William H. Sackley

An Empirical Examination of Stability, Predictability, and Volatility of Middle Eastern and African Emerging Stock Markets

This paper examines the stability, predictability, volatility, time varying risk premiums and persistence of shocks to volatility in the ten Middle Eastern and African (MEA and the volatility movement affects the stock market returns. In summary, eight emerging markets have volatility clustering and one market shows positive and significant time varying risk premiums. Overall, the results fail to indicate time varying risk premium in nine of the ten ME&A markets. Although many of the emerging markets in ME&A regions are in the formative stage, it is felt that ME&A equity markets are where investors may find a good return for the investment, considering the trade-off between risk and return. In particular, the correlation is found to be low, which provides investors with the opportunity for diversification.

Transactions, volume and volatility: evidence from an emerging market

We examine the volume–volatility relation, which has previously been reported as positive in many markets, for the emerging market of Taiwan. Our findings suggest that the positive volume–volatility relation is driven entirely by daily number of trades. In fact, we observe a negative relation between trade size and volatility. Although the impact of individual (vs. institutional) traders may be greater in emerging markets, these findings have implications for market microstructure models and the design of electronic call market auctions.

NBA players: are they paid for performance?

This paper studies the relationship between NBA players’ salaries and their performance on the basketball court. In other industries executive compensation has been found to have a weak yet significant link to company performance. We find a positive and significant relationship between an NBA player’s salary and a player’s points per game and rebounds per game for 1997‐98 basketball season. These results may be improved by considering qualitative factors and including more years of data.

Foreign currency exposure and the hedging possibilities for pension funds

Notes increasing investment by US pension funds in foreign currency denominated assets and briefly outlines previous research on the links between various types of assets/currencies. Uses cointegration methodologies on 1978‐1996 futures data for commodities and four currencies (Swiss, German, British and Canadian) to assess the long‐run stochastic relationships between them; and suggests that currencies are more closely cointegrated with soft commodities and precious metals than with livestock. Considers the implications for hedging and diversification by pension fund managers trying to manage risk.