subject:(financial markets)

University of Oklahoma

1. Cao, Wenbin. Essays in Financial Markets.

Degree: PhD, 2016, University of Oklahoma

► This dissertation is a collection of three essays that analyze the impact of economic uncertainty on financial market activities and evaluate alternative quantitative models for… (more)

▼ This dissertation is a collection of three essays that analyze the impact of economic uncertainty on financial market activities and evaluate alternative quantitative models for economic uncertainty based on financial asset prices. Chapter 1 is motivated by the fact that major economic and political shocks, such as the Cuban missile crisis, the 9/11 terrorist attacks, and the 2008 financial crisis, trigger spikes in market-wide uncertainty. It develops a dynamic trading model to analyze the impacts of these uncertainty shocks on the behaviors of market liquidity and shows how such impacts differ from those caused by shocks to economic conditions. According to my model, an uncertainty shock triggers a temporary decline in market liquidity, because an uncertainty shock introduces ambiguity and learning can resolve this ambiguity. Meanwhile, incorporating the notion of time-varying uncertainty aversion, my model implies that a shock to economic condition generates a persistent decline in market liquidity, since learning does not affect uncertainty aversion. My VAR estimations using monthly US data for 1962 – 2013 lend support to my model implications. An uncertainty shock generates a rapid drop and rebound in overall stock market liquidity for around five months on average, while a shock to economic condition leads to a persistent decline in market liquidity for up to a year. Chapter 2 examines the ability of five basis alternative option pricing models to price the early exercise premium (EEP) in American put prices: Black-Scholes model, Heston (1993) stochastic volatility model, and three jump pricing models – Merton (1976), Madan et al. (1998), and Carr and Wu (2003). After duly accounting for the market implied value of the Fleming and Whaley (1993) wild card option, we find that jump models perform best in pricing observed EEP. Importantly, all models consistently and significantly underprice observed EEP, where this underpricing is more pronounced for short term in-the-money EEP. We argue and empirically demonstrate that trading costs in the option market generate a significant EEP by incentivizing and rewarding early exercise of American options that would alternatively have been “sold” in the market. Chapter 3 examines the frequency and character of price jumps in front month oil and natural gas futures prices, where prices are sampled every five seconds over the period 2006-2014. We find that an infinite activity jump diffusion process describes crude oil and natural gas futures returns combined with a process involving much larger but less frequent jumps. We further find that jumps account for respectively 36 and 41 percent of the realized variances of the crude oil and the natural gas returns. Advisors/Committee Members: Yadav, Pradeep (advisor), Dauffenbach, Robert (committee member), Bakke, Tor-Erik (committee member), Linn, Scott (committee member), Mahmudi, Hamed (committee member).

Subjects/Keywords: financial markets

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APA (6^th Edition):

Cao, W. (2016). Essays in Financial Markets. (Doctoral Dissertation). University of Oklahoma. Retrieved from http://hdl.handle.net/11244/34889

Chicago Manual of Style (16^th Edition):

Cao, Wenbin. “Essays in Financial Markets.” 2016. Doctoral Dissertation, University of Oklahoma. Accessed January 24, 2021. http://hdl.handle.net/11244/34889.

MLA Handbook (7^th Edition):

Cao, Wenbin. “Essays in Financial Markets.” 2016. Web. 24 Jan 2021.

Vancouver:

Cao W. Essays in Financial Markets. [Internet] [Doctoral dissertation]. University of Oklahoma; 2016. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/11244/34889.

Council of Science Editors:

Cao W. Essays in Financial Markets. [Doctoral Dissertation]. University of Oklahoma; 2016. Available from: http://hdl.handle.net/11244/34889

Brunel University

2. Abuhommous, Ala’a Adden Awni. Financial constraints, capital structure and dividend policy : evidence from Jordan.

Degree: PhD, 2013, Brunel University

URL: http://bura.brunel.ac.uk/handle/2438/7212 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566186

► The economic reforms in Jordan during the last two decades have highlighted and promoted the role that non-financial firms play within the Jordanian economy. The… (more)

▼ The economic reforms in Jordan during the last two decades have highlighted and promoted the role that non-financial firms play within the Jordanian economy. The ability of firms to play this role is in major part determined by the structure of the financial system in which they operate, and in particular whether this financial system is able to make capital available efficiently to those firms that need it. Whether this is the case can be investigated by analysing the impact of firm characteristics on some of the most important financial decisions taken by these firms, and how these decisions are influenced by the presence of market imperfections. The thesis examines the relation between the financing and investment decisions, where the effect of financial constraints on the firm’s investment decision is investigated. In particular, this thesis focuses on how financial constraints affect different firms by investigating the extent to which the reliance on internal cash flow is affected by firm characteristics such as size, age, dividend payout ratio, and market listing. We find that Jordanian firms are financially constrained, but that these constraints do not appear to be related to firm characteristics. Further, results show that Jordanian firms use debt rather than equity to finance their investment. The second empirical chapter focuses on the main determinants of firms’ capital structure. Here the results show that Jordanian firms follow the pecking order theory, where profitability and liquidity have a negative impact on the level of debt. Size and market to book value have a positive impact, supporting the view that there are significant constraints on debt financing since indicators of the financial health of the firms affect their capital structure ratio. There is also evidence that ownership structure affects the firm’s access to debt. The final empirical chapter examines the impact of firm characteristics on dividend policy, and shows that profitability and market to book value have a positive impact on dividend policy, implying that firms with better access to capital or credit pay dividends. This implies that firms retain earnings in order to ensure that they have sufficient capital to invest, confirming the initial result that Jordanian firms are financially constrained. There is also evidence of the impact of ownership structure, consistent with the predictions of agency cost theory, while institutional investors appear to follow the prudent-man restrictions, being positively associated with firms that pay dividends. This thesis confirms the presence of market imperfections that have a significant influence on the financial decisions taken by Jordanian firms. The consistent evidence of the importance of retained earnings shows that these firms face substantial constraints in terms of their access to external funds, despite the reforms to the Jordanian financial system over the last two decades.

Subjects/Keywords: Financial theory; Investment; Financial markets; Emerging markets

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APA (6^th Edition):

Abuhommous, A. A. A. (2013). Financial constraints, capital structure and dividend policy : evidence from Jordan. (Doctoral Dissertation). Brunel University. Retrieved from http://bura.brunel.ac.uk/handle/2438/7212 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566186

Chicago Manual of Style (16^th Edition):

Abuhommous, Ala’a Adden Awni. “Financial constraints, capital structure and dividend policy : evidence from Jordan.” 2013. Doctoral Dissertation, Brunel University. Accessed January 24, 2021. http://bura.brunel.ac.uk/handle/2438/7212 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566186.

MLA Handbook (7^th Edition):

Abuhommous, Ala’a Adden Awni. “Financial constraints, capital structure and dividend policy : evidence from Jordan.” 2013. Web. 24 Jan 2021.

Vancouver:

Abuhommous AAA. Financial constraints, capital structure and dividend policy : evidence from Jordan. [Internet] [Doctoral dissertation]. Brunel University; 2013. [cited 2021 Jan 24]. Available from: http://bura.brunel.ac.uk/handle/2438/7212 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566186.

Council of Science Editors:

Abuhommous AAA. Financial constraints, capital structure and dividend policy : evidence from Jordan. [Doctoral Dissertation]. Brunel University; 2013. Available from: http://bura.brunel.ac.uk/handle/2438/7212 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.566186

Universitat Pompeu Fabra

3. Tang, Haozhou. Essays on firm dynamics and financial markets.

Degree: Departament d'Economia i Empresa, 2017, Universitat Pompeu Fabra

URL: http://hdl.handle.net/10803/459158

► Esta tesis pretende comprender mejor la interacción entre los mercados financieros y la dinámica de la empresa. En el primer capítulo estudio las implicaciones a… (more)

Subjects/Keywords: Financial markets; 33

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APA (6^th Edition):

Tang, H. (2017). Essays on firm dynamics and financial markets. (Thesis). Universitat Pompeu Fabra. Retrieved from http://hdl.handle.net/10803/459158

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Tang, Haozhou. “Essays on firm dynamics and financial markets.” 2017. Thesis, Universitat Pompeu Fabra. Accessed January 24, 2021. http://hdl.handle.net/10803/459158.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Tang, Haozhou. “Essays on firm dynamics and financial markets.” 2017. Web. 24 Jan 2021.

Vancouver:

Tang H. Essays on firm dynamics and financial markets. [Internet] [Thesis]. Universitat Pompeu Fabra; 2017. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/10803/459158.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Tang H. Essays on firm dynamics and financial markets. [Thesis]. Universitat Pompeu Fabra; 2017. Available from: http://hdl.handle.net/10803/459158

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Illinois – Urbana-Champaign

4. Zi, Chao. Three essays on financial markets and the macroeconomy.

Degree: PhD, Finance, 2020, University of Illinois – Urbana-Champaign

URL: http://hdl.handle.net/2142/107926

► Financial markets are of vital importance to the overall economy: many market movements and phenomena have deep roots in and profound influences on macroeconomic activity.… (more)

Subjects/Keywords: Financial Markets; Macroeconomy

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Zi, C. (2020). Three essays on financial markets and the macroeconomy. (Doctoral Dissertation). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/107926

Chicago Manual of Style (16^th Edition):

Zi, Chao. “Three essays on financial markets and the macroeconomy.” 2020. Doctoral Dissertation, University of Illinois – Urbana-Champaign. Accessed January 24, 2021. http://hdl.handle.net/2142/107926.

