The Impact of Regulatory Changes on the Efficiency of the Phase II EU ETS European Carbon Futures

This study investigates long-horizon weak form market efficiency in the Phase II EU ETS (European Union Emissions Trading Scheme) Carbon Futures Market. Using data that encompasses exchange based (ECX) trades in Phase I and Phase II ECX CFI futures contracts from January 1, 2008, to September 28, 2010, this study employs various tests of long horizon weak form market efficiency including variance ratio tests, tests of trading rule profitability, and serial correlation. In contrast to prior research that focuses on Phase I EU ETS, this study finds evidence of a significant structural change to the EU ETS from Phase I to Phase II, and supports the efficient market hypothesis during Phase II (2008 “2010). Results suggest that documented improvements in market quality, increasing trading activity, and removal of Phase I market frictions have fostered improvements in market efficiency into and during Phase II

Short selling restrictions and index futures pricing: Evidence from China

© 2019 Elsevier Inc. This study examines the impact of short-selling restrictions on futures mispricing (relative to various benchmarks) in the market for CSI 300 index futures. In mid-2015, Chinese regulators imposed a new short-selling restriction in an attempt to curb excessive stock market volatility. Results show that futures under-pricing occurs more frequently at the transaction cost levels, ranging from 0 to 1.5%, while futures over-pricing occurs less frequently at the transaction cost levels from 0 to 0.75% under the new short sale rule. The results support the hypothesis that short-selling restrictions impose costs to the arbitrage trading strategies by arbitrageurs who do not own the underlying assets in the presence of futures under-pricing (or over-pricing of the underlying assets), resulting in more persistent futures under-pricing

31st Annual Meeting and Associated Programs of the Society for Immunotherapy of Cancer (SITC 2016) : part two

Background The immunological escape of tumors represents one of the main ob- stacles to the treatment of malignancies. The blockade of PD-1 or CTLA-4 receptors represented a milestone in the history of immunotherapy. However, immune checkpoint inhibitors seem to be effective in specific cohorts of patients. It has been proposed that their efficacy relies on the presence of an immunological response. Thus, we hypothesized that disruption of the PD-L1/PD-1 axis would synergize with our oncolytic vaccine platform PeptiCRAd. Methods We used murine B16OVA in vivo tumor models and flow cytometry analysis to investigate the immunological background. Results First, we found that high-burden B16OVA tumors were refractory to combination immunotherapy. However, with a more aggressive schedule, tumors with a lower burden were more susceptible to the combination of PeptiCRAd and PD-L1 blockade. The therapy signifi- cantly increased the median survival of mice (Fig. 7). Interestingly, the reduced growth of contralaterally injected B16F10 cells sug- gested the presence of a long lasting immunological memory also against non-targeted antigens. Concerning the functional state of tumor infiltrating lymphocytes (TILs), we found that all the immune therapies would enhance the percentage of activated (PD-1pos TIM- 3neg) T lymphocytes and reduce the amount of exhausted (PD-1pos TIM-3pos) cells compared to placebo. As expected, we found that PeptiCRAd monotherapy could increase the number of antigen spe- cific CD8+ T cells compared to other treatments. However, only the combination with PD-L1 blockade could significantly increase the ra- tio between activated and exhausted pentamer positive cells (p= 0.0058), suggesting that by disrupting the PD-1/PD-L1 axis we could decrease the amount of dysfunctional antigen specific T cells. We ob- served that the anatomical location deeply influenced the state of CD4+ and CD8+ T lymphocytes. In fact, TIM-3 expression was in- creased by 2 fold on TILs compared to splenic and lymphoid T cells. In the CD8+ compartment, the expression of PD-1 on the surface seemed to be restricted to the tumor micro-environment, while CD4 + T cells had a high expression of PD-1 also in lymphoid organs. Interestingly, we found that the levels of PD-1 were significantly higher on CD8+ T cells than on CD4+ T cells into the tumor micro- environment (p < 0.0001). Conclusions In conclusion, we demonstrated that the efficacy of immune check- point inhibitors might be strongly enhanced by their combination with cancer vaccines. PeptiCRAd was able to increase the number of antigen-specific T cells and PD-L1 blockade prevented their exhaus- tion, resulting in long-lasting immunological memory and increased median survival

