estimate both occupational racial discrimination and within occupation racial wage underpayment and overpayment using a recent south african october household survey it is found that racial discrimination against blacks and in favour of whites still persists in the south african labour market implying the persistence of white employer nepotism and or white employee discrimination

return volatilities and trading activities on an emerging asian market abstract because of different market microstructures in that the hong kong stocks can continue to trade in the london market after the hong kong market is officially closed the open to close return variance is found to be not significantly different from the close to open return variance while the return variance during the lunch break is found to be significantly lower than that in the morning and in the afternoon trading sessions

does futures trading increase stock market volatility the case of the nikkei stock index futures markets abstract we propose new tests to examine whether stock index futures affect stock market volatility these tests decompose spot portfolio volatility into the cross sectional dispersion and the average volatility of returns on the portfolio s constituent securities our tests show that for nikkei stocks spot portfolio volatility increased and cross sectional dispersion decreased compared with average volatility when nikkei futures began trading on the osaka securities exchange but not on the singapore international monetary exchange for non nikkei stocks no shift occurred when futures trading began on either exchange these findings are consistent with the hypotheses that futures trading increases spot portfolio volatility but that there is no volatility spillover to stocks against which futures are not traded however the increase in volatility attributable to futures trading is small compared with volatility shifts induced by changes in broad economic factors

bank regulation and debt overhang the paper explains why banking regulations are crucial to the unfolding of the current international debt crisis the interplay of deposit insurance and capital adequacy requirements may create strong disincentives against offering relief to debtor countries with solvency problems in spite of the fact that granting relief would improve the worth of the claims held by creditor banks furthermore it is shown that the negotiating stance of individual banks is not related to their exposure to troubled loans in any simple way whether highly exposed banks are tougher than those with limited exposure is also generally dependent on the features of the regulatory environment copyright 1994 by ohio state university press

trading breaks and asymmetric information the option markets abstract we find that weekend holiday and overnight trading breaks generate excessive perceived risk in the option markets presumably due to asymmetric information which in turn encourages uninformed option traders to postpone trading this perceived risk subsides after two days accompanied by an increase in the option trading volume and the underlying index s actual price volatility these results shed light on the informational role of index options and suggest that the theoretical models results regarding information processing and price discovery in the presence of private information are not limited to single stocks but also apply to the market as a whole

heterogeneous creditors and the market value of bank ldc loan portfolios abstract a standard proposition used in many empirical studies is that the value of an ldc loan does not depend on the identity of the lender i test this proposition using bank securities prices and prices for ldc loans trading in the secondary market i find significant cross sectional differences in the sensitivity of bank stocks to changes in the price of ldc loans differences in sensitivity appear to be related to changes in bank exposure to ldcs i also find evidence consistent with the hypothesis that cds are implicitly insured

trade unions v statistical discrimination theory and application to post apartheid south africa a simple model of statistical discrimination is analyzed which captures some stylized facts of the south african labor market it shows that this type of discrimination disappears when the wage rates are determined by efficient bargaining between a representative firm and a union with endogenous membership this may explain why the wage gap between black and white workers in post apartheid south africa is smaller among unionized workers than among non unionized ones

economic news and equity market linkages between the u s and u k abstract the source of equity market linkages between the u s and u k is investigated by focusing on intraday price movements of stock index futures contracts we document heightened u k return volatility at 11 30 a m and 1 30 p m gmt which corresponds to regular macroeconomic releases in the u k and u s respectively the response of u k equities in the half hour surrounding the u s announcements is significant and similar to price movements for u s equities to the same announcements these results support the hypothesis that the documented international equity market linkages are attributable to reactions of foreign traders to public information originating from the u s

why do option returns change sign from day to night abstract average delta hedged returns for standard poor s 500 index options are large 0 7 per day when we decompose these option returns into intraday and overnight components average close to open returns are 1 per day and open to close returns are positive 0 3 a similar return pattern holds for all maturity and moneyness categories and equity options these positive intraday returns are particularly difficult to explain however our results are consistent with option prices failing to account for the well known fact that stock volatility is substantially higher intraday than overnight these findings help explain price formation in the options market

