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Author
Title International Financial Markets
URL
Publication Date
Degree PhD
Discipline/Department Economics and Finance
Degree Level doctoral
University/Publisher University of New Orleans
Abstract This dissertation consists of two essays: one looks at the cross-country variations in volume-price variability relationship and cultural and other country factors, and the other looks at cause and effects of large one-day price changes in commodity futures. The first essay presented in Chapter 1 investigates the effect of cultural and other country factors on the dynamic relation between market-wide trading activity and price variability in 20 countries. The results show that individualism and masculinity are positively related to volume-variability relation; other country factors including information asymmetry, financial development, short sale and age distribution are also closely related to the volume-variability relation. Specifically, the return-variability relation is stronger in less financially-developed countries with short-sale constraints and high information asymmetry. The second essay presented in Chapter 2 examines the causes and effects of large price changes in 26 commodity futures. The results indicate that announcements of macroeconomic news, the maturity effect, and the seasonal effect can explain the futures price movements of food (non-grains), grain, and livestock better than those of energy and metal. Without controlling for other factors, I find some support for the overreaction theory, especially following negative large price changes in closing. However, controlling for macro factors or market conditions, there is no support for overreactions.
Subjects/Keywords Cultural factors, trading volume, absolute price, large price changes, overreaction, maturity effect
Contributors Wei Peihwang P.
Country of Publication us
Record ID oai:scholarworks.uno.edu:td-2451
Repository uno
Date Retrieved
Date Indexed 2019-06-04
Created Date 2012-05-18 07:00:00
Note The University of New Orleans and its agents retain the non-exclusive license to archive and make accessible this dissertation or thesis in whole or in part in all forms of media, now or hereafter known. The author retains all other ownership rights to the copyright of the thesis or dissertation.

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…explanations of volume-variability relation suggests the following factors that might explain the volume-price variability relation across countries: information asymmetry, short sale, financial development, age distribution and cultural factors. 7 2.3.1…

…they are more risk averse and less actively participating in trading activity, therefore, I expect the volume-variability relation to be weaker when the average age of population increases. 2.3.5 Cultural Factors Chui, Titman and Wei (2010)…

…countries in US currency. I calculate turnover by scaling the trading value by market capitalization, which can be retrieved from the World Bank database.5 3.2 Cultural Factors and Other Factors I collect cultural dimensions including PDI, IDV, MAS and UAI…

…to trace the full impact of a shock. 4.2 Cultural Factors and Other Cross-Country Variations To examine how the volume-variability relation depends on the cultural and other factors, I form the following regression analysis based on Chui, Titman, and…

…constant over time for each country i, the explanatory variables Capit (market capitalization/GDP), GDPit (GDP per capita) and Ageit are updated annually for country i. To efficiently estimate the effects of cultural factors, I use…

Cultural factors and Other Cross-Country Variations Table 5 reports the regression results, where the dependent variable is the five-day response of turnover to absolute return for each country in each year (total number of observations = 20 countries…

…short sale dummy variable, financial development, information asymmetry, Hofstedeā€™s cultural factors, and age distribution. The absolute return-volume relation is much stronger in countries with 23 short-sale restrictions, meaning that volume-price…

…the results again suggest that the relation between absolute value of return and volume increases with information asymmetry. Regarding cultural factors, IDV and MSI are positively related to the volume-variability relation, whereas PDI and UAI are…

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