MLA Handbook (7^th Edition):

Zi, Chao. “Three essays on financial markets and the macroeconomy.” 2020. Web. 24 Jan 2021.

Vancouver:

Zi C. Three essays on financial markets and the macroeconomy. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2020. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/2142/107926.

Council of Science Editors:

Zi C. Three essays on financial markets and the macroeconomy. [Doctoral Dissertation]. University of Illinois – Urbana-Champaign; 2020. Available from: http://hdl.handle.net/2142/107926

Queen Mary, University of London

5. Scherrer, Cristina Mabel. Essays on price discovery.

Degree: PhD, 2013, Queen Mary, University of London

URL: http://qmro.qmul.ac.uk/xmlui/handle/123456789/8673 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667198

► Financial asset prices reflect investor's perspectives over the current and future situation of a firm, an industry, a country and ultimately, the entire economy. For… (more)

▼ Financial asset prices reflect investor's perspectives over the current and future situation of a firm, an industry, a country and ultimately, the entire economy. For this reason, how financial asset prices are driven has been a fundamental economic question. Specific market characteristics such as the number of sellers and buyers, investors valuation perceptions, market availability of other assets and legal and technical properties are some of the features that affect asset prices. When the same asset is traded at different venues, these specific characteristics may vary, following a certain degree of heterogeneity across buyers and sellers. The direct consequence is that transaction prices of the same asset differ across markets. However, prices will also not drift apart, since arbitrage opportunities would arise, reducing or even eliminating the differences. Prices of similar securities linked to a single latent price, as derivative markets, for instance, present the same behaviour. Price differences among markets observed at high frequencies are an indication that venues incorporate new information in an unlike way. The structure and design of a market impacts its behaviour, liquidity, effciency, and hence how prices are discovered. The task of identifying the leading markets and understanding how the price dynamics occurs are the main objectives of the price discovery analysis. Chapter 1 introduces the research subject of price discovery, motivating the importance of what this thesis proposes and the results and conclusions obtained. Chapter 2 explains in details the main methodologies used to measure price discovery and the important results in the empirical literature. Chapter 3 motivates the data set this thesis uses, with institutional background details and specific market and firm characteristics. We also present in details the steps we follow to deal with standard issues of high frequency data, such as outliers and errors on a tick-by-tick database and non synchronicity of prices at different markets. Chapter 4 extends the standard price discovery model to estimate the information share (IS) accounting for the information content of both common and preferred non US stocks, their American Depositary Receipts (ADRs) counterparts traded on the New York Stock Exchange and ARCA, and the exchange rate. We gauge the significance of price discovery in the home and foreign markets, through common or preferred stocks. One of the main critiques on the IS methodology is that it does not deliver a single measure when there is contemporaneous correlation among markets. We propose an ordering invariant methodology that delivers a single measure of IS.We find that the foreign market is more important than the home market for the price discovery of Petrobras, the Brazilian stated-owned oil giant, and Vale, one of the largest mining companies in the world. Additionally, the Brazilian market has lost significant importance after the 2008/2009 financial crisis. During this period, common and preferred stocks shared a single…

Subjects/Keywords: 658.8; Economics; Finance; Stock markets; Financial markets

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Scherrer, C. M. (2013). Essays on price discovery. (Doctoral Dissertation). Queen Mary, University of London. Retrieved from http://qmro.qmul.ac.uk/xmlui/handle/123456789/8673 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667198

Chicago Manual of Style (16^th Edition):

Scherrer, Cristina Mabel. “Essays on price discovery.” 2013. Doctoral Dissertation, Queen Mary, University of London. Accessed January 24, 2021. http://qmro.qmul.ac.uk/xmlui/handle/123456789/8673 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667198.

MLA Handbook (7^th Edition):

Scherrer, Cristina Mabel. “Essays on price discovery.” 2013. Web. 24 Jan 2021.

Vancouver:

Scherrer CM. Essays on price discovery. [Internet] [Doctoral dissertation]. Queen Mary, University of London; 2013. [cited 2021 Jan 24]. Available from: http://qmro.qmul.ac.uk/xmlui/handle/123456789/8673 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667198.

Council of Science Editors:

Scherrer CM. Essays on price discovery. [Doctoral Dissertation]. Queen Mary, University of London; 2013. Available from: http://qmro.qmul.ac.uk/xmlui/handle/123456789/8673 ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.667198

University of Pretoria

6. [No author]. Advances in behavioural finance .

Degree: 2012, University of Pretoria

URL: http://upetd.up.ac.za/thesis/available/etd-04202012-125738/

► A key question in behavioural finance is why prices in financial markets change. The field of behavioural finance evolved in an attempt to understand better… (more)

▼ A key question in behavioural finance is why prices in financial markets change. The field of behavioural finance evolved in an attempt to understand better and explain how cognitive errors and emotions influence investors' decision-making processes. Behavioural finance is the study of the psychological effects of market events on investors that affect finance decisions. It is not a new field of study, but more emphasis has been placed on this field of finance in the past two decades. Behavioural finance explores the irrational nature of investors' decisions. The primary objective of the research was to provide an understanding of the psychological impact of people on prices in financial markets. The secondary objectives are to provide a brief history of behavioural finance; to show that there are alternatives to the efficient markets theory; and to demonstrate the impact of popular models on prices. The report was compiled based on a literature study on the topic of behavioural finance. The purpose of the literature study was to provide sufficient information to meet the objectives of the study as set out above. The following sources were used: published articles; textbooks; and the Internet. The efficient market hypothesis and the CAPM are challenged by behavioural finance. Prices of speculative assets do not always reflect fundamental values. The perceptions of investors play an important role in the determination of prices. Hence, when there are market crashes on the equities markets, the contagion effect amongst investors should not be underestimated. It is shown in this report that portfolio insurance is an important contributing factor to the magnitude of any crash on equities markets. Dividends are an important determinant for the fundamental value of shares. This contrasts with the revenue model that is used to value new economy shares, such as Internet companies. It is also clear that investors expect to receive a dividend. In this report, various theories strongly suggest investors' preference for dividends. These include the self-control and prospect theories, regret-aversion and the clientele effect. Changes in dividends affect share prices. A decrease in the dividend of a company is a clear signal to investors that the share price is overvalued. Movements in share prices are therefore at least partially the result of changes in dividends. Investment strategies that can be followed by investors include the following: It may help to acquire closed-end fund shares at the listing of a new fund. The research shows that initially closed-end funds trade at a premium of up to ten per cent, but within 180 days, the premium evaporates and the fund starts to trade at a discount. The optimal strategy for sophisticated investors is a strategy that involves market timing with increased exposures to shares that have fallen, and decreased exposure to shares after they have risen in price. Individual investors… Advisors/Committee Members: Lambrecht, H.A (advisor).

Subjects/Keywords: Behavioural finance; Financial markets; UCTD

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APA (6^th Edition):

author], [. (2012). Advances in behavioural finance . (Masters Thesis). University of Pretoria. Retrieved from http://upetd.up.ac.za/thesis/available/etd-04202012-125738/

Chicago Manual of Style (16^th Edition):

author], [No. “Advances in behavioural finance .” 2012. Masters Thesis, University of Pretoria. Accessed January 24, 2021. http://upetd.up.ac.za/thesis/available/etd-04202012-125738/.

MLA Handbook (7^th Edition):

author], [No. “Advances in behavioural finance .” 2012. Web. 24 Jan 2021.

Vancouver:

author] [. Advances in behavioural finance . [Internet] [Masters thesis]. University of Pretoria; 2012. [cited 2021 Jan 24]. Available from: http://upetd.up.ac.za/thesis/available/etd-04202012-125738/.

Council of Science Editors:

author] [. Advances in behavioural finance . [Masters Thesis]. University of Pretoria; 2012. Available from: http://upetd.up.ac.za/thesis/available/etd-04202012-125738/

7. Raskin, Matthew David. THE FINANCIAL MARKET EFFECTS OF UNCONVENTIONAL MONETARY POLICY.

Degree: 2014, Johns Hopkins University

URL: http://jhir.library.jhu.edu/handle/1774.2/37035

► In late 2008, the Federal Open Market Committee (FOMC)—the committee within the Federal Reserve that sets monetary policy—reduced the target federal funds rate to a… (more)

▼ In late 2008, the Federal Open Market Committee (FOMC)—the committee within the Federal Reserve that sets monetary policy—reduced the target federal funds rate to a range of 0 to ¼ percent. The target range has remained unchanged since, and the FOMC has sought to provide additional monetary stimulus through purchases of longer-term securities and forward guidance on the future path of the target rate. This dissertation assesses the financial market effects of these unconventional monetary policies. In the first chapter, co-authored with Joseph Gagnon, Julie Remache, and Brian Sack, I explain how the first round of the Federal Reserve’s large-scale asset purchases—conducted between late 2008 and early 2010—were implemented, and discuss the mechanisms through which they might affect financial markets and the economy. I present evidence from event studies and time series regressions that the purchases led to reductions in longer-term interest rates on a range of securities, including securities not purchased by the Federal Reserve. In the second chapter, I consider the effects of the date-based forward guidance that the FOMC used between August 2011 and December 2012. Using distributions of investors’ short-term interest rate expectations derived from interest rate options and survey-based measures of macroeconomic surprises, I find the date-based guidance led to a significant change in investors’ perceptions of the FOMC’s reaction function. This finding is robust to various regression specifications and the use of alternative options contracts and methods for extracting distributions of expectations from them. In the third chapter, I use the method of “identification through heteroskedasticity” to estimate the effects of the unconventional monetary policies on corporate bond yields—and by extension credit spreads—across a range of credit ratings, and compare these to estimates of the effects of conventional monetary policy. My results provide some support to the hypothesis that Federal Reserve asset purchases have a larger impact on highly-rated corporate bonds that embed a safety premium than on lower-rated corporate bonds that do not. The results are largely robust to the use of alternative measures of corporate yields, an alternative method for identifying the effects of monetary policy shocks, and alternative response windows. Advisors/Committee Members: Wright, Jonathan (advisor).

