PRICE BEHAVIOR IN EMERGING STOCK MARKETS: CASES OF POLAND AND SLOVAKIA

This paper analyzes serial correlation in stock returns, and informational role of volume and volatility in Polish and Slovakian stock markets. Results indicate that prices tend to overshoot to new information in the Slovakian market, while new information gets impounded into prices with a one-day lag in the Polish market. In the context of feedback trading models, the Slovakian stock market seems to be dominated by traders who sell high and buy low, while stop-loss or distress selling type traders prevail in the Polish market. Traders became more sophisticated over time, as market efficiencies increased. Informational role of volume and volatility appears to be consistent with that found in developed stock markets.Financial Economics,

Scale, productivity growth and risk response under uncertainty

SUMMARY: This study focuses on the analysis of the production behavior and risk preferences in the presence of output price uncertainty. Following a theoretical model based on the assumption of maximization of expected utility of profits, the approach used in this study infers information about risk preferences from the production characteristics of the farm. In addition, the nonparametric method of estimating elasticity of scale and technical change eliminates the need to impose a uniform production or cost functions on individual producers. The approach is applied to a panel of dairy farms, which are evaluated for their elasticity of scale and the total productivity growth components of their operations. Estimates of farmers' risk attitudes represented by individual marginal risk premiums are also related to socio-economic attributes of farmers. Overall, farm size plays an important role in explaining productivity and scale differences and has the most significant negative effect on marginal risk aversion. The magnitude of the impact of additions to the farm's dairy herd increases with scale of operations. RESUMEN: El objetivo de este trabajo es el análisis del comportamiento de la producción y en las preferencias ante el riesgo en condiciones de incertidumbre en el precio de salida. Siguiendo un modelo teórico basado en la asunción de maximización de utilidad de los beneficios, el enfoque empleado en este trabajo permite obtener información relativa a las preferencias ante el riesgo a partir de las características de la explotación. Además, el método no-paramétrico de estimación de la elasticidad de la escala y del cambio técnico elimina la necesidad de imponer una producción uniforme o funciones de precio sobre productores particulares. Este enfoque se aplica a un panel de explotaciones lecheras, que son evaluadas en función de los componentes relativos a su elasticidad de escala y al incremento total de la productividad de sus operaciones. Las estimaciones en torno a las actitudes de los productores ante el riesgo representadas por primas individuales por riesgos marginales están igualmente relacionadas con a los atributos socioeconómicos de los productores. En conjunto, el tamaño de la explotación es importante para explicar las diferencias en productividad y escala, y produce el efecto negativo más significativo sobre la aversión al riesgo marginal. La magnitud del impacto de nuevas incorporaciones de cabezas de ganado a los rebaños en explotaciones lecheras aumenta con la escala de las operaciones.Uncertainty, Risk Aversion, Productivity Growth, Productivity Analysis, Q14,

Escala, crecimiento en la productividad y respuesta al riesgo bajo incertidumbre

[EN] This study focuses on the analysis of the production behavior and risk preferences in the presence of output price uncertainty. Following a theoretical model based on the assumption of maximization of expected utility of profits, the approach used in this study infers information about risk preferences from the production characteristics of the farm. In addition, the nonparametric method of estimating elasticity of scale and technical change eliminates the need to impose a uniform production or cost functions on individual producers. The approach is applied to a panel of dairy farms, which are evaluated for their elasticity of scale and the total productivity growth components of their operations. Estimates of farmers' risk attitudes represented by individual marginal risk premiums are also related to socio-economic attributes of farmers. Overall, farm size plays an important role in explaining productivity and scale differences and has the most significant negative effect on marginal risk aversion. The magnitude of the impact of additions to the farm's dairy herd increases with scale of operations.[ES] El objetivo de este trabajo es el análisis del comportamiento de la producción y en las preferencias ante el riesgo en condiciones de incertidumbre en el precio de salida. Siguiendo un modelo teórico basado en la asunción de maximización de utilidad de los beneficios, el enfoque empleado en este trabajo permite obtener información relativa a las preferencias ante el riesgo a partir de las características de la explotación. Además, el método no–paramétrico de estimación de la elasticidad de la escala y del cambio técnico elimina la necesidad de imponer una producción uniforme o funciones de precio sobre productores particulares. Este enfoque se aplica a un panel de explotaciones lecheras, que son evaluadas en función de los componentes relativos a su elasticidad de escala y al incremento total de la productividad de sus operaciones. Las estimaciones en torno a las actitudes de los productores ante el riesgo representadas por primas individuales por riesgos marginales están igualmente relacionadas con a los atributos socioeconómicos de los productores. En conjunto, el tamaño de la explotación es importante para explicar las diferencias en productividad y escala, y produce el efecto negativo más significativo sobre la aversión al riesgo marginal. La magnitud del impacto de nuevas incorporaciones de cabezas de ganado a los rebaños en explotaciones lecheras aumenta con la escala de las operaciones.Hranaiova, J.; Stefanou, SE. (2002). Scale, productivity growth and risk response under uncertainty. Economía Agraria y Recursos Naturales - Agricultural and Resource Economics. 2(2):73-91. doi:10.7201/earn.2002.02.04SWORD73912

