Time varying volatility transmission: the case of emerging equity markets in Asia and Latin America, 1984 – 2004

Using a multivariate BEKK GARCH model, we investigate volatility transmission i.e. spillover effects within and between emerging equity markets in Asia and Latin America. Our approach allows cross-border spillover effects to vary over time and we break the time series of market returns into four distinct time intervals which correspond with periods of equity market segmentation, liberalisation, financial crisis, and economic recovery. Generally, volatility transmission is time varying in emerging markets but it does not necessarily increase following equity market liberalisation. Our estimates suggest there are some differences in the evolution of volatility transmission between Asian and Latin markets. However, we find evidence of cross-border interdependencies between Asian and Latin equity markets

Volatility transmission and changes in stock market interdependence in the European Community

A multivariate BEKK GARCH representation is employed to model stock market interdependence in groups of EC stock markets between 1987 and 2003. Using daily data, we estimate the effect that news or information spillovers from one market has on the next day returns in other markets. We quantify the sources of volatility transmission as price changes and noise. Our models allow interdependencies to vary over time allowing us to investigate whether interdependence changes following the introduction of the single currency. Generally, stock market integration increases after 1999 although there are differences in the levels of interdependence between (and within) northern and southern European markets. Information spillovers are tend to be transmitted more through noise than price changes though volatility transmission between Germany, Europe’s leading economic power, and the UK, Europe’s leading financial power, is through price changes after 1999. The results support the view that financial deregulation leads to financial market integration implying that further deregulatory acts can be expected to realise positive outcomes. The major European markets are increasingly integrated with the international (US) market. We observe the main transmission mechanism between Germany and the US is noise whereas it is price changes between the UK and US. Whereas US information influences UK returns more than UK information affects US returns, innovations in Germany are at least as important as US news is on next day German returns. Our conjecture is that the information content of European markets is not homogeneous to international markets

The search for value: cross-border bank M&A in emerging markets

Between 1998 and 2005, we identify 74 cross-border M&A transactions in which international banks acquired ownership stakes in 46 listed banks in emerging market economies (EME). A total of $1,057,515 million of bank assets was acquired for$38,172 million in Latin America, Central and Eastern Europe, and Asia. Using an event study approach, there is scant evidence of win-win situations when joint abnormal return is positive. Whereas abnormal returns to targets are mostly positive and significant, they tend to be offset by negative returns to acquiring banks, which drives joint returns. Econometric results find no evidence that acquisition of majority control leads to higher abnormal returns to target banks; rather, the opposite holds in banking which is inconsistent with evidence from the non-financial sector. Our evidence implies there are considerable perceived risks associated with expanding banking operations into emerging markets, which affects stockmarket valuation of cross-border M&A. Thus, the evidence does not support suggestions of a transfer of wealth from shareholders in emerging markets to their counterparts in industrialised markets

The value relevance of effective investor relations

In this study, we test formally the market value of investor relations (IR) activity employing the annual Investor Relations Magazine Best Overall IR Awards data from 2000 to 2002 to proxy for the quality of firm investor relations. We find firms perceived by survey respondents to have effective IR strategies have significantly higher market value, and, also, earn superior abnormal returns, both before and after the award nominations. We also find that, not surprisingly, higher analyst following is associated with more nominations, suggesting analysts tend to favor the stocks they follow, although being nominated for best overall IR is also consistent with a significant increase in analyst following in the following year. Finally, in line with effective IR leading to lower information risk, liquidity of nominated firms, measured by stock turnover, increases in the year subsequent to the award nominations. Overall, our evidence is consistent with good IR successfully reducing the risk to investors associated with high information asymmetry, as predicted by information risk and agency theories

Constraints on Three-Neutrino Mixing from Atmospheric and Reactor Data

Observations of atmospheric neutrinos are usually analyzed using the simplifying approximation that either $\nu_\mu \leftrightarrow \nu_\tau$ or $\nu_e \leftrightarrow \nu_\mu$ two-flavor mixing is relevant. Here we instead consider the data using the simplifying approximation that only one neutrino mass scale is relevant. This approximation is the minimal three-flavor notation that includes the two relevant two-flavor approximations. The constraints in the parameter space orthogonal to the usual, two-flavor analyses are studied.Comment: 15 pages, preprint IUHET-26

A New 76Ge Double Beta Decay Experiment at LNGS

This Letter of Intent has been submitted to the Scientific Committee of the INFN Laboratori Nazionali del Gran Sasso (LNGS) in March 2004. It describes a novel facility at the LNGS to study the double beta decay of 76Ge using an (optionally active) cryogenic fluid shield. The setup will allow to scrutinize with high significance on a short time scale the current evidence for neutrinoless double beta decay of 76Ge using the existing 76Ge diodes from the previous Heidelberg-Moscow and IGEX experiments. An increase in the lifetime limit can be achieved by adding more enriched detectors, remaining thereby background-free up to a few 100 kg-years of exposure.Comment: 67 pages, 19 eps figures, 17 tables, gzipped tar fil

Characterizing planetary systems with SPIRou: M-dwarf planet-search survey and the multiplanet systems GJ 876 and GJ 1148

