Stock market interactions and the impact of macroeconomic news – evidence from high frequency data of European futures markets

This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are attributable to reactions of foreign traders to public economic information. Moreover, we analyze whether cross-market linkages remain the same or whether they do increase during periods in which economic news is released in one of the countries. Our main results can be summarized as follows: (i) there are clear short term international dynamic interactions among the European stock futures markets; (ii) foreign economic news affects domestic returns; (iii) futures returns adjust to news immediately; (iv) announcement timing of macroeconomic news matters; (v) stock market dynamic interactions do not increase at the time of the release of economic news; (vi) foreign investors react to the content of the news itself more than to the response of the domestic market to the national news; and (vii) contemporaneous correlation between futures returns changes at the time of macroeconomic releases. JEL Classification: G14, G1

Electronic trading systems and intraday non-linear dynamics : an examination of the FTSE 100 cash and futures returns

This paper focuses on dynamic interactions of equity prices among theoretically related assets. We explore the existence of intraday non-linearities in the FTSE 100 cash and futures indices. We test whether the introduction of the electronic trading systems in the London Stock Exchange in 1997 and in the London International Financial Futures and Options Exchange (LIFFE) in 1999 has eliminated the non-linear dynamic relationship in the FTSE 100 markets. We show that the introduction of the electronic trading systems in the FTSE 100 markets has increased the efficiency of the markets by enhancing the price discovery process, namely by facilitating the increase of the speed of adjustment of the futures and cash prices to departures of the mispricing error from its non-arbitrage band. Nevertheless, we conclude that the automation of the markets has not completely eliminated the non-linear properties of the FTSE 100 cash and futures return series. JEL Classification: G12, G14, G1

Productivity and quality, competition and facilitation of chicory in ryegrass/legume-based pastures under various nitrogen supply levels

Traditional perennial ryegrass-white clover mixtures have limitations in combined productivity and quality that herbs like chicory may alleviate. This study examined the consequences on productivity and quality of as well as competition and facilitation after introducing chicory into varies ryegrass-legume-based pastures in a field study over 3 consecutive growing seasons. A cultivar of chicory, suitable for grazing, in pure stand was found to out-yield a pure stand ryegrass in terms of dry matter and nitrogen (N) accumulation but was found to yield similar to mixture of chicory and ryegrass. The inclusion of chicory, increased N accumulation per area unit irrespective of associated leguminous species but had no effect (P>0.05) on the combined dry matter yield of these mixtures as compared to the chicory-ryegrass mixture. Chicory was not found to co-exist well with associated fodder legumes but it co-existed well with perennial ryegrass. Determined by a direct 15N plant labelling technique, chicory transferred little N to associated legumes and under moderate soil N conditions it almost out-competed the white clover whereas lucerne was able to withstand the competition with birdsfoot trefoil as intermediate. Chicory and ryegrass did exchange N amounting to less than 5% of the receiver plants’ N economy whereas the N transfer from the N-rich lucerne constituted 15% of the associated ryegrass’ N economy but less (P<0.05) of the chicory’s N economy. These differences are ascribed to the species’ root morphology and root zonation. Chicory accumulated large amounts of calcium, potassium, sodium and zinc but significant less of magnesium and manganese, irrespective of the N supply. In the case of sodium it was a short-term effect whereas calcium and possibly also sulphur, copper and zinc accumulation increased over time. It is concluded that chicory may improve the management of intensive dairy farms with a large N surplus because of the increase in productivity per unit area and N uptake efficiency and add significant improvements of the quality of the forage