Determinants of Credit Spread Changes: Evidence from the Australian Bond Market

This paper is one of the first to examine the empirical determinants of credit spread changes on corporate bonds in the Australian market. Eight different credit spread changes are analysed corresponding to bonds of four different credit ratings and four different maturity ranges. We investigate the explanatory power of several variables derived from structural models of corporate default. Also included in the analysis are variables designed to capture the liquidity component of the credit spread. Results indicate that changes in the spot rate and changes in the slope of the yield curve are the most important determinants of credit spread changes. Overall, the model is able to describe a large proportion of the variation in credit spread changes – up to 60 percent. The model provides the best fit for credit spreads in well established bond markets

The Information Content of Undisclosed Limit Orders Around Broker Anonymity

This paper examines the impact of the submission of undisclosed limit orders and their short‐term information content compared to similar disclosed orders. We also examine whether the abolishment of broker identifiers from trading screens on the Australian Securities Exchange affects the short-term information content of various order types. Results indicate that aggressively submitted undisclosed orders, compared to similar disclosed-limit orders, lead to significantly higher short-term price movements. The removal of broker identifiers does not provide consistent evidence of any changes in the short-term information content of large dollar volume orders. This suggests that disclosed orders provide more information to the market than do broker identifiers

The Impact of Market Maker Competition on Market Quality: Evidence from an Options Exchange

This paper examines the dynamic relationship between competition, liquidity provision, and market structure. By examining the entry and exit of market makers in the Australian Options market, this study empirically analyses the issue of market maker competition. Results indicate that market maker entry depends on a broad range of profit, risk and market concentration characteristics, but free market maker movement does not explicitly result in a competitive market structure. This study also finds that the degree of market concentration additionally affects the marginal impact of market maker entry (exit), but the effect is significantly more pronounced for the most liquid classes of options. The implication of this finding is pertinent to market regulators since market maker competition may not necessarily contribute to enhancing market quality for less liquid securities

The Pricing and Efficiency of Australian Treasury Bond Futures

This paper examines the efficiency of the Treasury Bond futures market in Australia. We provide a comprehensive explanation of the method used to price, and evaluate efficiency of the 3 and 10 Year Australian Treasury Bond Futures contracts, against underlying bond baskets. Results indicate that the futures contracts exhibit minimal variation from their theoretical value. The average mispricing equates to 1.96 basis points for 3 Year and 1.19 basis points for 10 Year government bond futures contracts. However, during some periods (including the financial crisis of 2008), the bond futures contracts exhibit greater mispricing. Consistent with prior literature, we find a decreasing pattern of mispricing towards expiry, with the futures contract yields and average forward yields of the underlying bonds converging towards expiry. Further analysis reveals that volatility and time to expiry exhibit a significant positive relationship with the absolute level of mispricing

Informational role of market makers : the case of exchange traded CFDs

This study examines the informational role of market makers in the S&P/ASX 200 CFD (CFD 200) market relative to other alternative index markets. The results reveal that the market for the SPI 200 Index Futures (SPI 200) plays a dominant role in the process of price discovery in the S&P/ASX 200 Index market. The remaining contributions to price discovery are shared between the CFD 200 and SPDR ETF markets; between the two markets, the contribution of the CFD 200 market is substantially greater than that of the SPDR ETF market. This study also provides evidence that innovation correlations between the CFD 200 and SPI 200 markets are considerably larger than those between index-linked instruments reported in prior studies. The results suggest that the CFD 200 market makers mechanically set quotes ("autoquoting"), using limit order prices for the SPI 200 contracts as benchmark quotes.9 page(s