SPIRou is a near-infrared spectropolarimeter and a high-precision velocimeter. The SPIRou Legacy Survey collected data from February 2019 to June 2022, half of the time devoted to a blind search for exoplanets around nearby cool stars. The aim of this paper is to present this program and an overview of its properties, and to revisit the radial velocity (RV) data of two multiplanet systems, including new visits with SPIRou. From SPIRou data, we can extract precise RVs using efficient telluric correction and line-by-line measurement techniques, and we can reconstruct stellar magnetic fields from the collection of polarized spectra using the Zeeman-Doppler imaging method. The stellar sample of our blind search in the solar neighborhood, the observing strategy, the RV noise estimates, chromatic behavior, and current limitations of SPIRou RV measurements on bright M dwarfs are described. In addition, SPIRou data over a 2.5-year time span allow us to revisit the known multiplanet systems GJ~876 and GJ~1148. For GJ~876, the new dynamical analysis including the four planets is consistent with previous models and confirms that this system is deep in the Laplace resonance and likely chaotic. The large-scale magnetic map of GJ~876 over two consecutive observing seasons is obtained and shows a dominant dipolar field with a polar strength of 30~G, which defines the magnetic environment in which the inner planet with a period of 1.94~d is embedded. For GJ~1148, we refine the known two-planet model.Comment: accepted in A&

A melanin-mediated cancer immunotherapy patch

Melanin is capable of transforming 99.9% of the absorbed sunlight energy into heat, reducing the risk of skin cancer. We here develop a melanin-mediated cancer immunotherapy strategy through a transdermal microneedle patch. B16F10 whole tumor lysate containing melanin is loaded into polymeric microneedles that allow sustained release of the lysate upon insertion into the skin. In combination with the near-infrared light irradiation, melanin in the patch mediates the generation of heat, which further promotes tumor-antigen uptake by dendritic cells, and leads to enhanced antitumor vaccination. We found that the spatiotemporal photoresponsive immunotherapy increases infiltration of polarized T cells and local cytokine release. These immunological effects increase the survival of mice after tumor challenge and elicited antitumor effects toward established primary tumor and distant tumor. Collectively, melanin generates local heat, boosts T cell activities by transdermal vaccines, and promotes antitumor immune responses

Near-IR and optical radial velocities of the active M-dwarf star Gl 388 (AD Leo) with SPIRou at CFHT and SOPHIE at OHP

Context: The search for extrasolar planets around the nearest M-dwarfs is a crucial step towards identifying the nearest Earth-like planets. One of the main challenges in this search is that M-dwarfs can be magnetically active and stellar activity can produce radial velocity (RV) signals that could mimic those of a planet. Aims: We aim to investigate whether the 2.2 day period observed in optical RVs of the nearby active M-dwarf star Gl 388 (AD Leo) is due to stellar activity or to a planet which co-rotates with the star as suggested in the past. Methods: We obtained quasi-simultaneous optical RVs of Gl 388 from 2019 to 2021 with SOPHIE (R$\sim$75k) at the OHP in France, and near-IR RV and Stokes V measurements with SPIRou at the CFHT (R$\sim$70k). Results: The SOPHIE RV time-series displays a periodic signal with 2.23$\pm$0.01 days period and 23.6$\pm$0.5 m/s amplitude, which is consistent with previous HARPS observations obtained in 2005-2006. The SPIRou RV time-series is flat at 5 m/s rms and displays no periodic signals. RV signals of amplitude higher than 5.3 m/s at a period of 2.23 days can be excluded with a confidence level higher than 99%. Using the modulation of the longitudinal magnetic field (Bl) measured with SPIRou, we derive a stellar rotation period of 2.2305$\pm$0.0016 days. Conclusions: SPIRou RV measurements provide solid evidence that the periodic variability of the optical RVs of Gl 388 is due to stellar activity rather than to a co-rotating planet. The magnetic activity nature of the optical RV signal is further confirmed by the modulation of Bl with the same period. The SPIRou campaign on Gl 388 demonstrates the power of near-IR RV to confirm or infirm planet candidates discovered in the optical around active stars. SPIRou observations reiterate how effective spectropolarimetry is at determining the stellar rotation period.Comment: 25 pages, 23 figures, Accepted by Astronomy and Astrophysic

Moving on from Weiser's Vision of Calm Computing: engaging UbiComp experiences

A motivation behind much UbiComp research has been to make our lives convenient, comfortable and informed, following in the footsteps of Weiser's calm computing vision. Three themes that have dominated are context awareness, ambient intelligence and monitoring/tracking. While these avenues of research have been fruitful their accomplishments do not match up to anything like Weiser's world. This paper discusses why this is so and argues that is time for a change of direction in the field. An alternative agenda is outlined that focuses on engaging rather than calming people. Humans are very resourceful at exploiting their environments and extending their capabilities using existing strategies and tools. I describe how pervasive technologies can be added to the mix, outlining three areas of practice where there is much potential for professionals and laypeople alike to combine, adapt and use them in creative and constructive ways