Price impact of block trades in the Saudi stock market

This paper examines the price impact of block trades for the 124 companies that comprise all listed firms in the Saudi stock market (SSM). We use high frequency intraday data (one minute intervals) for the period 2005-2008 to provide out of sample evidence of the determinants of price impact. We find an asymmetric price impact of 0.5% for block purchases and -0.38% for block sales. We document a price continuation post block trades and a price reversal after block sales. Sellers of block trades in the Saudi market pay higher liquidity premiums than buyers of block trades. However, on average, the price effect of a block trade is small and short-lived suggesting that resiliency is high in the market. Moreover, we find a direct relationship between the size of the trades and the level of information asymmetry in the market. Despite the structural differences of the SSM, the intraday pattern of price impacts is similar to patterns documented in other markets, namely an inverse J-shaped pattern. Finally, sophisticated traders can gain abnormal profits in the SSM through “free riding”, a trader can benefit from the overreaction before the block trade and price reversal after the block trade

Can market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi stock market

We empirically examine the price impact of block trades, in the Saudi Stock Market over the time period of 2005-2008. Using a unique dataset of intraday data consisting of 2.3 million block buys and 1.9 million block sales, we find an asymmetry in the price impact of block purchases and sales. The asymmetry persists even when we account for the bidask bias in block trades, which is contrary to the previous literature. Overall, our findings suggest that in an emerging market where institutional trading is relatively scarce, market microstructure cannot explain the asymmetry n the price impact of large trades

In vivo investigation of ear canal pulse oximetry during hypothermia

Pulse oximeters rely on the technique of photoplethysmography (PPG) to estimate arterial oxygen saturation (SpO(Formula presented.)). In conditions of poor peripheral perfusion such as hypotension, hypothermia, and vasoconstriction, the PPG signals detected are often weak and noisy, or in some cases unobtainable. Hence, pulse oximeters produce erroneous SpO(Formula presented.) readings in these circumstances. The problem arises as most commercial pulse oximeter probes are designed to be attached to peripheral sites such as the finger or toe, which are easily affected by vasoconstriction. In order to overcome this problem, the ear canal was investigated as an alternative site for measuring reliable SpO(Formula presented.) on the hypothesis that blood flow to this central site is preferentially preserved. A novel miniature ear canal PPG sensor was developed along with a state of the art PPG processing unit to investigate PPG measurements from the bottom surface of the ear canal. An in vivo study was carried out in 15 healthy volunteers to validate the developed technology. In this comparative study, red and infrared PPGs were acquired from the ear canal and the finger of the volunteers, whilst they were undergoing artificially induced hypothermia by means of cold exposure (10 (Formula presented.)C). Normalised Pulse Amplitude (NPA) and SpO(Formula presented.) was calculated from the PPG signals acquired from the ear canal and the finger. Good quality baseline PPG signals with high signal-to-noise ratio were obtained from both the PPG sensors. During cold exposure, significant differences were observed in the NPA of the finger PPGs. The mean NPA of the red and infrared PPGs from the finger have dropped by >80%. Contrary to the finger, the mean NPA of red and infrared ear canal PPGs had dropped only by 0.2 and 13% respectively. The SpO(Formula presented.)s estimated from the finger sensor have dropped below 90% in five volunteers (failure) by the end of the cold exposure. The ear canal sensor, on the other hand, had only failed in one volunteer. These results strongly suggest that the ear canal may be used as a suitable alternative site for monitoring PPGs and arterial blood oxygen saturation at times were peripheral perfusion is compromised

Molecular and Behavioral Differentiation among Brazilian Populations of Lutzomyia longipalpis (Diptera: Psychodidae: Phlebotominae)

Lutzomyia longipalpis is the main vector of visceral leishmaniasis in the Americas. There is strong evidence that L. longipalpis is a species complex, but there is still no consensus regarding the number of species occurring in Brazil. We combined molecular and behavioral analyses of a number of L. longipalpis populations in order to help clarify this question. This approach has allowed us to identify two main groups of populations in Brazil. One group probably represents a single species distributed mainly throughout the coastal regions of North and Northeast Brazil and whose males produce the same type of copulation song and pheromone. The second group is more heterogeneous, probably represented by a number of incipient species with different levels of genetic divergence among the siblings that produce different combinations of copulation songs and pheromones. The high level of complexity observed raises important questions concerning the epidemiological consequences of this incipient speciation process

Asymptomatic internal carotid artery stenosis and cerebrovascular risk stratification

Background The purpose of this study was to determine the cerebrovascular risk stratification potential of baseline degree of stenosis, clinical features, and ultrasonic plaque characteristics in patients with asymptomatic internal carotid artery (ICA) stenosis. Methods This was a prospective, multicenter, cohort study of patients undergoing medical intervention for vascular disease. Hazard ratios for ICA stenosis, clinical features, and plaque texture features associated with ipsilateral cerebrovascular or retinal ischemic (CORI) events were calculated using proportional hazards models. Results A total of 1121 patients with 50% to 99% asymptomatic ICA stenosis in relation to the bulb (European Carotid Surgery Trial [ECST] method) were followed-up for 6 to 96 months (mean, 48). A total of 130 ipsilateral CORI events occurred. Severity of stenosis, age, systolic blood pressure, increased serum creatinine, smoking history of more than 10 pack-years, history of contralateral transient ischemic attacks (TIAs) or stroke, low grayscale median (GSM), increased plaque area, plaque types 1, 2, and 3, and the presence of discrete white areas (DWAs) without acoustic shadowing were associated with increased risk. Receiver operating characteristic (ROC) curves were constructed for predicted risk versus observed CORI events as a measure of model validity. The areas under the ROC curves for a model of stenosis alone, a model of stenosis combined with clinical features and a model of stenosis combined with clinical, and plaque features were 0.59 (95% confidence interval [CI] 0.54-0.64), 0.66 (0.62-0.72), and 0.82 (0.78-0.86), respectively. In the last model, stenosis, history of contralateral TIAs or stroke, GSM, plaque area, and DWAs were independent predictors of ipsilateral CORI events. Combinations of these could stratify patients into different levels of risk for ipsilateral CORI and stroke, with predicted risk close to observed risk. Of the 923 patients with <70% stenosis, the predicted cumulative 5-year stroke rate was <5% in 495, 5% to 9.9% in 202, 10% to 19.9% in 142, and <20% in 84 patients. Conclusion Cerebrovascular risk stratification is possible using a combination of clinical and ultrasonic plaque features. These findings need to be validated in additional prospective studies of patients receiving optimal medical intervention alone. Copyright © 2010 by the Society for Vascular Surgery