autocorrelation of daily index returns intraday to intraday versus close to close intervals abstract first order autocorrelation coefficients of 1 daily equally weighted open to open returns 2 daily equally weighted intraday to intraday returns terminating at each of 23 successive 15 minute intervals of the trading day beginning at 10 15 a m and 3 daily equally weighted and value weighted close to close returns interval 24 are examined a number of findings concerning the behavior of these autocorrelations are reported first order autocorrelation is shown to follow a crude u shaped pattern when plotted against the time of the trading day but there is no significant difference in the behavior of autocorrelations based on open to open returns and 24 hour returns terminating at 10 15 a m evidence that intraday patterns in autocorrelation cannot be explained fully by trading delays also is presented

an examination of stock market return volatility during overnight and intraday periods 1964 1989 this paper examines the variance of hourly market returns during 1964 89 results indicate that return volatility falls from the opening hour until early afternoon and rises thereafter and is significantly greater for intraday versus overnight periods market variance is also shown to change significantly over time rising after nasdaq began in 1971 rising after trading in stock options began in 1973 falling after fixed commissions were eliminated in 1975 rising after trading in stock index futures was introduced in 1982 and falling after margin requirements for stock index futures became larger in 1988 copyright 1990 by american finance association

trading and returns under periodic market closures this paper studies how market closures affect investors trading policies and the resulting return generating process it shows that closures generate rich patterns of time variation in trading and returns including those consistent with empirical findings 1 u shaped patterns in the mean and volatility of returns over trading periods 2 higher trading activity around the close and open 3 more volatile open to open returns than close to close returns 4 higher returns over trading periods than over nontrading periods 5 more volatile returns over trading periods than over nontrading periods it also shows that closures can make prices more informative about future payoffs we model a competitive stock market with periodic closures in which investors trade for both allocational and informational reasons we use the model to study how market closures intrinsically affect investors trading behavior and the return generating process the purpose of this analysis is to increase our understanding of the time variation in security trading and returns that are associated with regular market closures such as the intraday and intraweek patterns in stock returns volatility and trading volume we consider a stock market in which the exogenous information flow is homogeneous over time and the market closes periodically when the market is open investors trade the stock either to rebalance their overall portfolio of assets which also includes other illiquid assets or to speculate on future stock payoffs using their private information in particular investors adjust their asset portfolio by trading the stock in order to hedge the risk of illiquid assets we refer to these trades as hedging trades and those motivated by private information as speculative trades when the market is closed hong is from the graduate school of business stanford university and wang is from the sloan school of management massachusetts institute of technology and nber the authors thank jennifer huang for programming assistance and an anonymous referee for many valuable suggestions they also thank glenn ellison john heaton craig holden andrew lo steve slezak jeremy stein rene stulz the editor the nber asset pricing lunch group and par

