Three Essays on Financial Markets

This dissertation consists of three essays that address recent topics in financial markets that concern for scholars, policymakers, and investors. The first essay examines the benefits of international diversification for US investors, while accounting for market development, corporate governance, market cap effects, and structural change across countries over period August 1996 –July 2013. Improved risk adjusted returns are obtained from a diversified portfolio consisting of a mix of developed and emerging countries. Additionally, we find that diversification benefits are not significant for most of the small-cap foreign assets when an investor already holds position in corresponding countries large-cap assets. Diversification benefits based on the governance effectiveness of a country’s companies are not ubiquitous. We find that economically significant improvements in risk-return performance can be attained by adding large caps of developed countries with high and low overall Governance Metrics International (GMI) ratings and large and small caps of emerging countries with low overall GMI ratings to the investment universe containing the assets of common law developed countries. However, diversification benefits are economically significant only for large and small caps of low GMI emerging countries when short selling is not allowed. The second essay looks at the market impact of recent regulatory changes in Canada that provide for trading halts on individual stocks that experience large upside or downside movements. The focus is on all stocks traded on the Toronto Stock Exchange since the inception of the single stock circuit breaker rule (SSCB) in February 2012, to replace the short-sale uptick rule. The results support pricing efficiency: material information that caused the circuit breaker is incorporated in stock prices on the day of the halt (neither overreaction nor underreaction), with no decline in market liquidity. Using trade-by-trade data constructed on 5-minute trading intervals, we refine the daily results, and show that shocks in realized volatility are focused in the ten-minute trading interval surrounding the halts. While circuit breakers provide a limited “safety net” for investors when their stocks are subject to severe volatility, they do not provide for a quick turnaround for stocks experiencing severe price decline events. The last essay re-examines the historical vs implied volatility spread anomaly, reported by Goyal and Saretto (2009) using a second-order stochastic dominance (SSD) criterion. The approach incorporates transaction frictions, and is robust to model specification problems, return distributions, as well as preferences. It is found that option trading frictions such as cash collateral requirements and option trading costs significantly reduce but do not eliminate returns to a long-short straddle trading strategy pre-2006 period. However, the anomaly disappears after 2006, consistent with market efficiency. The SSD test results confirm the findings

A security and privacy infrastructure for cloud computing using group signatures

New software applications are being developed every day by software development groups, ranging from the most professional to smaller amateur ones. The structures of the software development groups are very diverse, and a development environment should satisfy the needs of different kinds of group structure. Considering the advantages of low resource requirement, accessibility through mobile devices with restricted resources, and compatibility with collaborative working environments, Cloud computing is a perfect match for software developers, especially for the groups. However, since Cloud computing operates on insecure Internet, security against malicious third parties is a crucial issue. Files should be kept safe in the Cloud, and should only be accessed by those who have the authorization. Revocation and addition of the group members, and the organization of the access rights should also be performed in an efficient and robust way, fulfilling the needs of different groups. In this thesis, we propose a security and privacy infrastructure for a software development environment running in the Cloud. We propose to solve the security issues using the anonymous credential system, idemix, provided by IBM Research which relies on the Camenisch-Lysyanskaya group signature scheme. Group signatures can provide flexibility in the groups' inner organization and are also helpful for handling the access rights. Moreover, using an anonymous credential system also provides to the group members the ability to keep their anonymity while interacting with Cloud. In this way, we aim to provide an infrastructure to serve the groups with different inner organizations by not compromising their privacy. In order to evaluate the performance of the proposed system, we develop a simulation environment using M/D/m/m queues and analyze the proposed system under different scenarios and access control structures. Our results show that the proposed system is an efficient one and can serve up to 1000 concurrent users with response time under one second using four servers

Sterilizing Activity of Second-Line Regimens Containing TMC207 in a Murine Model of Tuberculosis

The sterilizing activity of the regimen used to treat multidrug resistant tuberculosis (MDR TB) has not been studied in a mouse model. (TB) strain H37Rv, treated with second-line drug combinations with or without the diarylquinoline TMC207, and then followed without treatment for 3 more months to determine relapse rates (modified Cornell model).Bactericidal efficacy was assessed by quantitative lung colony-forming unit (CFU) counts. Sterilizing efficacy was assessed by measuring bacteriological relapse rates 3 months after the end of treatment.The relapse rate observed after 12 months treatment with the WHO recommended MDR TB regimen (amikacin, ethionamide, pyrazinamide and moxifloxacin) was equivalent to the relapse rate observed after 6 months treatment with the recommended drug susceptible TB regimen (rifampin, isoniazid and pyrazinamide). When TMC207 was added to this MDR TB regimen, the treatment duration needed to reach the same relapse rate dropped to 6 months. A similar relapse rate was also obtained with a 6-month completely oral regimen including TMC207, moxifloxacin and pyrazinamide but excluding both amikacin and ethionamide.In this murine model the duration of the WHO MDR TB treatment could be reduced to 12 months instead of the recommended 18–24 months. The inclusion of TMC207 in the WHO MDR TB treatment regimen has the potential to further shorten the treatment duration and at the same time to simplify treatment by eliminating the need to include an injectable aminoglycoside

Distribution of Spoligotyping Defined Genotypic Lineages among Drug-Resistant Mycobacterium tuberculosis Complex Clinical Isolates in Ankara, Turkey