Subjects/Keywords: Monetary policy; financial markets

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APA (6^th Edition):

Raskin, M. D. (2014). THE FINANCIAL MARKET EFFECTS OF UNCONVENTIONAL MONETARY POLICY. (Thesis). Johns Hopkins University. Retrieved from http://jhir.library.jhu.edu/handle/1774.2/37035

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Raskin, Matthew David. “THE FINANCIAL MARKET EFFECTS OF UNCONVENTIONAL MONETARY POLICY.” 2014. Thesis, Johns Hopkins University. Accessed January 24, 2021. http://jhir.library.jhu.edu/handle/1774.2/37035.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Raskin, Matthew David. “THE FINANCIAL MARKET EFFECTS OF UNCONVENTIONAL MONETARY POLICY.” 2014. Web. 24 Jan 2021.

Vancouver:

Raskin MD. THE FINANCIAL MARKET EFFECTS OF UNCONVENTIONAL MONETARY POLICY. [Internet] [Thesis]. Johns Hopkins University; 2014. [cited 2021 Jan 24]. Available from: http://jhir.library.jhu.edu/handle/1774.2/37035.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Raskin MD. THE FINANCIAL MARKET EFFECTS OF UNCONVENTIONAL MONETARY POLICY. [Thesis]. Johns Hopkins University; 2014. Available from: http://jhir.library.jhu.edu/handle/1774.2/37035

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Texas A&M University

8. Fang, Lu. Three Essays on Time Series Analysis of Chinese Financial Markets.

Degree: PhD, Agricultural Economics, 2017, Texas A&M University

URL: http://hdl.handle.net/1969.1/161318

► This dissertation studies three important issues in Chinese financial markets. The interdependence structure and information transmission among Chinese cross-listed stocks in Shanghai, Hong Kong and… (more)

▼ This dissertation studies three important issues in Chinese financial markets. The interdependence structure and information transmission among Chinese cross-listed stocks in Shanghai, Hong Kong and New York is examined. Results indicate that the home bias hypothesis, which suggests the dominant role of home market in pricing information transmission, is strongly supported in contemporaneous time, modestly supported at the short horizon and not supported at the long horizon. The Shanghai market as the home market is highly exogenous at all horizons. Moreover, the Hong Kong market leads the New York market in contemporaneous time. Whether interest rates help to forecast stock returns in China is studied using the prequential approach. With respect to calibration (reliability), it is found that including interest rates in the model improves the model’s ability to issue realistic probability forecasts of stock returns – a model of stock returns that does not include interest rates as an explanatory variable is not as well calibrated as a model that does include interest rates in the stock returns equation. With regard to sorting (resolution), results suggest that the model that includes interest rates performs better in distinguishing stock returns that actually occur and stock returns that do not occur when compared to a model that does not include interest rates in the stock returns equation. Overall, the interest rates help in forecasting stock returns in China in terms of both calibration and sorting. Two factor analysis methods are investigated through forecasting Chinese interest rate based on a factor-augmented vector autoregression (FAVAR). Factors are estimated from 288 Chinese security series to reflect the common forces that drive the movements and dynamics in the Chinese equity market. As a result, the factor estimation method by Lam and Yao outperforms the traditional principal components analysis (PCA) in terms of forecasting accuracy, especially at the short horizons. Advisors/Committee Members: Bessler, David (advisor), Wu, Ximing (committee member), Bryant, Henry (committee member), Leatham, David (committee member).

Subjects/Keywords: Time series; Chinese financial markets

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Fang, L. (2017). Three Essays on Time Series Analysis of Chinese Financial Markets. (Doctoral Dissertation). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/161318

Chicago Manual of Style (16^th Edition):

Fang, Lu. “Three Essays on Time Series Analysis of Chinese Financial Markets.” 2017. Doctoral Dissertation, Texas A&M University. Accessed January 24, 2021. http://hdl.handle.net/1969.1/161318.

MLA Handbook (7^th Edition):

Fang, Lu. “Three Essays on Time Series Analysis of Chinese Financial Markets.” 2017. Web. 24 Jan 2021.

Vancouver:

Fang L. Three Essays on Time Series Analysis of Chinese Financial Markets. [Internet] [Doctoral dissertation]. Texas A&M University; 2017. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/1969.1/161318.

Council of Science Editors:

Fang L. Three Essays on Time Series Analysis of Chinese Financial Markets. [Doctoral Dissertation]. Texas A&M University; 2017. Available from: http://hdl.handle.net/1969.1/161318

University of Pretoria

9. Du Plessis, Jaco J. Advances in behavioural finance.

Degree: Graduate School of Management, 2012, University of Pretoria

URL: http://hdl.handle.net/2263/24036

► A key question in behavioural finance is why prices in financial markets change. The field of behavioural finance evolved in an attempt to understand better… (more)

▼ A key question in behavioural finance is why prices in financial markets change. The field of behavioural finance evolved in an attempt to understand better and explain how cognitive errors and emotions influence investors' decision-making processes. Behavioural finance is the study of the psychological effects of market events on investors that affect finance decisions. It is not a new field of study, but more emphasis has been placed on this field of finance in the past two decades. Behavioural finance explores the irrational nature of investors' decisions. The primary objective of the research was to provide an understanding of the psychological impact of people on prices in financial markets. The secondary objectives are to provide a brief history of behavioural finance; to show that there are alternatives to the efficient markets theory; and to demonstrate the impact of popular models on prices. The report was compiled based on a literature study on the topic of behavioural finance. The purpose of the literature study was to provide sufficient information to meet the objectives of the study as set out above. The following sources were used: published articles; textbooks; and the Internet. The efficient market hypothesis and the CAPM are challenged by behavioural finance. Prices of speculative assets do not always reflect fundamental values. The perceptions of investors play an important role in the determination of prices. Hence, when there are market crashes on the equities markets, the contagion effect amongst investors should not be underestimated. It is shown in this report that portfolio insurance is an important contributing factor to the magnitude of any crash on equities markets. Dividends are an important determinant for the fundamental value of shares. This contrasts with the revenue model that is used to value new economy shares, such as Internet companies. It is also clear that investors expect to receive a dividend. In this report, various theories strongly suggest investors' preference for dividends. These include the self-control and prospect theories, regret-aversion and the clientele effect. Changes in dividends affect share prices. A decrease in the dividend of a company is a clear signal to investors that the share price is overvalued. Movements in share prices are therefore at least partially the result of changes in dividends. Investment strategies that can be followed by investors include the following: It may help to acquire closed-end fund shares at the listing of a new fund. The research shows that initially closed-end funds trade at a premium of up to ten per cent, but within 180 days, the premium evaporates and the fund starts to trade at a discount. The optimal strategy for sophisticated investors is a strategy that involves market timing with increased exposures to shares that have fallen, and decreased exposure to shares after they have risen in price. Individual investors… Advisors/Committee Members: Lambrecht, H.A. (advisor).

Subjects/Keywords: Behavioural finance; Financial markets; UCTD

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Du Plessis, J. J. (2012). Advances in behavioural finance. (Masters Thesis). University of Pretoria. Retrieved from http://hdl.handle.net/2263/24036

Chicago Manual of Style (16^th Edition):

Du Plessis, Jaco J. “Advances in behavioural finance.” 2012. Masters Thesis, University of Pretoria. Accessed January 24, 2021. http://hdl.handle.net/2263/24036.

MLA Handbook (7^th Edition):

Du Plessis, Jaco J. “Advances in behavioural finance.” 2012. Web. 24 Jan 2021.

Vancouver:

Du Plessis JJ. Advances in behavioural finance. [Internet] [Masters thesis]. University of Pretoria; 2012. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/2263/24036.

Council of Science Editors:

Du Plessis JJ. Advances in behavioural finance. [Masters Thesis]. University of Pretoria; 2012. Available from: http://hdl.handle.net/2263/24036

Boston University

10. Mok, Junghwan. Essays on financial markets and macroeconomic activities.

Degree: PhD, Economics, 2014, Boston University

URL: http://hdl.handle.net/2144/15286

► This thesis consists of three papers addressing different aspects of financial markets and macroeconomic activities. Firm Risks, Credit, and Labor Market Fluctuations studies the effect… (more)

Subjects/Keywords: Economics; Macroeconomics; Financial markets

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APA (6^th Edition):

Mok, J. (2014). Essays on financial markets and macroeconomic activities. (Doctoral Dissertation). Boston University. Retrieved from http://hdl.handle.net/2144/15286

Chicago Manual of Style (16^th Edition):

Mok, Junghwan. “Essays on financial markets and macroeconomic activities.” 2014. Doctoral Dissertation, Boston University. Accessed January 24, 2021. http://hdl.handle.net/2144/15286.

MLA Handbook (7^th Edition):

Mok, Junghwan. “Essays on financial markets and macroeconomic activities.” 2014. Web. 24 Jan 2021.

Vancouver:

Mok J. Essays on financial markets and macroeconomic activities. [Internet] [Doctoral dissertation]. Boston University; 2014. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/2144/15286.