PRICE BEHAVIOR IN EMERGING STOCK MARKETS: CASES OF POLAND AND SLOVAKIA

WP 1999-17 July 1999This paper analyzes serial correlation in stock returns, and informational role of volume and volatility in Polish and Slovakian stock markets. Results indicate that prices tend to overshoot to new information in the Slovakian market, while new information gets impounded into prices with a one-day lag in the Polish market. In the context of feedback trading models, the Slovakian stock market seems to be dominated by traders who sell high and buy low, while stop-loss or distress selling type traders prevail in the Polish market. Traders became more sophisticated over time, as market efficiencies increased. Informational role of volume and volatility appears to be consistent with that found in developed stock markets

PRICE BEHAVIOR IN EMERGING STOCK MARKETS: CASES OF POLAND AND SLOVAKIA

This paper analyzes serial correlation in stock returns, and informational role of volume and volatility in Polish and Slovakian stock markets. Results indicate that prices tend to overshoot to new information in the Slovakian market, while new information gets impounded into prices with a one-day lag in the Polish market. In the context of feedback trading models, the Slovakian stock market seems to be dominated by traders who sell high and buy low, while stop-loss or distress selling type traders prevail in the Polish market. Traders became more sophisticated over time, as market efficiencies increased. Informational role of volume and volatility appears to be consistent with that found in developed stock markets

DELIVERY OPTIONS IN FUTURES CONTRACTS AND BASIS BEHAVIOR AT CONTRACT MATURITY

This paper estimates values of the delivery options implicit in the CBOT corn futures contract. Joint values of the timing and location options are estimated for the years 1989-97. By interacting the effects of the two delivery options, a potentially more accurate estimates are obtained. Two models are presented that rely on different assumptions about the institutional setup of the delivery process. The first model approximates the discreteness of the three day delivery process, while the second model relies on an assumption of immediate delivery that is consistent with the existing literature on pricing options. Individual hedgers can use these models to help them make delivery decisions. When all the costs of delivery are incorporated, true value of the delivery options can be obtained analytically. This can then be used to determine possible mispricing in the market as well as optimality of delivering early or delaying delivery. The estimated option values are used to explain the variability of bases in the deliverable locations. This application is useful for the exchange in evaluating hedging performance of futures contracts with respect to the delivery options embedded in them

THE TIMING OPTION IN FUTURES CONTRACTS AND PRICE BEHAVIOR AT CONTRACT MATURITY

WP 1999-12 June 1999The value of the timing option implicit in CBOT corn futures contract is estimated. Separate estimates are obtained for the option without and with convenience yield. The effect of the option on basis behavior at day one of the maturity month is examined and is found to be statistically important

Scale, productivity growth and risk response under uncertainty

SUMMARY - This study focuses on the analysis of the production behavior and risk preferences in the presence of output price uncertainty. Following a theoretical model based on the assumption of maximization of expected utility of profits, the approach used in this study infers information about risk preferences from the production characteristics of the farm. In addition, the nonparametric method of estimating elasticity of scale and technical change eliminates the need to impose a uniform production or cost functions on individual producers. The approach is applied to a panel of dairy farms, which are evaluated for their elasticity of scale and the total productivity growth components of their operations. Estimates of farmers' risk attitudes represented by individual marginal risk premiums are also related to socio-economic attributes of farmers. Overall, farm size plays an important role in explaining productivity and scale differences and has the most significant negative effect on marginal risk aversion. The magnitude of the impact of additions to the farm's dairy herd increases with scale of operations. RESUMEN - El objetivo de este trabajo es el análisis del comportamiento de la producción y en las preferencias ante el riesgo en condiciones de incertidumbre en el precio de salida. Siguiendo un modelo teórico basado en la asunción de maximización de utilidad de los beneficios, el enfoque empleado en este trabajo permite obtener información relativa a las preferencias ante el riesgo a partir de las características de la explotación. Además, el método no-paramétrico de estimación de la elasticidad de la escala y del cambio técnico elimina la necesidad de imponer una producción uniforme o funciones de precio sobre productores particulares. Este enfoque se aplica a un panel de explotaciones lecheras, que son evaluadas en función de los componentes relativos a su elasticidad de escala y al incremento total de la productividad de sus operaciones. Las estimaciones en torno a las actitudes de los productores ante el riesgo representadas por primas individuales por riesgos marginales están igualmente relacionadas con a los atributos socioeconómicos de los productores. En conjunto, el tamaño de la explotación es importante para explicar las diferencias en productividad y escala, y produce el efecto negativo más significativo sobre la aversión al riesgo marginal. La magnitud del impacto de nuevas incorporaciones de cabezas de ganado a los rebaños en explotaciones lecheras aumenta con la escala de las operaciones

THE TIMING OPTION IN FUTURES CONTRACTS AND PRICE BEHAVIOR AT CONTRACT MATURITY

The value of the timing option implicit in CBOT corn futures contract is estimated. Separate estimates are obtained for the option without and with convenience yield. The effect of the option on basis behavior at day one of the maturity month is examined and is found to be statistically important.Demand and Price Analysis,