On the efectiveness of several market integration measures: an empirical analysis

Many market integration measures are operationalized to compute their numerical values during a period characterized by the lack of stability ad market turmoil. The results of the tests give their degree of effectiveness, and reveal that the measures based on the principles of asset valuation, versus statistical measures, more clearly yield the level of integration of financial markets. Besides, cross market arbitrage-linked measures and equilibrium models-linked measures provide complementary information and reflect different properties, and consequently, both types of measures may be useful in practice

Regional growth and regional imbalances: Spain and USA

Regional and national incomes are determined by spatial and non spatial phenomena. Relative elasticities in Spain and U.S.A. for income explanatory variables, which were derivated from space models estimates, are 35 y 65%, respectively. External spatial economies, locational inertia of investment and urban expenditure multiplier -all of them typical spatial variables- are all concepts explaining the way space cooperates to income generation. Non spatial economic analysis therefore does not pay attention to phenomena which explain about a third of the produced national wealth. Regional income imbalances have not disappeared after decades or even centuries of economic development. Although they have indeed decreased dramatically, this reduction stopped around 1960 in the U.S.A. and 1980 in Spain. Since then regional per capita income imbalances have remained almost constant, ranging from 60 to 75 % between poor and rich regions. Interregional technological transfers, internal economies of scale, the urban expenditure multiplier, and decreasing external spatial economies explain the interregional “catching-up”. External spatial economies, locational inertia of investment and the end of regional labour migration are the reasons explaining the present steadiness in spatial imbalances.

Un modelo espacial de renta per capita regional: evidencias provincial, comarcal y municipal

En este artículo se presenta un modelo explicativo de la renta per capita regional en función de variables territoriales y de variables no territoriales. La diferencia entre ambas radica en que las variables territoriales hacen referencia a proce sos espaciales tales como las economías externas espaciales o el multiplicador urbano del gasto, que pueden tener tanto un carácter intra como interterritorial. Dicho modelo se estima utilizando técnicas de Econometría Espacial en tres niveles de agrega ción territorial distintos: las provincias, las comarcas y los municipios españoles. Los resultados confirman la validez del modelo en los distintos niveles de agregación territorial, y destacan la importancia de las variables territoriales, que explican entre el 30 y el 50 % de la generación de renta de un territorio dado

Agglomeration, accessibility and industrial location: evidence from spanish municipalities

This paper deals with the location decisions of manufacturing firms in Spain. We analyse how agglomeration economies and transport accessibility influence the location decisions of firms at municipality level and in three industries. The main empirical contributions of this paper are the econometric techniques used (spatial econometric models) and some of the explanatory variables (local gross domestic product, road accessibility, and the characteristics of firms in neighbouring municipalities). The results show that agglomeration economies and accessibility are important in industrial location decision-making.Agglomeration, Accessibility, Industrial location, Spatial econometrics, Spain

Carbon and inflation

This paper investigates whether European Union Allowances (EUAs) can serve as an inflation hedge for two economic areas, four euro countries and two non-euro countries. The Extended Fisher Hypothesis is tested and the evidence shows a strong positive relationship between EUA returns and the unexpected inflation component in all the economic areas or countries analysed, except for the US. Therefore, EUAs are able to provide a hedge against unanticipated inflation rates

On the Hidden Side of Liquidity

An important number of stock exchanges allow market participants to enter limit orders without revealing the full size. However, there is a lot of controversy over the use and consequences of hidden orders, since they embrace a complex interaction between order exposure risk, market liquidity and transparency. Our study focuses on the motives of submitting undisclosed limit orders to trade as well as on the market response when the presence of these orders is publicly revealed. Using data from the Spanish Stock Exchange, we find that hidden orders emerge in periods of intense trading activity and extremely high liquidity. Our results find no evidence that the undisclosed volume is used as a defensive strategy against parasitic traders. On the contrary, we provide support to the notion that liquidity suppliers use hidden orders to mitigate adverse selection costs. We also report that hidden orders temporally increase the aggressiveness of traders when they are revealed to the marketplace but, as opposed to the widespread opinion among practitioners, they have no relevant price impact

A new look at the meeting clustering effect

Purpose - The study aims to test the existence of a meeting clustering effect in the Spanish StockExchange (SSE). Design/methodology/approach - This paper studies the relationship between the clustering of annual general meetings and stock returns in the SSE. A multivariate analysis is carried out in order to analyse the relationship between monthly returns and the clustering of general meetings in the SSE. Findings - The authors show that meeting clustering exists and that some months exhibit significant and positive additional returns related to the holding of ordinary or extraordinary general meetings. Research limitations/implications - The authors have explored some possible explanations for the meeting clustering effect, such as a potential link with the "Halloween" effect or the presence of higher-thannormal levels of volatility, trading volumes or investor attention. However, none of these can explain the meeting clustering effect that emerges as a new anomaly in the SSE. Practical implications - The authors have documented significant and positive abnormal returns in some months that coincide with the holding of general meetings. Therefore, the holding of ordinary and/or extraordinary meetings in some months involves the release of relevant information for investors. Originality/value - This study complements the financial literature because it is focused on the clustering ofmeetings and its effect on a stock market whose legal order is based on civil law. This fact allows us to shed new light on meeting clustering and its effect on other types of markets

Major International Information Flows Across the Safex Wheat Market

Abstract We study information flows across four wheat futures markets on four continents: Zhengzhou Commodity Exchange (ZCE), South African Futures Exchange (SAFEX), Euronext/Liffe and Kansas City Board of Trade (KCBT). Three approaches for studying information flows among non-synchronous markets are applied: cointegration techniques, vector autoregressive analysis and multiple regression proposed. Although comparable underlying assets are traded in the four markets, our results indicate that no long-run links exist among them. ZCE is by far the most endogenous market, and Euronext/Liffe is the most exogenous one. Finally, the model points to KCBT as the most influential and sensitive wheat market. Our findings indicate that the relative openness of the SAFEX wheat market supports information flows and linkages from KCBT and Euronext/ Liffe. Therefore, our results suggest that more supportive policies to incentivise higher wheat production in South Africa are required to mitigate the impact of price shocks emanating from the global wheat markets