Council of Science Editors:

Mok J. Essays on financial markets and macroeconomic activities. [Doctoral Dissertation]. Boston University; 2014. Available from: http://hdl.handle.net/2144/15286

Universidade Nova

11. Rodrigues, Rui Filipe Silva. Auto industry bailout: too big to fail. To big for whom?.

Degree: 2014, Universidade Nova

URL: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/11537

►

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business… (more)

Subjects/Keywords: Bailout; Financial markets; Auto industry

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APA (6^th Edition):

Rodrigues, R. F. S. (2014). Auto industry bailout: too big to fail. To big for whom?. (Thesis). Universidade Nova. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/11537

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Rodrigues, Rui Filipe Silva. “Auto industry bailout: too big to fail. To big for whom?.” 2014. Thesis, Universidade Nova. Accessed January 24, 2021. http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/11537.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Rodrigues, Rui Filipe Silva. “Auto industry bailout: too big to fail. To big for whom?.” 2014. Web. 24 Jan 2021.

Vancouver:

Rodrigues RFS. Auto industry bailout: too big to fail. To big for whom?. [Internet] [Thesis]. Universidade Nova; 2014. [cited 2021 Jan 24]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/11537.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Rodrigues RFS. Auto industry bailout: too big to fail. To big for whom?. [Thesis]. Universidade Nova; 2014. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/11537

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Cape Town

12. Ikpe, Dennis Chinemerem. Compound Lévy random bridges and credit risky asset pricing.

Degree: Image, Mathematics and Applied Mathematics, 2016, University of Cape Town

URL: http://hdl.handle.net/11427/20681

► In this thesis, we study random bridges of a certain class of Lévy processes and their applications to credit risky asset pricing. In the first… (more)

Subjects/Keywords: Financial Markets; Risk Management

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APA (6^th Edition):

Ikpe, D. C. (2016). Compound Lévy random bridges and credit risky asset pricing. (Thesis). University of Cape Town. Retrieved from http://hdl.handle.net/11427/20681

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Ikpe, Dennis Chinemerem. “Compound Lévy random bridges and credit risky asset pricing.” 2016. Thesis, University of Cape Town. Accessed January 24, 2021. http://hdl.handle.net/11427/20681.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Ikpe, Dennis Chinemerem. “Compound Lévy random bridges and credit risky asset pricing.” 2016. Web. 24 Jan 2021.

Vancouver:

Ikpe DC. Compound Lévy random bridges and credit risky asset pricing. [Internet] [Thesis]. University of Cape Town; 2016. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/11427/20681.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ikpe DC. Compound Lévy random bridges and credit risky asset pricing. [Thesis]. University of Cape Town; 2016. Available from: http://hdl.handle.net/11427/20681

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

York University

13. Driss, Hamdi. Three Essays on Information Intermediaries in Financial Markets.

Degree: PhD, Administration, 2015, York University

URL: http://hdl.handle.net/10315/28222

► This dissertation examines novel issues related to information intermediaries in financial markets and consists of three essays on the following three distinct topics: (1) the… (more)

Subjects/Keywords: Finance; Financial markets; Information; Intermediary

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APA (6^th Edition):

Driss, H. (2015). Three Essays on Information Intermediaries in Financial Markets. (Doctoral Dissertation). York University. Retrieved from http://hdl.handle.net/10315/28222

Chicago Manual of Style (16^th Edition):

Driss, Hamdi. “Three Essays on Information Intermediaries in Financial Markets.” 2015. Doctoral Dissertation, York University. Accessed January 24, 2021. http://hdl.handle.net/10315/28222.

MLA Handbook (7^th Edition):

Driss, Hamdi. “Three Essays on Information Intermediaries in Financial Markets.” 2015. Web. 24 Jan 2021.

Vancouver:

Driss H. Three Essays on Information Intermediaries in Financial Markets. [Internet] [Doctoral dissertation]. York University; 2015. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/10315/28222.

Council of Science Editors:

Driss H. Three Essays on Information Intermediaries in Financial Markets. [Doctoral Dissertation]. York University; 2015. Available from: http://hdl.handle.net/10315/28222

Universitat Pompeu Fabra

14. Queirós, Francisco. Essays in macroeconomics and financial markets.

Degree: Departament d'Economia i Empresa, 2018, Universitat Pompeu Fabra

URL: http://hdl.handle.net/10803/659083

► Esta tesis se compone de tres artículos independientes. Los primeros dos capítulos están centrados en el tema de la sobrevaluación de activos. En el primer… (more)

Subjects/Keywords: Financial markets; Mercados financieros; 33

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APA (6^th Edition):

Queirós, F. (2018). Essays in macroeconomics and financial markets. (Thesis). Universitat Pompeu Fabra. Retrieved from http://hdl.handle.net/10803/659083

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Queirós, Francisco. “Essays in macroeconomics and financial markets.” 2018. Thesis, Universitat Pompeu Fabra. Accessed January 24, 2021. http://hdl.handle.net/10803/659083.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Queirós, Francisco. “Essays in macroeconomics and financial markets.” 2018. Web. 24 Jan 2021.

Vancouver:

Queirós F. Essays in macroeconomics and financial markets. [Internet] [Thesis]. Universitat Pompeu Fabra; 2018. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/10803/659083.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Queirós F. Essays in macroeconomics and financial markets. [Thesis]. Universitat Pompeu Fabra; 2018. Available from: http://hdl.handle.net/10803/659083

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Queens University

15. Rouillard, Jean-Francois. National and International Business Cycles : the Role of Financial Frictions and Shocks .

Degree: Economics, 2013, Queens University

URL: http://hdl.handle.net/1974/7989

► This dissertation investigates the effects of frictions that emerge from financial markets on business-cycle fluctuations. The purpose of Chapter 1 is to situate my work… (more)

▼ This dissertation investigates the effects of frictions that emerge from financial markets on business-cycle fluctuations. The purpose of Chapter 1 is to situate my work in the literature and to stress its contributions. In Chapter 2, I reassess the role of financial frictions in amplifying the impacts of productivity shocks using a framework in which a fraction of firms are borrowing-constrained and land is a collateral asset. A first finding is that amplification effects are much lower when land is supplied elastically. However, financial shocks that affect the maximum allowable ratio of loans to collateral have greater effects on output. Another result pertains to the role of the elasticity of substitution between land and capital in responses to financial shocks: lower values generate greater output responses. While Chapter 2's environment is set up to be in a closed-economy, the last two chapters involve two-country settings. Chapter 3 still intersects with Chapter 2 on some dimensions, in particular, land dynamics and financial frictions that feature borrowing-constrained firms. The borrowing mechanism brings about a distortion in labour markets that interacts with a class of preferences that are non-separable between consumption and leisure. Technology shocks contribute to explain international co-movements, whereas financial shocks allow the model to replicate the lack of international risk sharing that is characterized by the quantity anomaly and the Backus-Smith puzzle. In Chapter 4, I apply Chari, Kehoe and McGrattan’s (2007) business cycle accounting method to a two-country, two-good real business cycle model. Using their approach, I measure the same closed-economy time-varying wedges and I introduce an international wedge that accounts for discrepancies between the growth in real exchange rates and in the stochastic discount factors ratio. In fact, the effects of financial frictions embedded in Chapter 3's framework can be retrieved from a combination of labour and investment wedges. The volatility of the international wedge corresponds to a metric of bilateral risk sharing. An important finding is that, from a non-separable preferences specification of the baseline model, the investment wedge partly accounts for the Backus-Smith puzzle. This suggests that distortions in national capital markets are important to consider for international risk sharing.

Subjects/Keywords: financial markets ; business cycles

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APA (6^th Edition):

Rouillard, J. (2013). National and International Business Cycles : the Role of Financial Frictions and Shocks . (Thesis). Queens University. Retrieved from http://hdl.handle.net/1974/7989

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Rouillard, Jean-Francois. “National and International Business Cycles : the Role of Financial Frictions and Shocks .” 2013. Thesis, Queens University. Accessed January 24, 2021. http://hdl.handle.net/1974/7989.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Rouillard, Jean-Francois. “National and International Business Cycles : the Role of Financial Frictions and Shocks .” 2013. Web. 24 Jan 2021.

