Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 77 for “"price discovery"”.
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Price discovery in the foreign exchange market
This thesis investigates the price discovery in the foreign exchange market using high frequency data. Traditional exchange rate models assume market homogeneity and the sole existence of public information. However. recent studies suggest such assumptions are not well founded and have generated …
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Three Essays on Price Discovery, Stock Liquidity, and Crash Risk
… attention, and macroeconomic news affect bitcoin price discovery in spot and futures markets. Over the period December 2017 – March 2019, we find significant time variation in the contribution to price discovery of the two markets. Increases in price discovery are mainly driven by relative trading …
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Price discovery around Canadian equity trading halts using intraday data
… comprised of three essays, concentrates on price discovery and the properties associated with transactions and quotes surrounding trading halts on the Montreal (ME) and Toronto Stock Exchanges (TSE). Trading halts are imposed by exchanges on listed securities, namely; in response to informed …
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Risk management, price discovery and forecasting in the freight futures market
… derive from the spot market. These benefits are price discovery and risk management through hedging. The extent to which different commodity and financial futures markets have served as efficient centres of price discovery and risk management has been the focus of considerable empirical research …
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Price Discovery and Volatility Spillover Effects: The Agricultural ETPS and Their Underlying Commodities
<p>This thesis investigates the price discovery and volatility spillover effects between agricultural ETPs and commodity underlying. We analyze historical prices of five most popular grain ETPs and their underlying commodities using VEC model and BEKK model. Price discovery is confirmed by …
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The efficiency of the oil futures markets: information, price discovery and long memory
… by testing the unbiasedness of the oil futures price in predicting the expected spot price using the Johansen (1988) and the Engle-Granger (1987) cointegration tests, and the Error Correction Model (ECM). The results suggest that the oil futures markets are unbiased in the long term but not in …
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Composition of traders in live cattle futures contracts: behavior and implications to price discovery
The concepts of risk transfer and price discovery are well developed roles for futures markets. The interaction between traders in futures markets in the transferring and acceptance of price risk contributes to the discovery of price. Interaction of traders in the risk transfer and price discovery …
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The influence of specific trader groups on price discovery in the live cattle futures market
… contribution of various types of traders on the price discovery process in live cattle futures. This work was based on a conceptual model where traders select the information deemed most relevant for forecasting future prices and then make use of a translating mechanism to condense this …
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Momentum, Nonlinear Price Discovery and Asymmetric Spillover: Sovereign Credit Risk and Equity Markets of Emerging Countries and
… short term dynamic interaction and price discovery (speed of adjustment to new information between two assets) may change in alternative regimes. To this end, I employ threshold cointegration, threshold vector error correction model (TVECM) asymmetrical return spillover modeling for …
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Price discovery, market efficiency and temporal dynamic price relationship: an empirical analysis of worldwide precious metals markets
The aim of this research is to investigate the price discovery, market efficiency and the temporal dynamic price relationships between financial prices (futures and index) and spot price, for three of the most important precious metals, namely gold, silver and platinum.When people are concerned …
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Price discovery in commercial mortgage backed securities : what factors determine pricing at origination and after origination in the CMBS market
… seeks to determine which factors influence price at origination and after. This thesis is essentially split into two separate studies, one examining pricing at origination and the other pricing after origination. For both parts, regression analyses were performed on fifty AAA rated …
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Acreage response before and after the deregulation of the South African maize industry : the role of SAFEX in price discovery and price risk managment
… could no longer rely on their pre-planting price or "voorskat" for price discovery and price risk management. Some have claimed (UNCTAD, 2007) that the South African Futures Exchange (SAFEX) can provide these functions. We test this claim and analyse the impliacation of it.
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The predictive nature of short interest on market returns and the effect of short selling on volatility, liquidity and price discovery with some international evidence
… and to what extent short sales affect liquidity, price discovery, volatility and cross-section of stock returns. The main novelties of research of this PhD are that I employ a new more efficient asset pricing model to the findings of Boehmer et al. (2010), I explore also a time period after …
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Analyzing Earnings Management for Cross-listed Firms and Interaction between Two Futures Exchanges
… essay examines the relative contribution to price discovery process of EURO/USD currency futures traded on two major exchanges: Chicago Mercantile Exchange (CME) and Intercontinental Exchange (ICE), using the intraday data in 2010. The relative contribution to price discovery is estimated …
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Economic implications of a computerized trading system for grains
… framework based on the principle that the price discovery process is a communication process was developed to guide the comparison. Finally, a CTS for grains was conceptualized and a demonstration computer program was written to model such a system. Using communication and functional …
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The announcement waiting game : holding costs, trading, and returns around earnings announcements
… which subsequently induces concentration in price discovery around these announcements. This paper proposes empirical tests to identify (i) how holding costs influence the trading behavior of sophisticated investors and (ii) whether holding costs contribute to the concentration in returns …
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Two Essays in Financial Economics
… of regular and e-mini futures market to price discovery of EUR/USD futures contracts on the CME, using intraday data in 2010. The relative contribution to price discovery is estimated using the information share approach proposed by Hasbrouck (1995) and Gonzalo and Granger (1995). …
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Price distortions in the commodity futures markets
… activities by speculators may damage a market's price discovery function and in turn its hedging function. However, there is great disagreement as to which types of speculation can distort commodity futures prices and the mechanisms for how a price distortion may occur. This thesis advances three …
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Essays in financial economics
… that exchange-traded funds (ETFs) harm stock price discovery, either by ``stealing'' single-stock liquidity or forcing stock prices to co-move. Contra this belief, I develop a theoretical model that investors with stock-specific information trade both single stocks and ETFs. While the ETF is …
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