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

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

an economic theory of apartheid an economic theory of apartheid apartheid is a regulatory system designed to effect redistributions in favor of white workers and farmers at the expense of black workers and white capitalists this paper uses a competitive interest group theory of the apartheid state to formalize a collective choice analysis of apartheid as endogenous policy the level of apartheid is conceived as a continuous variable that is determined by the relative influence of competing interest groups within the white polity and by the costs of maintaining and defending apartheid institutions some empirical implications of this approach are explored i introduction since south african apartheid embodies essentially a complex web of politically determined restrictions affecting the level of employment and mobility of the black labor force it is not surprising that most economic analyses of apartheid institutions have focused on their evident allocative inefficiency and distributional inequity see nattrass 1981 31 32 some economists have hinted at the possibility of formally modeling the economic social and political institutions of apartheid as endogenous products of a process of collective choice in other words the question has been raised of the existence of an economic rationale for apartheid thus richard porter 1978 and subsequently mats lundahl 1982 have initiated rigorous analysis of what porter terms a south african type economy a competitive market system the operation of which is constrained by state imposed apartheid regulation while the porter lundahl characterization of the south african type economy is an invaluable starting point for an economic analysis of apartheid it falls short of providing a satisfactory explanation for the existence and extent of south african discriminatory policies the inevitable contradiction between economic efficiency and the political requirements of apartheid leads both porter and lundahl to treat the goals of apartheid as exogenously determined by political considerations 1 the purpose of this paper is to show how it is possible to provide an explicitly economic explanation of apartheid institutions apartheid is viewed here as a vector of policies which can be varied in intensity along a continuum thus the level of apartheid regulation is treated as a continuous endogenous variable responsive to the relative influences of interest groups which receive benefits or incur costs associated with apartheid the intention is not to claim originality in recognizing the economic motives for apartheid policy which have been well documented in the literature as indicated in section ii but rather to formalize this approach in section iii and to suggest some methods of testing its implications in section iv the effort to formalize an analysis of apartheid in terms of a competitive interest group model of social choice should be of interest not only to students of south african but also to economists more generally concerned with endogenous public policy the south african case provides a laboratory for this type of analysis because the boundaries which delineate interest groups are very clearly drawn ii a brief political economy of apartheid it has long been recognized by economists and scholars of south africa that the apartheid system representing a comprehensive set of regulations affecting all aspects of economic social and political life arose essentially as a response on the part of the white working class to the threat of black labor market competition 2 although apartheid itself is phenomenon of the post 1948 era of national party rule it is really only the most recent phase of a long history of white labor elitism and black exclusion brought about through the medium of an interventionist statist polity characterized by a racially limited franchise the harnessing of the instruments of state power to further the interests of the white labor force at the expense not only of blacks but also of white capitalists dates from the earliest period of industrialization in south africa which followed the discovery of precious minerals in the 1860s and 1870s

price formation on stock exchanges the evolution of trading within the day prior analyses of prices of the nyse and other exchanges find that transitory price volatility is greater at the open of trading than at the close we extend this line of research by using 40 years of hourly dow jones 65 composite price index data to estimate transitory volatility throughout the trading day our results indicate that transitory volatility steadily declines during the trading day we find a similar intraday decline in transitory volatility for a 2 1 2 year sample of the individual firms in the dow jones 30 industrials index the results are consistent with the hypothesis that trading aids price formation and do not support the argument that particular trading mechanisms are the source of greater volatility at the open of trading article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

standard poor s 500 index futures volatility and price changes around the new york stock exchange close we examine the effects of the closing of the new york stock exchange nyse on volatility and price changes in the standard poor s s p futures market which trades for 15 more minutes each day when the nyse closes volatility in the futures market drops significantly only to increase at the close of the futures market thus exhibiting a u shaped pattern after the nyse closes we also find that friday s close is the period of highest volatility in the futures market also in the final minutes on friday the s p futures price anticipates the well known weekend effect found in equities copyright 1995 by university of chicago press

tests of stability for variances and means of overnight intraday returns during bull and bear markets abstract this paper examines the behavior of overnight and intraday returns during and across bull and bear markets robust tests new to the finance literature are performed to examine the stability of both variability of returns and mean returns over time comparing bull and bear markets intraday returns are significantly more volatile during bear markets but no statistical difference in overnight returns is found variability of returns is significantly greater intraday than overnight during both bull and bear markets differences in mean returns between bull and bear markets are shown to occur primarily intraday rather than overnight implications for future studies of trading phenomena and return generating processes are presented

intra day and inter market volatility in foreign exchange rates four foreign exchange spot rate series recorded on an hourly basis for a six month period in 1986 are examined a seasonal garch model is developed to describe the time dependent volatility apparent in the percentage nominal return of each currency hourly patterns in volatility are found to be remarkably similar across currencies and appear to be related to the opening and closing of the worlds major markets robust lm tests designed to deal with the extreme leptokurtosis in the data fails to uncover any evidence of misspecification or the presence of volatility spillover effects between the currencies or across markets

a cost function analysis of import demand and growth in south africa abstract this study investigates the substitutability relationships among capital labor and imported inputs for south africa utilizing the estimates obtained from an aggregate cost function our results are consistent with the hypothesis that capital is a substitute for both domestic labor and imports but that labor and imports are complementary inputs this latter result suggests that relaxing south african trade restrictions may have a positive impact in both the long and the short run on the demand for domestic labor other results suggest that the reduction of market impediments may also positively impact the production of investment goods and economic growth