Vancouver:

Rouillard J. National and International Business Cycles : the Role of Financial Frictions and Shocks . [Internet] [Thesis]. Queens University; 2013. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/1974/7989.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Rouillard J. National and International Business Cycles : the Role of Financial Frictions and Shocks . [Thesis]. Queens University; 2013. Available from: http://hdl.handle.net/1974/7989

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

The Ohio State University

16. Rossi, Andrea. Three Essays on the Behavior of Financial Market Participants.

Degree: PhD, Business Administration, 2018, The Ohio State University

URL: http://rave.ohiolink.edu/etdc/view?acc_num=osu1534392734633895

► In this dissertation, I explore different aspects of the behavior of financial markets participants, specifically, private equity fund managers, hedge fund investors, and corporate insiders.… (more)

▼ In this dissertation, I explore different aspects of the behavior of financial markets participants, specifically, private equity fund managers, hedge fund investors, and corporate insiders. In the first chapter, I try to understand why in private equity fund data there exists an economically large negative association between fund growth and performance at the partnership level. This empirical relation is usually interpreted as evidence of decreasing returns to scale. I argue that this inference is unwarranted. In essence, Bayesian-informed expectations reveal that the partnerships whose funds have grown the most were on average lucky in the past; as that luck reverts to zero, a spurious negative association between growth and returns is generated in the data. Controlling for this bias, the effect of growth on performance is about 80% smaller and statistically insignificant for both buyout and venture capital funds. Furthermore, I show that, historically, decreasing returns do not seem to have played a major role in the erosion of performance persistence in private equity. These results have implications for fund managers’ and investors’ decisions, and for our understanding of the private equity industry.In the second chapter, I focus on an important, yet overlooked, implication of the compensation structure of hedge funds. Hedge fund managers are usually compensated with an incentive fee equal to 20% of profits, often defined as returns in excess of a high-water mark. This compensation scheme is asymmetric: hedge funds don’t pay their investors when performance deteriorates, nor they return fees already earned. This means that, ex-post, incentive fees paid on a portfolio of hedge fund investments can amount to more than 20% of profits. I show that, historically, the effective percentage of aggregate profits paid as incentive fees has been more than twice as large as the nominal percentage. As a result, over the last two decades, investors have paid fees for one third of a trillion dollars more than they would have if incentive fees had been symmetric. These results are attributable to two main factors, i.e., ill-advised investment timing by investors and poor fund performance.In the third chapter, coauthored with Itzhak Ben-David and Justin Birru, we study whether industry familiarity is an advantage in stock trading by exploring the trading patterns of industry insiders in their own personal portfolios. To do so, we identify accounts of industry insiders in a large data set provided by a retail discount broker. We find that insiders trade firms from their own industry more frequently. Furthermore, they earn abnormal returns exclusively when trading own-industry stocks, especially obscure stocks (small, low analyst coverage, high volatility). In a battery of tests, we find no evidence of the use of private information. The results are most consistent with the interpretation that industry familiarity is an advantage in stock trading. Advisors/Committee Members: Weisbach, Michael (Committee Chair).

Subjects/Keywords: Finance; Financial Markets, Private Equity

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APA (6^th Edition):

Rossi, A. (2018). Three Essays on the Behavior of Financial Market Participants. (Doctoral Dissertation). The Ohio State University. Retrieved from http://rave.ohiolink.edu/etdc/view?acc_num=osu1534392734633895

Chicago Manual of Style (16^th Edition):

Rossi, Andrea. “Three Essays on the Behavior of Financial Market Participants.” 2018. Doctoral Dissertation, The Ohio State University. Accessed January 24, 2021. http://rave.ohiolink.edu/etdc/view?acc_num=osu1534392734633895.

MLA Handbook (7^th Edition):

Rossi, Andrea. “Three Essays on the Behavior of Financial Market Participants.” 2018. Web. 24 Jan 2021.

Vancouver:

Rossi A. Three Essays on the Behavior of Financial Market Participants. [Internet] [Doctoral dissertation]. The Ohio State University; 2018. [cited 2021 Jan 24]. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1534392734633895.

Council of Science Editors:

Rossi A. Three Essays on the Behavior of Financial Market Participants. [Doctoral Dissertation]. The Ohio State University; 2018. Available from: http://rave.ohiolink.edu/etdc/view?acc_num=osu1534392734633895

Rice University

17. Gualtieri, James N. Essays Investigating Extreme Events in Financial Markets.

Degree: PhD, Social Sciences, 2015, Rice University

URL: http://hdl.handle.net/1911/87829

► This thesis, through three empirical applications, provides an analysis of extreme events in financial markets. Robust growth in financial markets has greatly increased the ability… (more)

▼ This thesis, through three empirical applications, provides an analysis of extreme events in financial markets. Robust growth in financial markets has greatly increased the ability of economic agents to share risk according to their preferences or tastes. Despite this, many markets have demonstrated extreme instability at times. These events have the potential to shake the confidence of investors and this fear can lead to inefficient outcomes with respect to risk sharing and resource allocation. By investigating the dynamics of securities during extreme events one can gain intuition as to their root causes and a better understanding of the inherent risk. The first chapter analyzes how international equity markets interact during extreme events. Using a novel set of high-frequency data on exchange traded funds (ETFs), designed to track international equity markets, I examine the dynamics of intra-day returns between 11 countries. Using non-parametric tests designed to identify jumps in the price process I examine the dynamics across markets during jumps, as well as continuous movements. Contrary to other literature that uses coarser data, I find a high-degree of commonality in the jump components. Specifically, there are many instances when different markets co-jump and returns are significantly more correlated on jump days. I also find substantial evidence of self and cross excitation across markets and that international markets respond to US macroeconomic news announcements. These findings suggest that international financial markets are heavily intertwined and that shocks propagate across markets. This information is valuable from a modeling perspective as it provides evidence of channels through which economies are linked that must be accounted for. Further, it provides valuable information to investors into the benefits and risks associated with international diversification that allows them to take a more proactive, rather than a reactionary, approach to risk management. The second chapter, based on Gualtieri and Sizova (2015), investigates the joint dynamics of portfolios considered to represent priced risk in asset markets. Specifically, it considers the joint modeling of the market return, and two zero net cost portfolios that are used as proxies for systematic risk factors: Value and Momentum. As in the case of chapter 1, we allow for a separation between continuous and jump dynamics. We find a number of interesting relationships between factor dynamics that have implications for risk-based explanations of factor risk premia as well as factor investing. Specifically, we find that although volatilities are highly correlated, the orthogonal (to the Market volatility) component of Momentum volatility contains information about the Market's dynamics. With respect to extreme events, we find that volatility co-jumps are present in both-return pairs (Market-Momentum and Market-Value). We find that Value does not jump independent of the Market, whereas Momentum does. We also find that a number of the Momentum… Advisors/Committee Members: Sickles, Robin C. (advisor), Sizova, Natalia M (committee member), Weston, James P (committee member).

Subjects/Keywords: Financial Econometrics; Financial Markets; Tail events

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APA (6^th Edition):

Gualtieri, J. N. (2015). Essays Investigating Extreme Events in Financial Markets. (Doctoral Dissertation). Rice University. Retrieved from http://hdl.handle.net/1911/87829

Chicago Manual of Style (16^th Edition):

Gualtieri, James N. “Essays Investigating Extreme Events in Financial Markets.” 2015. Doctoral Dissertation, Rice University. Accessed January 24, 2021. http://hdl.handle.net/1911/87829.

MLA Handbook (7^th Edition):

Gualtieri, James N. “Essays Investigating Extreme Events in Financial Markets.” 2015. Web. 24 Jan 2021.

Vancouver:

Gualtieri JN. Essays Investigating Extreme Events in Financial Markets. [Internet] [Doctoral dissertation]. Rice University; 2015. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/1911/87829.

Council of Science Editors:

Gualtieri JN. Essays Investigating Extreme Events in Financial Markets. [Doctoral Dissertation]. Rice University; 2015. Available from: http://hdl.handle.net/1911/87829

University of Namibia

18. Ngaujake, Uahatjiri. Protecting depositors and promoting financial stability in South Africa.

Degree: 2003, University of Namibia

URL: http://hdl.handle.net/11070/270

Abstract provided by author: Advisors/Committee Members: (advisor), (advisor).

Subjects/Keywords: Financial markets; Insurance

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APA (6^th Edition):

Ngaujake, U. (2003). Protecting depositors and promoting financial stability in South Africa. (Thesis). University of Namibia. Retrieved from http://hdl.handle.net/11070/270

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Ngaujake, Uahatjiri. “Protecting depositors and promoting financial stability in South Africa.” 2003. Thesis, University of Namibia. Accessed January 24, 2021. http://hdl.handle.net/11070/270.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Ngaujake, Uahatjiri. “Protecting depositors and promoting financial stability in South Africa.” 2003. Web. 24 Jan 2021.

Vancouver:

Ngaujake U. Protecting depositors and promoting financial stability in South Africa. [Internet] [Thesis]. University of Namibia; 2003. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/11070/270.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ngaujake U. Protecting depositors and promoting financial stability in South Africa. [Thesis]. University of Namibia; 2003. Available from: http://hdl.handle.net/11070/270

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Tasmania

19. Willans, PS. Social consequences of contemporary financial markets and the case for a financial transaction tax.

Degree: 2013, University of Tasmania

URL: https://eprints.utas.edu.au/17107/2/whole-Willans-thesis.pdf

► This thesis considers the social effects of unprecedented growth in financial trades and speculation. The key claim is that speculative finance capital markets have caused… (more)

▼ This thesis considers the social effects of unprecedented growth in financial trades and speculation. The key claim is that speculative finance capital markets have caused widespread economic and social pressures. An argument is advanced that socio-economic inequalities are resultant of overleveraged, unregulated finance, and market integration over the last three decades. Pressures on civil society have arisen through governments transferring state-based funds to bail out private institutions, and stimulate economies. Socialisation of debt is used to strengthen the private sector. Central to this argument is the consideration that two economies have emerged in parallel throughout the developed world. The "real economy" of developed nation states has been depleted by protracted global economic crises. The second, "shadow economy", has re-emerged as a concentrated economic force with speculative daily global financial trades of over US 4 trillion, including AU41 billion in trades, every day, in Australia. The majority of trades are enabled by sophisticated high frequency trading corridors between Wall Street and the City of London. The consequences are felt worldwide. Two key questions are addressed in this thesis. First, given the social consequences emanating from global financial markets, and the concomitant socialisation of debt in developed economies, is the introduction of a financial transaction tax a feasible, progressive economic and social reform to partially ameliorate the negative effects of speculative finance capital on nation states? Second, could a miniscule tax on trades, recalibrate the relationships between governments and markets and provide accountability, oversight and stability? This thesis concludes in the affirmative. Additionally, this thesis posits an argument that transaction tax revenues in Australia, the eighth largest derivatives transaction-trading nation in the world, should be used specifically to strengthen national social policy commitments to homelessness, and provide a targeted resource for sustainable social housing provision.

