Futures trading, spot price volatility and market efficiency: evidence from European real estate securities futures

In 2007 futures contracts were introduced based upon the listed real estate market in Europe. Following their launch they have received increasing attention from property investors, however, few studies have considered the impact their introduction has had. This study considers two key elements. Firstly, a traditional Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, the approach of Bessembinder & Seguin (1992) and the Gray’s (1996) Markov-switching-GARCH model are used to examine the impact of futures trading on the European real estate securities market. The results show that futures trading did not destabilize the underlying listed market. Importantly, the results also reveal that the introduction of a futures market has improved the speed and quality of information flowing to the spot market. Secondly, we assess the hedging effectiveness of the contracts using two alternative strategies (naïve and Ordinary Least Squares models). The empirical results also show that the contracts are effective hedging instruments, leading to a reduction in risk of 64 %

Temperature and Resource Availability May Interactively Affect Over-Wintering Success of Juvenile Fish in a Changing Climate

The predicted global warming may affect freshwater systems at several organizational levels, from organism to ecosystem. Specifically, in temperate regions, the projected increase of winter temperatures may have important effects on the over-winter biology of a range of organisms and especially for fish and other ectothermic animals. However, temperature effects on organisms may be directed strongly by resource availability. Here, we investigated whether over-winter loss of biomass and lipid content of juvenile roach (Rutilus rutilus) was affected by the physiologically relatively small (2-5°C) changes of winter temperatures predicted by the Intergovernmental Panel on Climate Change (IPCC), under both natural and experimental conditions. This was investigated in combination with the effects of food availability. Finally, we explored the potential for a correlation between lake temperature and resource levels for planktivorous fish, i.e., zooplankton biomass, during five consecutive winters in a south Swedish lake. We show that small increases in temperature (+2°C) affected fish biomass loss in both presence and absence of food, but negatively and positively respectively. Temperature alone explained only a minor part of the variation when food availability was not taken into account. In contrast to other studies, lipid analyses of experimental fish suggest that critical somatic condition rather than critical lipid content determined starvation induced mortality. Our results illustrate the importance of considering not only changes in temperature when predicting organism response to climate change but also food-web interactions, such as resource availability and predation. However, as exemplified by our finding that zooplankton over-winter biomass in the lake was not related to over-winter temperature, this may not be a straightforward task

ISSN exercise & sport nutrition review: research & recommendations

Sports nutrition is a constantly evolving field with hundreds of research papers published annually. For this reason, keeping up to date with the literature is often difficult. This paper is a five year update of the sports nutrition review article published as the lead paper to launch the JISSN in 2004 and presents a well-referenced overview of the current state of the science related to how to optimize training and athletic performance through nutrition. More specifically, this paper provides an overview of: 1.) The definitional category of ergogenic aids and dietary supplements; 2.) How dietary supplements are legally regulated; 3.) How to evaluate the scientific merit of nutritional supplements; 4.) General nutritional strategies to optimize performance and enhance recovery; and, 5.) An overview of our current understanding of the ergogenic value of nutrition and dietary supplementation in regards to weight gain, weight loss, and performance enhancement. Our hope is that ISSN members and individuals interested in sports nutrition find this review useful in their daily practice and consultation with their clients

Is the tracking error time varying? Evidence from agricultural ETCs

This study argues that the high volatility of agricultural commodity prices creates a challenge for exchange-traded commodity (ETC) managers to track the underlying index. Furthermore, previous studies find exchange-traded products replicated synthetically report a high tracking error (TE). Accordingly, this study examines the level and persistence of the TE in agricultural ETCs. In particular, we examine whether the TE of ETCs varies over time depending on agricultural commodity price volatility. According to our findings, agricultural ETC fund managers do not drift from their investment style depending on commodity price volatility. However, investors in agricultural ETCs are exposed to high TE during periods of high volatility, although it is not persistent over time. Therefore, this study also adds evidence to the argument that synthetic replication leads to high TE in ETCs

DOES THE TEA MARKET REQUIRE A FUTURES CONTRACT? EVIDENCE FROM THE SRI LANKAN TEA MARKET

Tea is one of the most popular beverages in the world. Its consumption exceeds the consumption of milk, coffee and orange juice. Despite its importance, tea has not been considered a commodity on financial markets and there is still no futures contract on tea. This study adds to the current literature by providing an overview of the development of the world’s oldest and largely unknown tea market. In addition, this study examines the issue of whether it is feasible to introduce a tea futures contract that would be advantageous for tea market participants. In conclusion, this analysis indicates that introducing a successful tea futures contract is viable but challenging under the existing market structure