Master of Commerce - Accounting There are 1 files which have been withheld at the author's request. / Since the identification and documentation of a day-of-the-week effect, it has captured imagination of the investing public and the attention of researchers. Indeed a significant amount of research has been dedicated towards the day-of-the-week effect. Until recently, the results of such research were consistent in that the evidence seemed to indicate that a day-of-the-week effect may indeed exist throughout the world. More recent studies have, however, produced different results and a second body of evidence is developing which indicates that the day-of-the week effect is dwindling. Attempts by researchers to attribute the day-of-the week effect to the settlement practices of various exchanges have met with limited success. This study argues that one would expect traded prices on an exchange to incorporate an adjustment for the delay between transacting and settlement. A model is formulated to adjust the mean daily returns on the exchange for the particular exchange’s settlement practice. This model is tested against historic price data from the Johannesburg Stock Exchange. The evidence presented does not support the notion that the traded prices are adjusted for the delay between the transaction and the settlement, the overall conclusion is that the settlement effect may represent a Johannesburg Stock Exchange inefficiency, though the size and significance of the effect has decreased in recent times

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Pineapple juice of low acid content was prepared by removal of acids by using weakly basic anion exchange resin, IRA-93. The changes in the contents of titratable acid, pH and total soluble solids of model solutions that contained the principal constituents of pineapple juice (citric acid, citrate salt and sucrose) were investigated. The adsorption of individual acids and changes in composition of juice after a de-acidification process were explored. The adsorbed acids were recovered as solutions by some eluants, and studies on colour development in the recovered solutions carried out. The solutions of adsorbed acids recovered by NaOH from the resin, which had been treated by model solutions, were brown in colour. The brown colour was also found immediately when NaOH was added to the resin treated with pineapple juice but it was not found in the treated juice during acid removal treatment when its pH rose to 10. A greater amount of the dark colour was observed in the desorbed solution from the resin that had been treated with pineapple juice. The use of sulphuric acid, sodium chloride, sodium sulphate, sodium bicarbonate and phosphate buffer solution to desorb the acids from pineapple juice-treated resins reduced the intensity of the colour, measured at pH 3.5, of desorbed acid solutions. The colours of the desorbed solutions were pH dependent. Either solution of sulphuric acid or sodium chloride has a comparable desorbing power to a solution of sodium hydroxide whereas the rest has a lower desorbing power / Master of Science (Hons) (Food Science)

We employ the Reuters database to compare execution costs for 2,330 matched-pair securities across the top 7 equity markets in the Dow Jones STOXX Global 1800 Index. This sample encompasses a wide variety of thirteen market design features. In addition, we investigate execution costs well beyond the most heavily traded stocks to include equities in the sixth through tenth deciles of traded value. Our findings indicate that full transparency of the limit order book to investors and a composite of unique NYSE features (but not the presence of the crowd) unequivocally reduce effective spreads. In contrast, a fully transparent limit order book revealed to brokers, the presence of a market maker, or the mixture of execution systems present on the LSE sharply increase effective spreads in both thickly and thinly-traded stocks. The effect of a physical trading floor is statistically significant but relatively small; it increases effective spreads slightly for thickly-traded firms, and reduces them for thinly-traded stocks. The findings for price impact are the same with three exceptions. First, the presence of a trading floor increases costs, dramatically so for thinlytraded stocks. Second, a fully transparent limit order book for brokers raises price impact for thickly traded stocks, but lowers price impacts for thinly traded firms. Third, in thinly-traded stocks, London???s hybrid market decreases price impact, and in thickly-traded stocks, crowd trading on the NYSE and full transparency to investors decrease price impact. Finally, the results for realised spread are essentially the same as those for effective spread, with the exception that the effect of the presence of a trading floor is to reduce realised spreads. Overall, the London Stock Exchange is the highest execution cost market, and the NYSE is the lowest. This research includes a market-specific study of the effect on execution cost of the Liquidity Provider of Euronext Paris. Euronext Paris affords a natural experimental research design because a third of firms have Liquidity Providers and two thirds do not. Results indicate quoted spreads, effective spreads and realized spreads are significantly affected by the presence of a Liquidity Provider, but price impacts are not. On the one hand, this suggests that the thickly-traded stocks where the Liquidity Providers are prohibited have sufficient liquidity in their absence. On the other hand however, liquidity providers on Euronext Paris reduce effective and realised spreads in essentially all stocks. This finding suggests that the limit order book refreshes much more quickly after developing an imbalance of large size orders when Liquidity Providers can facilitate other liquidity suppliers in assessing picking off risk. The Liquidity Provider increases quoted spreads for thickly-traded firms from the first three traded value deciles while reducing quoted spreads for the lower deciles.

Thesis (LL.M.)--University of Hong Kong, 1989. / Also available in print.