Subjects/Keywords: global financial markets and their social consequences

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APA (6^th Edition):

Willans, P. (2013). Social consequences of contemporary financial markets and the case for a financial transaction tax. (Thesis). University of Tasmania. Retrieved from https://eprints.utas.edu.au/17107/2/whole-Willans-thesis.pdf

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Willans, PS. “Social consequences of contemporary financial markets and the case for a financial transaction tax.” 2013. Thesis, University of Tasmania. Accessed January 24, 2021. https://eprints.utas.edu.au/17107/2/whole-Willans-thesis.pdf.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Willans, PS. “Social consequences of contemporary financial markets and the case for a financial transaction tax.” 2013. Web. 24 Jan 2021.

Vancouver:

Willans P. Social consequences of contemporary financial markets and the case for a financial transaction tax. [Internet] [Thesis]. University of Tasmania; 2013. [cited 2021 Jan 24]. Available from: https://eprints.utas.edu.au/17107/2/whole-Willans-thesis.pdf.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Willans P. Social consequences of contemporary financial markets and the case for a financial transaction tax. [Thesis]. University of Tasmania; 2013. Available from: https://eprints.utas.edu.au/17107/2/whole-Willans-thesis.pdf

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Colorado

20. Kim, Kyoung-Gon. Three Essays on the Global Influence of U.s. Monetary Policy.

Degree: PhD, 2019, University of Colorado

URL: https://scholar.colorado.edu/econ_gradetds/92

► In the first chapter, I identify how the Fed's dependence on unconventional monetary policy after the 2007-2008 financial crisis and its return to conventional… (more)

▼ In the first chapter, I identify how the Fed's dependence on unconventional monetary policy after the 2007-2008 financial crisis and its return to conventional policy in 2015 have affected the global influence of U.S. monetary policy. I divide the sample into three phases according to the Fed's monetary policy regimes: pre-crisis (Aug 2001 - Nov 2008), crisis (Nov 2008 - Dec 2015), and post-crisis (Dec 2015 - Sep 2017). Daily variations in government bond yields and foreign exchange spot rates for 46 countries on FOMC meeting days show that the influence of U.S. monetary policy surprises intensified after the financial crisis. Responses are stronger in a group of emerging markets than in developed economies. I also find that more flexible exchange rate regimes lead to larger magnitudes of responses to U.S. monetary policy surprises. My results show that the decoupling of interest rates between the U.S. and other countries forced foreign financial markets to respond sensitively to U.S. monetary policy surprises after the financial crisis. In the second chapter, I examine whether the global transmission of U.S. monetary policy surprises to stock price indexes and term spreads in G7 economies changed after the 2007-2008 financial crisis. I estimate a vector error correction model using monthly data spanning 2001-2017. I find that monetary tightening induces a reduction in stock price indexes and term spreads before the crisis. This confirms the conventional view of the effects of monetary policy on stock and bond markets. However, an unanticipated tightening in U.S. monetary policy leads to an increase in stock price indexes and term spreads in the post-crisis period. This positive response is at odds with the conventional view. A plausible explanation attributes a role to a bubble component of asset prices. Keeping interest rates close to the zero lower bound for many years in G7 countries may have led to a lower borrowing cost, which would presumably increase the size of an asset bubble. As a result, the Fed's tapering of quantitative easing and raising the Fed Fund rates since 2015 would lead to a surge in stock prices. In the final chapter, I investigate the effect of real exchange rates on international trade through monetary policy. I estimate a vector autoregression model using monthly data from China, Japan, and Korea spanning 2001-2017. I find that an innovation in U.S. monetary policy shocks leads to an immediate increase in the trade volume in Korea. However, real effective exchange rates and trade volumes move to same direction in China, which is at odds with the conventional view on the relationship between exchange rate and trade. Likewise, a depreciation of local currency due to a contractionary U.S. monetary policy improves the trade balance in Korea but it leads to a deterioration in the trade balance in China. The heterogeneous responses in Korea and China may be attributed to the different extent of global value chain participation between large and small open economies. Advisors/Committee Members: Martin Boileau, Miles Kimball, Alessandro Peri, Adam McCloskey, Katie Moon.

Subjects/Keywords: global financial markets; u.s. monetary policy; Economics

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APA (6^th Edition):

Kim, K. (2019). Three Essays on the Global Influence of U.s. Monetary Policy. (Doctoral Dissertation). University of Colorado. Retrieved from https://scholar.colorado.edu/econ_gradetds/92

Chicago Manual of Style (16^th Edition):

Kim, Kyoung-Gon. “Three Essays on the Global Influence of U.s. Monetary Policy.” 2019. Doctoral Dissertation, University of Colorado. Accessed January 24, 2021. https://scholar.colorado.edu/econ_gradetds/92.

MLA Handbook (7^th Edition):

Kim, Kyoung-Gon. “Three Essays on the Global Influence of U.s. Monetary Policy.” 2019. Web. 24 Jan 2021.

Vancouver:

Kim K. Three Essays on the Global Influence of U.s. Monetary Policy. [Internet] [Doctoral dissertation]. University of Colorado; 2019. [cited 2021 Jan 24]. Available from: https://scholar.colorado.edu/econ_gradetds/92.

Council of Science Editors:

Kim K. Three Essays on the Global Influence of U.s. Monetary Policy. [Doctoral Dissertation]. University of Colorado; 2019. Available from: https://scholar.colorado.edu/econ_gradetds/92

Université Catholique de Louvain

21. Lambert, Thomas. Essays on the political economy of finance.

Degree: 2015, Université Catholique de Louvain

URL: http://hdl.handle.net/2078.1/157817

►

What are the consequences of countries’ political system on their financial markets and intermediaries? This dissertation proceeds in answering this question along three essays. The… (more)

Subjects/Keywords: Banking; Suffrage; Financial markets; Political economy; Lobbying

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APA (6^th Edition):

Lambert, T. (2015). Essays on the political economy of finance. (Thesis). Université Catholique de Louvain. Retrieved from http://hdl.handle.net/2078.1/157817

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Lambert, Thomas. “Essays on the political economy of finance.” 2015. Thesis, Université Catholique de Louvain. Accessed January 24, 2021. http://hdl.handle.net/2078.1/157817.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Lambert, Thomas. “Essays on the political economy of finance.” 2015. Web. 24 Jan 2021.

Vancouver:

Lambert T. Essays on the political economy of finance. [Internet] [Thesis]. Université Catholique de Louvain; 2015. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/2078.1/157817.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lambert T. Essays on the political economy of finance. [Thesis]. Université Catholique de Louvain; 2015. Available from: http://hdl.handle.net/2078.1/157817

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Grand Valley State University

22. McCarthy, Patrick J. Modelling the Financial Effects of Naïve Neutral Zone Limits on Energy Storage Systems Participating in Midwest ISO Energy Markets Under Frequency Regulation Prioritization Policies.

Degree: 2018, Grand Valley State University

URL: https://scholarworks.gvsu.edu/theses/894

► Battery Energy Storage Systems (BESS) participating in frequency regulation services in MISO (Midcontinent Independent System Operator) energy markets do so by charging from and discharging… (more)

Subjects/Keywords: Batteries; Modeling; Markets; Power; Financial; Electricity; Engineering

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APA (6^th Edition):

McCarthy, P. J. (2018). Modelling the Financial Effects of Naïve Neutral Zone Limits on Energy Storage Systems Participating in Midwest ISO Energy Markets Under Frequency Regulation Prioritization Policies. (Thesis). Grand Valley State University. Retrieved from https://scholarworks.gvsu.edu/theses/894

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

McCarthy, Patrick J. “Modelling the Financial Effects of Naïve Neutral Zone Limits on Energy Storage Systems Participating in Midwest ISO Energy Markets Under Frequency Regulation Prioritization Policies.” 2018. Thesis, Grand Valley State University. Accessed January 24, 2021. https://scholarworks.gvsu.edu/theses/894.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

McCarthy, Patrick J. “Modelling the Financial Effects of Naïve Neutral Zone Limits on Energy Storage Systems Participating in Midwest ISO Energy Markets Under Frequency Regulation Prioritization Policies.” 2018. Web. 24 Jan 2021.

Vancouver:

McCarthy PJ. Modelling the Financial Effects of Naïve Neutral Zone Limits on Energy Storage Systems Participating in Midwest ISO Energy Markets Under Frequency Regulation Prioritization Policies. [Internet] [Thesis]. Grand Valley State University; 2018. [cited 2021 Jan 24]. Available from: https://scholarworks.gvsu.edu/theses/894.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

McCarthy PJ. Modelling the Financial Effects of Naïve Neutral Zone Limits on Energy Storage Systems Participating in Midwest ISO Energy Markets Under Frequency Regulation Prioritization Policies. [Thesis]. Grand Valley State University; 2018. Available from: https://scholarworks.gvsu.edu/theses/894

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Toronto

23. Xiong, Yan. Essays in Financial Economics.

Degree: PhD, 2019, University of Toronto

URL: http://hdl.handle.net/1807/97707

► This thesis consists of three essays on financial markets, product markets, information markets, and their interaction. Chapter 1 offers an introduction of the essays and… (more)

Subjects/Keywords: Corporate; Financial Markets; Information Economics; 0508

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APA (6^th Edition):

Xiong, Y. (2019). Essays in Financial Economics. (Doctoral Dissertation). University of Toronto. Retrieved from http://hdl.handle.net/1807/97707

Chicago Manual of Style (16^th Edition):

Xiong, Yan. “Essays in Financial Economics.” 2019. Doctoral Dissertation, University of Toronto. Accessed January 24, 2021. http://hdl.handle.net/1807/97707.

