Do ‘Fat Tails’ Matter in GARCH Estimation? Stock Market Efficiency in Romania and the Czech Republic

The use of the GARCH-class of models is commonplace when examining stock market returns. In this paper we use data on stock markets in two transition economies to demonstrate the importance of using the correct GARCH specification. When returns are characterised by ‘fat tails’ or kurtosis the use of a GARCH-t specification is appropriate. Returns in Romania are symmetric, but characterised by kurtosis. Returns in the Czech Republic are normally distributed. Using a standard GARCH specification leads to rejection of the null hypothesis of market efficiency in Romania, whereas this null hypothesis cannot be rejected using the GARCH-t specification. The null hypothesis of efficiency cannot be rejected in the Czech Republic using either specification. Thus, we find that the presence of ‘fat tails’ can have important implications for inference in the analysis of stock market returns.GARCH, transition, stock market efficiency

'Quarbs' and Efficiency in Spread Betting Markets: can you beat the book?

In this paper, we examine a relatively novel form of gambling, index (or spread) betting, that mirrors (and indeed overlaps with) practices in conventional financial markets. In this form of betting, a number of bookmakers quote a bid-offer spread about the result of some future event, and bettors are invited to buy (sell) at the top (bottom) end of the quoted spreads. We hypothesise that the existence of an outlying spread may provide uninformed traders with information that can be used to develop improved trading strategies. Using conditional moment tests on data from a popular spread betting market in the United Kingdom, we find that in the presence of a number of price-setters, the market mid-point is indeed a better predictor of asset values than the outlying price. We further show that this information can be used to develop trading strategies that lead to returns that are consistently positive and superior to those from noise trading and, in some cases, significantly so.

Taxation and the Demand for Gambling: New Evidence from the United Kingdom.

In October 2001, the U.K. government implemented a dramatic shift in the taxation of gambling, resulting in a substantial decline in taxes levied on U.K. bookmakers. Using data before and after this event, we present econometric evidence on the demand response to this tax reduction. Our results suggest that the demand for bookmaker gambling is highly sensitive to taxation rates and that the decline in the rate of taxation led to a large increase in the demand for on-shore betting. We also find some evidence of price-induced substitution across different segments of the gambling industry. The U.K. policy initiative may provide useful information for policy makers in other countries who are contemplating changes in gambling taxation.

How does legalization of physician assisted suicide affect rates of suicide?

Objectives: Several US states have legalized or decriminalised physician assisted suicide (PAS) whilst others are currently considering permitting PAS. Although it has been suggested that legalization could plausibly lead to a reduction in total suicides and to a delay in those suicides which do occur, to date no research has tested whether these effects can be identified in practice. The aim of this paper was to fill this gap by examining the association between the legalization of PAS and state-level suicide rates in the USA between 1990 and 2013. Methods: We used regression analysis to test the change in rates of non-assisted suicides and total suicides (i.e. including assisted suicides) before and after legalization of PAS. Results: Controlling for various socio-economic factors, unobservable state- and year effects, and state-specific linear trends, legalizing PAS was associated with a 6.3% (95% confidence interval [CI] = 2.70%, 9.9%) increase in total suicides (i.e. including assisted suicides). This effect was larger in the over 65s (14.5%, CI = 6.4%, 22.7%). Introduction of PAS was not associated with a reduction in non-assisted suicide rates, nor with an increase in the mean age of non-assisted suicide. Conclusion: Legalizing PAS has been associated with an increased rate of total suicides relative to other states and no decrease in non-assisted suicides. This suggests either that PAS does not inhibit (nor acts as an alternative to) non-assisted suicide, or that it acts in this way in some individuals but is associated with an increased inclination to suicide in other individuals. Funding: The authors received no funding for this research beyond the salaries paid by their respective institutions

Surplus Food: Its Effect on Protein Metabolism with Observations on the Metabolic Response to Injury

