This paper explores the impact of UK's Modern Slavery Act (2015) on disclosure FTSE100 companies. It conducts a content analysis modern slavery disclosures in statements, annual reports, and sustainability reports from 2013 to 2019. By utilising framework by Business & Human Rights Resource Centre, Practical Guidance Home Office Global Reporting Initiative, we assess extent quality disclosures....

This paper examines the relationship between internal corporate governance mechanisms and financial performance of UK's top FTSE 100 firms listed on London Stock Exchange. By using a sample 59 from over period 2013 to 2018, our findings demonstrated that lower number board size independent directors board, better firms. However, study revealed is positively correlated with greater proportion wo...

This paper examines the out-of-sample performance of two common extensions of the Black-Scholes framework, namely a GARCH and a stochastic volatility option pricing model. The models are calibrated to intraday FTSE 100 option prices. We apply two sets of performance criteria, namely out-of-sample valuation errors and Value-at-Risk oriented measures. When we analyze the t to observed prices, GAR...

This paper compares the forecasting performance of the conditional autoregressive range (CARR) model with the commonly adopted GARCH model. We examine two major stock indices, FTSE 100 and Nikkei 225, by using the daily range data and the daily close price data over the period 1990 to 2000. Our results suggest that improvements of the overall estimation are achieved when the CARR models are use...

In the paper we compare the modelling ability of discrete-time multivariate Stochastic Volatility models to describe the conditional correlations between stock index returns. We consider four trivariate SV models, which differ in the structure of the conditional covariance matrix. Specifications with zero, constant and time-varying conditional correlations are taken into account. As an example ...

The efficient market hypothesis (EMH) is tested in the case of the Athens Stock Exchange (ASE) after the introduction of the euro. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate risk eliminated and as a result we expect the new currency to strengthen argument in favour of the EMH. The General ASE Composite Index a...

During its life cycle, Caulobacter crescentus undergoes a series of coordinated shape changes, including generation of a polar stalk and reshaping of the cell envelope to produce new daughter cells through the process of cytokinesis. The mechanisms by which these morphogenetic processes are coordinated in time and space remain largely unknown. Here we demonstrate that the conserved division com...

This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among ...

Available online 2 November 2013 In this study, we use both quote and trade data for the FTSE-100 futures for 2001–2004 in order to examine asymmetric volatility in the context of extreme sells. We define extreme sells as ask quotes that involve large percentages of total depth, selling orders executed at prices much closer to bids than to asking prices, and consecutive sell-initiated trades. S...