MLA Handbook (7^th Edition):

Xiong, Yan. “Essays in Financial Economics.” 2019. Web. 24 Jan 2021.

Vancouver:

Xiong Y. Essays in Financial Economics. [Internet] [Doctoral dissertation]. University of Toronto; 2019. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/1807/97707.

Council of Science Editors:

Xiong Y. Essays in Financial Economics. [Doctoral Dissertation]. University of Toronto; 2019. Available from: http://hdl.handle.net/1807/97707

University of Minnesota

24. Chu, Yinxiao. Information Acquisition and Revelation in the Financial Markets.

Degree: PhD, Economics, 2018, University of Minnesota

URL: http://hdl.handle.net/11299/200215

► Information plays an important role in financial markets. In this dissertation, first, we consider how traders choose different information. Second, we ask when traders acquire… (more)

▼ Information plays an important role in financial markets. In this dissertation, first, we consider how traders choose different information. Second, we ask when traders acquire information under competition. Finally, we analyze how ambiguous information affects traders' incentives to trade and reveal their private information. There is information not only about the payoff but also concerning the supply and demand of an asset. In Chapter 1, we study how traders choose to process different information while asset prices are conveying some information. We show that traders decide to process different types of information depends on their initial belief and the informativeness of asset prices. In particular, when the return to each type of information is increasing, traders choose to learn only one type of information. Those who have more precise initial belief about the asset payoff (supply) choose to learn more about the asset payoff (supply). In Chapter 2, we study when traders decide to acquire information under competition. Traders consider two effects of competition in information acquisition: one is that an informed trader's profitability is affected by the presence of another informed trader, the other is the spillover of the information from the informed trader to the uninformed. We show that, when the former effect dominates, then traders tend to acquire information earlier. If the otherwise, then traders tend to delay their information acquisition. In Chapter 3, we study traders' behavior when information is ambiguous, which gives rise to multiple probability models to describe uncertainty. We demonstrate that ambiguity will reduce traders' incentive to trade and reveal their private information. When there is a moderate level of ambiguity, informed traders start to trade randomly, whereas they trade for sure when there is no or a little uncertainty. When ambiguity is sufficiently large, informed traders choose not to trade any more, and no additional information will be revealed in the market.

Subjects/Keywords: Ambiguity; Asymmetric Information; Attention; Financial Markets; Timing

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APA (6^th Edition):

Chu, Y. (2018). Information Acquisition and Revelation in the Financial Markets. (Doctoral Dissertation). University of Minnesota. Retrieved from http://hdl.handle.net/11299/200215

Chicago Manual of Style (16^th Edition):

Chu, Yinxiao. “Information Acquisition and Revelation in the Financial Markets.” 2018. Doctoral Dissertation, University of Minnesota. Accessed January 24, 2021. http://hdl.handle.net/11299/200215.

MLA Handbook (7^th Edition):

Chu, Yinxiao. “Information Acquisition and Revelation in the Financial Markets.” 2018. Web. 24 Jan 2021.

Vancouver:

Chu Y. Information Acquisition and Revelation in the Financial Markets. [Internet] [Doctoral dissertation]. University of Minnesota; 2018. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/11299/200215.

Council of Science Editors:

Chu Y. Information Acquisition and Revelation in the Financial Markets. [Doctoral Dissertation]. University of Minnesota; 2018. Available from: http://hdl.handle.net/11299/200215

Brno University of Technology

25. Roh, Jan. Finanční investice podniku: Financial Investment of the Company.

Degree: 2019, Brno University of Technology

URL: http://hdl.handle.net/11012/13656

► Diploma thesis deals with analysis of investment posibilities in the Czech Republic. It is focused on Czech stock market and Czech bond market. The aim… (more)

Subjects/Keywords: Investice; finanční trhy; Investments; financial markets

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APA (6^th Edition):

Roh, J. (2019). Finanční investice podniku: Financial Investment of the Company. (Thesis). Brno University of Technology. Retrieved from http://hdl.handle.net/11012/13656

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Roh, Jan. “Finanční investice podniku: Financial Investment of the Company.” 2019. Thesis, Brno University of Technology. Accessed January 24, 2021. http://hdl.handle.net/11012/13656.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Roh, Jan. “Finanční investice podniku: Financial Investment of the Company.” 2019. Web. 24 Jan 2021.

Vancouver:

Roh J. Finanční investice podniku: Financial Investment of the Company. [Internet] [Thesis]. Brno University of Technology; 2019. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/11012/13656.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Roh J. Finanční investice podniku: Financial Investment of the Company. [Thesis]. Brno University of Technology; 2019. Available from: http://hdl.handle.net/11012/13656

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Sydney

26. Sensenbrenner, Frank J. Three Essays on Informed Trading .

Degree: 2011, University of Sydney

URL: http://hdl.handle.net/2123/8036

► This thesis consists of three essays examining the behavior of informed traders in financial markets and how they affect asset pricing. It examines informed traders’… (more)

Subjects/Keywords: financial markets; informed traders; multilateral trading facilities

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APA (6^th Edition):

Sensenbrenner, F. J. (2011). Three Essays on Informed Trading . (Thesis). University of Sydney. Retrieved from http://hdl.handle.net/2123/8036

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Sensenbrenner, Frank J. “Three Essays on Informed Trading .” 2011. Thesis, University of Sydney. Accessed January 24, 2021. http://hdl.handle.net/2123/8036.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Sensenbrenner, Frank J. “Three Essays on Informed Trading .” 2011. Web. 24 Jan 2021.

Vancouver:

Sensenbrenner FJ. Three Essays on Informed Trading . [Internet] [Thesis]. University of Sydney; 2011. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/2123/8036.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Sensenbrenner FJ. Three Essays on Informed Trading . [Thesis]. University of Sydney; 2011. Available from: http://hdl.handle.net/2123/8036

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Sydney

27. Zhang, Joe Ruiwang. An Empirical Investigation On The Post-Earnings Announcement Drift And AlgorithmicTrading .

Degree: 2017, University of Sydney

URL: http://hdl.handle.net/2123/17086

► Motivated by the widespread adoption of AT in financial markets, this dissertation investigates whether algorithmic trading (AT) reduces the Post-Earnings Announcement Drift (PEAD), the financial… (more)

▼ Motivated by the widespread adoption of AT in financial markets, this dissertation investigates whether algorithmic trading (AT) reduces the Post-Earnings Announcement Drift (PEAD), the financial anomaly where investors under-react to earnings information. Studies suggest AT is associated with sophisticated trading and lower transaction costs and these two factors contribute to lowering PEAD. I conjecture algorithmic traders have an incentive to profit from (and therefore reduce the presence of) PEAD; however the evidence presented in this thesis fails to show that AT attenuates this anomaly. This thesis is composed of three essays. The first essay (Chapter 2) identifies the factors that explain PEAD and asks two questions: 1) does PEAD still exist; and 2) if so, has it been fully explained. I find PEAD remains a statistically and economically significant anomaly and that low investor sophistication, arbitrage risk and transaction costs are robust but nevertheless incomplete explanations. In other words, one, albeit incomplete, explanation for PEAD is that investors with low sophistication systematically under-react to earnings information and sophisticated traders cannot fully arbitrage the mispricing due to unhedgeable idiosyncratic risks and transaction costs. The second essay (Chapter 3) considers whether AT’s association with lower transaction costs and sophisticated trading implies AT attenuates PEAD. I further conjecture that if sophisticated algorithmic traders are better at extracting trading signals from earnings information AT should also improve price discovery around earnings announcements. After controlling for other explanatory factors, however, my findings show that AT does not contribute to the attenuation of PEAD, but that it is associated with improved price discovery. The third and final essay (Chapter 4) provides an explanation for why the relation between AT and PEAD may be insignificant. I suggest order-splitting can result in the under-estimation of transaction costs (measured by effective spreads) and I argue one predominant function of AT is to execute large orders via sequences of small transactions. I therefore adjust for a potential bias in the measure of effective spreads by treating sequences of consecutive buy or sell orders as a single transaction. I then revisit a popular study which documents the market impact of AT but show that a structural increase in AT is associated with insignificant improvements in effective spreads.

Subjects/Keywords: finance; financial markets; PEAD; algorithmic trading

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APA (6^th Edition):

Zhang, J. R. (2017). An Empirical Investigation On The Post-Earnings Announcement Drift And AlgorithmicTrading . (Thesis). University of Sydney. Retrieved from http://hdl.handle.net/2123/17086

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Zhang, Joe Ruiwang. “An Empirical Investigation On The Post-Earnings Announcement Drift And AlgorithmicTrading .” 2017. Thesis, University of Sydney. Accessed January 24, 2021. http://hdl.handle.net/2123/17086.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Zhang, Joe Ruiwang. “An Empirical Investigation On The Post-Earnings Announcement Drift And AlgorithmicTrading .” 2017. Web. 24 Jan 2021.

Vancouver:

Zhang JR. An Empirical Investigation On The Post-Earnings Announcement Drift And AlgorithmicTrading . [Internet] [Thesis]. University of Sydney; 2017. [cited 2021 Jan 24]. Available from: http://hdl.handle.net/2123/17086.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Zhang JR. An Empirical Investigation On The Post-Earnings Announcement Drift And AlgorithmicTrading . [Thesis]. University of Sydney; 2017. Available from: http://hdl.handle.net/2123/17086

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Universidade Nova

28. Matos, Diogo Manuel Pires de. State detection in a financial portfolio: a self-organizing maps approach for financial time series.