1. The ingestion of diets very rich in first class protein and of high calorie value, by persons suffering from the fracture of one or more of their long bones as the result of direct violence, modified considerably the marked loss of body protein which normally occurs under such circumstances. At the height of the catabolic disturbance, however, such diets still failed to prevent this loss of protein. 2. The addition of extra carbohydrate to rats which were in receipt of a fractured femur, apparently exercised a sparing effect on tissue protein,which was more marked than that observed in the human subject. The reason for this probably lay in the fact, that a day in the life of a rat is relatively a much longer period of time, than a day in the life of man. It is possible that had analyses been made at more frequent intervals than once every 24 hours, results similar to those found in the human subject might have been obtained. 3. Measures such as massage and manipulation, the addition of meat extractives, glycine, hydrolysate of mixed ox tissue, gelatin and sodium caseinate, and diets of high calorie value but average protein content similarly failed to stem the loss of protein, and generally proved less successful in mitigating the drain on the body's reserves. 4. The catabolic disturbance is characterised by an increase in the basal consumption of oxygen with attendant rise in pulse rate and temperature, and by parallel rises in the urinary output of total N, total S, total P and to a less extent K. Na excretion remains relatively unchanged. 5. The creatinuria which develops and parallels the rise in total N is accompanied by little change in the creatinine excretion; such change as occurred took the form of a slight diminution during the period of maximum creatinuria. 6. If it be assumed that muscle tissue is mainly contributing to this excessive urinary excretion, then the loss of K is relatively greater than the loss of N, and the loss of creatine is relatively smaller than the N loss. 7. Analyses of the quadriceps femoris overlying the fractured femur revealed that there was relatively a greater loss of K than N. The S:N ratio of the excess S and N outputs in the urine was 1:16.36 - a value close to that of muscle. 8. Owing to the fact that the change in weight of the injured limb was relatively insignificant in comparison with the variability of weight found to exist amongst the dissected hind quarters of intact animals, it was impossible to determine whether the introduction of a local anaesthetic with a presumed prolonged action allayed reflex wasting. 9. The loss in weight of the quadriceps femoris of the injured limb was not prevented by forced feeding. This was only to be expected. 10. If it be presumed that the excess N comes from muscle then the loss of muscle substance cannot account for more than two thirds of the total loss of body weight. The presumption is that the reserves of carbohydrate and fat are also called on to meet the demand for readily oxidisable material. 11. Trauma such as has been described also causes, at least in the human subject, an immediate and marked disturbance of the plasma proteins. Both the total amount and relative proportions are affected. The general effect is a slight fall in the albumin moiety coupled with a very definite rise in the globulin fraction. Fibrinogen was often found to be appreciably raised. 12. Subsequent manipulations of the injured part were found to cause a considerable increase in the globulin and fibrinogen fractions, and an increased loss of N was also found in the urine

The cholesterol-solubilizing power of biliary lipids

No Abstrac

The catechol amines and their receptors

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To Bat or Not to Bat: An Examination of Contest Rules in Day-night Limited Overs Cricket

The tradition of tossing a coin to decide who bats first in a cricket match introduces a randomly-assigned advantage to one team that is unique in sporting contests. In this paper we develop previous work on this issue by examining the impact of the toss on outcomes of day-night one day international games explicitly allowing for relative team quality. We estimate conditional logit models of outcomes using data from day-night internationals played between 1979 and 2005. Other things equal, we find that winning the toss and batting increases the probability of winning by 31%. In contrast, winning the toss does not appear to confer any advantage if the team choose to bowl first.cricket, contest rules, match results, competitive balance, outcome uncertainty

Productivity Measurement in a Service Industry: Plant-Level Evidence from Gambling Establishments in the United Kingdom

Gambling is one of the fastest growing service industries. Unfortunately, there have been no studies of total factor productivity (TFP) in this sector. The purpose of this paper is to fill this gap, based on an analysis of U.K. establishment-level data. These data are derived from the Annual Respondents Database (ARD) file, constructed by the U.K. Office for National Statistics, consisting of individual establishment records from the Annual Census of Production. The ARD file contains detailed data on output, materials, energy, employment, and numerous plant and firm characteristics and is quite similar to the U.S.-based Longitudinal Research Database (LRD). This information can be used to construct measures of TFP. We also construct estimates of labour productivity, since TFP is may be measured with error. We use these data to estimate labour and total factor productivity equations based on a stochastic frontier production function framework. The latter approach enables us to assess whether investment in information technology enhances relative productivity. Our preliminary results suggest that the production function models fit well, generating plausible elasticity estimates and indicating constant returns to scale. While investment in computers per se does not appear to have a productivity enhancing effect, gambling establishments that use Internet-based technology appear to be closer to the frontier.