We employ the Reuters database to compare execution costs for 2,330 matched-pair securities across the top 7 equity markets in the Dow Jones STOXX Global 1800 Index. This sample encompasses a wide variety of thirteen market design features. In addition, we investigate execution costs well beyond the most heavily traded stocks to include equities in the sixth through tenth deciles of traded value. Our findings indicate that full transparency of the limit order book to investors and a composite of unique NYSE features (but not the presence of the crowd) unequivocally reduce effective spreads. In contrast, a fully transparent limit order book revealed to brokers, the presence of a market maker, or the mixture of execution systems present on the LSE sharply increase effective spreads in both thickly and thinly-traded stocks. The effect of a physical trading floor is statistically significant but relatively small; it increases effective spreads slightly for thickly-traded firms, and reduces them for thinly-traded stocks. The findings for price impact are the same with three exceptions. First, the presence of a trading floor increases costs, dramatically so for thinlytraded stocks. Second, a fully transparent limit order book for brokers raises price impact for thickly traded stocks, but lowers price impacts for thinly traded firms. Third, in thinly-traded stocks, London???s hybrid market decreases price impact, and in thickly-traded stocks, crowd trading on the NYSE and full transparency to investors decrease price impact. Finally, the results for realised spread are essentially the same as those for effective spread, with the exception that the effect of the presence of a trading floor is to reduce realised spreads. Overall, the London Stock Exchange is the highest execution cost market, and the NYSE is the lowest. This research includes a market-specific study of the effect on execution cost of the Liquidity Provider of Euronext Paris. Euronext Paris affords a natural experimental research design because a third of firms have Liquidity Providers and two thirds do not. Results indicate quoted spreads, effective spreads and realized spreads are significantly affected by the presence of a Liquidity Provider, but price impacts are not. On the one hand, this suggests that the thickly-traded stocks where the Liquidity Providers are prohibited have sufficient liquidity in their absence. On the other hand however, liquidity providers on Euronext Paris reduce effective and realised spreads in essentially all stocks. This finding suggests that the limit order book refreshes much more quickly after developing an imbalance of large size orders when Liquidity Providers can facilitate other liquidity suppliers in assessing picking off risk. The Liquidity Provider increases quoted spreads for thickly-traded firms from the first three traded value deciles while reducing quoted spreads for the lower deciles.

We employ the Reuters database to compare execution costs for 2,330 matched-pair securities across the top 7 equity markets in the Dow Jones STOXX Global 1800 Index. This sample encompasses a wide variety of thirteen market design features. In addition, we investigate execution costs well beyond the most heavily traded stocks to include equities in the sixth through tenth deciles of traded value. Our findings indicate that full transparency of the limit order book to investors and a composite of unique NYSE features (but not the presence of the crowd) unequivocally reduce effective spreads. In contrast, a fully transparent limit order book revealed to brokers, the presence of a market maker, or the mixture of execution systems present on the LSE sharply increase effective spreads in both thickly and thinly-traded stocks. The effect of a physical trading floor is statistically significant but relatively small; it increases effective spreads slightly for thickly-traded firms, and reduces them for thinly-traded stocks. The findings for price impact are the same with three exceptions. First, the presence of a trading floor increases costs, dramatically so for thinlytraded stocks. Second, a fully transparent limit order book for brokers raises price impact for thickly traded stocks, but lowers price impacts for thinly traded firms. Third, in thinly-traded stocks, London???s hybrid market decreases price impact, and in thickly-traded stocks, crowd trading on the NYSE and full transparency to investors decrease price impact. Finally, the results for realised spread are essentially the same as those for effective spread, with the exception that the effect of the presence of a trading floor is to reduce realised spreads. Overall, the London Stock Exchange is the highest execution cost market, and the NYSE is the lowest. This research includes a market-specific study of the effect on execution cost of the Liquidity Provider of Euronext Paris. Euronext Paris affords a natural experimental research design because a third of firms have Liquidity Providers and two thirds do not. Results indicate quoted spreads, effective spreads and realized spreads are significantly affected by the presence of a Liquidity Provider, but price impacts are not. On the one hand, this suggests that the thickly-traded stocks where the Liquidity Providers are prohibited have sufficient liquidity in their absence. On the other hand however, liquidity providers on Euronext Paris reduce effective and realised spreads in essentially all stocks. This finding suggests that the limit order book refreshes much more quickly after developing an imbalance of large size orders when Liquidity Providers can facilitate other liquidity suppliers in assessing picking off risk. The Liquidity Provider increases quoted spreads for thickly-traded firms from the first three traded value deciles while reducing quoted spreads for the lower deciles.

Graduation date: 1998

The thesis is a contribution to the literature on the study and modelling of exchange rate variability, and contains seven chapters. Chapter 1 motivates the study by providing a historical context about its importance, sketches the main themes of the thesis, and gives an overview of the Norwegian economy since the empirical studies are on the Norwegian krone against the Euro exchange rate. Chapter 2 makes a distinction between period and within-period exchange rate variability, a distinction which is of special interest when studying variability across different exchange rate regimes. Also, the exponential model of variability (EMOV) is put forward as a particularly convenient framework for explanatory exchange rate variability modelling. Chapter 3 makes full fuse of these ideas in studying the impact of market activity on exchange rate variability in the case of Norway. The main findings of this study are that the impact of short-term change in market activity, as measured by relative week-to-week changes in quoting frequency, is positive and statistically significant for both definitions of variability, and that the impact is relatively stable across three different exchange rate regimes. Also, our results do not suggest that the persistence in variability can be explained by persistence in the level of quoting. Chapter 4 undertakes an out-of-sample forecast evaluation of general to specific (GETS) modelling of exchange rate volatility, and our results suggest GETS-derived models are particularly useful in conditional forecasting. Chapter 5 studies the relation between exchange rate variability, market activity and heterogeneity using a measure of spot NOK/EUR transaction volume from banks within Norway's regulatory borders. Our results do not support the hypothesis that short-term Norwegian market activity has an impact on variability. However, we do find some support of the hypothesis that large and small banks have an opposite impact through their long-term activity. Chapter 6 proposes a solution to a shortcoming in the first stage of David F. Hendry's reduction theory by interpreting the underlying outcome space as a set of possible worlds made up of indeterministic and historically inherited particulars. Finally, chapter 7 concludes and provides suggestions for further research.