Background: Investigation of genetic heterogeneity and spoligotype-defined lineages of drug-resistant Mycobacterium tuberculosis clinical isolates collected during a three-year period in two university hospitals and National Tuberculosis Reference and Research Laboratory in Ankara, Turkey. Methods and Findings: A total of 95 drug-resistant M. tuberculosis isolates collected from three different centers were included in this study. Susceptibility testing of the isolates to four major antituberculous drugs was performed using proportion method on Löwenstein–Jensen medium and BACTEC 460-TB system. All clinical isolates were typed by using spoligotyping and IS6110-restriction fragment length polymorphism (RFLP) methods. Seventy-three of the 95 (76.8%) drug resistant M. tuberculosis isolates were isoniazid-resistant, 45 (47.4%) were rifampicin-resistant, 32 (33.7%) were streptomycinresistant and 31 (32.6%) were ethambutol-resistant. The proportion of multidrug-resistant isolates (MDR) was 42.1%. By using spoligotyping, 35 distinct patterns were observed; 75 clinical isolates were grouped in 15 clusters (clustering rate of 79%) and 20 isolates displayed unique patterns. Five of these 20 unique patterns corresponded to orphan patterns in th

Treatment Outcomes of Multidrug-Resistant Tuberculosis: A Systematic Review and Meta-Analysis

BACKGROUND:Treatment outcomes for multidrug-resistant Mycobacterium Tuberculosis (MDRTB) are generally poor compared to drug sensitive disease. We sought to estimate treatment outcomes and identify risk factors associated with poor outcomes in patients with MDRTB. METHODOLOGY/PRINCIPAL FINDINGS:We performed a systematic search (to December 2008) to identify trials describing outcomes of patients treated for MDRTB. We pooled appropriate data to estimate WHO-defined outcomes at the end of treatment and follow-up. Where appropriate, pooled covariates were analyzed to identify factors associated with worse outcomes. Among articles identified, 36 met our inclusion criteria, representing 31 treatment programmes from 21 countries. In a pooled analysis, 62% [95% CI 57-67] of patients had successful outcomes, while 13% [9]-[17] defaulted, 11% [9]-[13] died, and 2% [1]-[4] were transferred out. Factors associated with worse outcome included male gender 0.61 (OR for successful outcome) [0.46-0.82], alcohol abuse 0.49 [0.39-0.63], low BMI 0.41[0.23-0.72], smear positivity at diagnosis 0.53 [0.31-0.91], fluoroquinolone resistance 0.45 [0.22-0.91] and the presence of an XDR resistance pattern 0.57 [0.41-0.80]. Factors associated with successful outcome were surgical intervention 1.91 [1.44-2.53], no previous treatment 1.42 [1.05-1.94], and fluoroquinolone use 2.20 [1.19-4.09]. CONCLUSIONS/SIGNIFICANCE:We have identified several factors associated with poor outcomes where interventions may be targeted. In addition, we have identified high rates of default, which likely contributes to the development and spread of MDRTB

Personal data protection in turkey: Technical and managerial controls

In the European Union and some other countries legal directives are in progress which consist of regulations about personal data protection, processing such personal data resulting with any expression of opinion about the individual. Also in Turkey a draft Personal Data Protection Act which was prepared in 2003 and waiting to be approved includes new practices for individuals, public bodies and corporates. During the identification of these practices and compliance gaps, how much the bodies are ready for this act, how will the requirements of this act be supplied by the bodies, and the differences between sectoral practices must be investigated for Turkey. This paper consists of the new applications which individuals, public bodies and corporates will face as a result of the draft act, the compliance with the current international standards from a general perspective, ways in which the system security countermeasures may ensure the act's requirements. © 2008 Atilla Elçi

A single centre’s experience of caesarean scar pregnancy and proposal of a management algorithm

The management of a caesarean scar pregnancy ranges from conservative medical therapy to surgical treatment. The aim of this study is to present our experience of caesarean scar ectopic pregnancies treated with different modalities and to develop a management algorithm. This retrospective clinical analysis included 21 caesarean scar pregnancies. The clinical data, ultrasonographic characteristics, b-human chorionic gonadotropin concentrations, the treatment options and complications were noted. One patient was managed expectantly, six patients were treated with D and C, seven patients were treated with systemic methotrexate, eight patients underwent a caesarean scar pregnancy removal with a laparoscopy, three patients were treated with a hysteroscopy. Three patients who recieved a methotrexate required additional treatment methods including a laparoscopy, hysteroscopy and D and C. Surgery was successful in all cases. An intra-abdominal haemorrhage from the vessels in the scar area occured in the patient managed expectantly, and a laparatomy and removal was performed. A systemic methotrexate, dilatation and curettage, hysteroscopic resection and laparoscopic resection are feasible methods for scar pregnancy treatment depending on the gestational age, β-hCG level, the type of scar pregnancy and the clinical status of the patient.IMPACT STATEMENT What is already known on this subject? CSP has increased gradually parallel to the increased rates of CS worldwide. There is no treatment consensus on that rare entity. What do the results of this study add? We aimed to present our cases and to discuss a proposal algorithm with further studies. What are the implications of these findings for clinical practice and/or further research? Our cases and proposal algorithm could help to determine the treatment options for CSP