Degree: 2015, Universidade Nova

URL: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/14157

► This study analyses financial data using the result characterization of a self-organized neural network model. The goal was prototyping a tool that may help an… (more)

Subjects/Keywords: Financial markets; SOM; Correlated markets; Clustering over U-Matrix

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APA (6^th Edition):

Matos, D. M. P. d. (2015). State detection in a financial portfolio: a self-organizing maps approach for financial time series. (Thesis). Universidade Nova. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/14157

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Matos, Diogo Manuel Pires de. “State detection in a financial portfolio: a self-organizing maps approach for financial time series.” 2015. Thesis, Universidade Nova. Accessed January 24, 2021. http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/14157.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Matos, Diogo Manuel Pires de. “State detection in a financial portfolio: a self-organizing maps approach for financial time series.” 2015. Web. 24 Jan 2021.

Vancouver:

Matos DMPd. State detection in a financial portfolio: a self-organizing maps approach for financial time series. [Internet] [Thesis]. Universidade Nova; 2015. [cited 2021 Jan 24]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/14157.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Matos DMPd. State detection in a financial portfolio: a self-organizing maps approach for financial time series. [Thesis]. Universidade Nova; 2015. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/14157

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Manchester

29. Qin, Weiping. Measuring Market Integration during Periods of Crisis and Contagion.

Degree: 2019, University of Manchester

URL: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:319301

► In this thesis, I propose an alternative simple and accurate measure of market integration during financial crises based on Pukthuanthong and Roll (2009). I examine… (more)

▼ In this thesis, I propose an alternative simple and accurate measure of market integration during financial crises based on Pukthuanthong and Roll (2009). I examine how financial crises affect market integration at the aggregate level in equity markets and in bond markets, and at the country and industry level in industry portfolios. The first essay investigates the determinants of explanatory power in a multi-factor model during global crises. We find that explanatory power is determined by three elements: factor heteroscedasticity, changes in factor loadings and residual heteroscedasticity. Using a counterfactual analysis, we establish the effects of each element on integration for 53 financial markets during six recent crisis periods: the 1987 US crisis, the 1994-1995 Mexican crisis, the 1997 Asian crisis, the 1998 Russian/LTCM crisis, the 2007-2009 Global Financial crisis (GFC) and the 2009-2014 European Sovereign Debt crisis (ESDC). We find that the unconditional market integration is much lower for most markets during crisis periods than implied. Moreover, high factor volatility and changes in factor loadings during most crises typically causes upward changes in the percentage of one marketâ€™s return explained by global risk factors. The influence of residual heteroscedasticity is negative on explanatory power and after adjusting for the bias caused by this factor, explanatory power becomes larger. We also find contagion exists worldwide in most crises except for the 1994-1995 Mexican crisis and 2009-2014 ESDC. Besides, there is strong evidence of increasing market integration in most markets, The second essay decomposes market integration and investigates the degree and dynamics of industry-level and country-level market integration in 640 industry portfolios. The market integration is estimated by the explanatory power of global country or industry risk factors on industry portfoliosâ€™ returns during stable periods. Explanatory power is adjusted by the bias caused by factor and residual heteroscedasticity and changes in factor loadings during financial crises. Country-level market integration is much higher than industry-level market integration over time during stable periods, but the differences of the two types of market integration become small during financial crises in most cases. Besides, country-level market integration has an increasing trend over time but industry-level market integration illustrates different trend across different industries. Finally, the country effects dominant industry effects during normal periods but during crises, the industry effects become strong and play an indispensable role in many industries, including Consumer Goods, Financials, Industrials and Oil & Gas. The third essay studies the dynamics of market integration in government bond markets. It investigates how the method proposed by Pukthuanthong and Roll (2009) suffers from bias in measuring market integration during financial crises, the differences in market integration across markets, whether markets become more… Advisors/Committee Members: CHO, SUNGJUN S, Hyde, Stuart, Cho, Sungjun.

Subjects/Keywords: market integration; financial crisis; contagion; equity markets; bong markets

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Qin, W. (2019). Measuring Market Integration during Periods of Crisis and Contagion. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:319301

Chicago Manual of Style (16^th Edition):

Qin, Weiping. “Measuring Market Integration during Periods of Crisis and Contagion.” 2019. Doctoral Dissertation, University of Manchester. Accessed January 24, 2021. http://www.manchester.ac.uk/escholar/uk-ac-man-scw:319301.

MLA Handbook (7^th Edition):

Qin, Weiping. “Measuring Market Integration during Periods of Crisis and Contagion.” 2019. Web. 24 Jan 2021.

Vancouver:

Qin W. Measuring Market Integration during Periods of Crisis and Contagion. [Internet] [Doctoral dissertation]. University of Manchester; 2019. [cited 2021 Jan 24]. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:319301.

Council of Science Editors:

Qin W. Measuring Market Integration during Periods of Crisis and Contagion. [Doctoral Dissertation]. University of Manchester; 2019. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:319301

University of Manchester

30. Qin, Weiping. Measuring market integration during periods of crisis and contagion.

Degree: PhD, 2019, University of Manchester

URL: https://www.research.manchester.ac.uk/portal/en/theses/measuring-market-integration-during-periods-of-crisis-and-contagion(f5ef568f-7c9c-40cc-b126-41c2e60afe25).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.809315

► In this thesis, I propose an alternative simple and accurate measure of market integration during financial crises based on Pukthuanthong and Roll (2009). I examine… (more)

▼ In this thesis, I propose an alternative simple and accurate measure of market integration during financial crises based on Pukthuanthong and Roll (2009). I examine how financial crises affect market integration at the aggregate level in equity markets and in bond markets, and at the country and industry level in industry portfolios. The first essay investigates the determinants of explanatory power in a multi-factor model during global crises. We find that explanatory power is determined by three elements: factor heteroscedasticity, changes in factor loadings and residual heteroscedasticity. Using a counterfactual analysis, we establish the effects of each element on integration for 53 financial markets during six recent crisis periods: the 1987 US crisis, the 1994-1995 Mexican crisis, the 1997 Asian crisis, the 1998 Russian/LTCM crisis, the 2007-2009 Global Financial crisis (GFC) and the 2009-2014 European Sovereign Debt crisis (ESDC). We find that the unconditional market integration is much lower for most markets during crisis periods than implied. Moreover, high factor volatility and changes in factor loadings during most crises typically causes upward changes in the percentage of one market's return explained by global risk factors. The influence of residual heteroscedasticity is negative on explanatory power and after adjusting for the bias caused by this factor, explanatory power becomes larger. We also find contagion exists worldwide in most crises except for the 1994-1995 Mexican crisis and 2009-2014 ESDC. Besides, there is strong evidence of increasing market integration in most markets, The second essay decomposes market integration and investigates the degree and dynamics of industry-level and country-level market integration in 640 industry portfolios. The market integration is estimated by the explanatory power of global country or industry risk factors on industry portfolios' returns during stable periods. Explanatory power is adjusted by the bias caused by factor and residual heteroscedasticity and changes in factor loadings during financial crises. Country-level market integration is much higher than industry-level market integration over time during stable periods, but the differences of the two types of market integration become small during financial crises in most cases. Besides, country-level market integration has an increasing trend over time but industry-level market integration illustrates different trend across different industries. Finally, the country effects dominant industry effects during normal periods but during crises, the industry effects become strong and play an indispensable role in many industries, including Consumer Goods, Financials, Industrials and Oil & Gas. The third essay studies the dynamics of market integration in government bond markets. It investigates how the method proposed by Pukthuanthong and Roll (2009) suffers from bias in measuring market integration during financial crises, the differences in market integration across markets, whether markets become more…

Subjects/Keywords: equity markets; contagion; bong markets; market integration; financial crisis

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APA (6^th Edition):

Qin, W. (2019). Measuring market integration during periods of crisis and contagion. (Doctoral Dissertation). University of Manchester. Retrieved from https://www.research.manchester.ac.uk/portal/en/theses/measuring-market-integration-during-periods-of-crisis-and-contagion(f5ef568f-7c9c-40cc-b126-41c2e60afe25).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.809315

Chicago Manual of Style (16^th Edition):

Qin, Weiping. “Measuring market integration during periods of crisis and contagion.” 2019. Doctoral Dissertation, University of Manchester. Accessed January 24, 2021. https://www.research.manchester.ac.uk/portal/en/theses/measuring-market-integration-during-periods-of-crisis-and-contagion(f5ef568f-7c9c-40cc-b126-41c2e60afe25).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.809315.

MLA Handbook (7^th Edition):

Qin, Weiping. “Measuring market integration during periods of crisis and contagion.” 2019. Web. 24 Jan 2021.

Vancouver:

Qin W. Measuring market integration during periods of crisis and contagion. [Internet] [Doctoral dissertation]. University of Manchester; 2019. [cited 2021 Jan 24]. Available from: https://www.research.manchester.ac.uk/portal/en/theses/measuring-market-integration-during-periods-of-crisis-and-contagion(f5ef568f-7c9c-40cc-b126-41c2e60afe25).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.809315.

Council of Science Editors:

Qin W. Measuring market integration during periods of crisis and contagion. [Doctoral Dissertation]. University of Manchester; 2019. Available from: https://www.research.manchester.ac.uk/portal/en/theses/measuring-market-integration-during-periods-of-crisis-and-contagion(f5ef568f-7c9c-40cc-b126-41c2e60afe25).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.809315

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