Liquidity is an important market characteristic for participants in every financial market. One of the three components of liquidity is market depth. Prior literature lacks a comprehensive analysis of depth in U.S. futures markets due to past limitations on the availability of data. However, recent innovations in data collection and dissemination provide new opportunities to investigate the depth dimension of liquidity. In this dissertation, the Chicago Mercantile Exchange (CME) Group proprietary database on depth is employed to study the dynamics of depth in the U.S. futures markets. This database allows for the analysis of depth along the entire limit order book rather than just at the first level. The first essay examines the characteristics of depth within the context of the five-deep limit order book. Results show that a large amount of depth is present in the book beyond the best level. Furthermore, the findings show that the characteristics of five-deep depth between day and night trading vary and that depth is unequal across levels within the limit order book. The second essay examines the link between the five-deep market depth and the bid-ask spread. The results suggest an inverse relation between the spread and the depth after adjusting for control factors. The third essay explores transitory volatility in relation to depth in the limit order book. Evidence supports the relation between an increase in volatility and a subsequent decrease in market depth. Overall, the results of this dissertation are consistent with limit order traders actively managing depth along the limit order book in electronic U.S. futures markets.

abstract: Given the "New Nine Measures" for capital market reform, a policy document issued by the State Council of China, the development of markets for interest rate derivatives, such as treasury futures, becomes an increasingly important task. Several shortcomings of the existing treasury futures market have been noted: including low market liquidity, singular investor composition, restrict contract terms, and low hedging demand. This study contributes to a better understanding of the treasury futures market by analyzing changes in China treasury futures market regulations and their impact on market liquidity of treasury futures. Found that compared with the mature market, China treasury futures market exists liquidity shortage, the trading system, market structure and the division of regulatory are factors which influence the liquidity of China treasury futures market. This study found that reducing transaction costs for further optimization of the width and depth of China treasury futures market are not obvious by using quantitative analysis method, expanding the smallest change price can optimize the market depth, reducing transaction costs and expanding smallest change price can optimize the immediacy, volume and hosting amount. In addition, the bond market will also influence the treasury futures market, the price fluctuations and the morphology of the yield curve of bond market have significant influence on width, depth and holdings of market. The system of China treasury futures market needs to be optimized by expanding the smallest change price and reducing transaction costs. The market structure needs to be optimized by establishing unified bond market and enriching investor structure. These findings have significant theoretical and practical implications. The study also provides policy recommendations for the design and establishment of treasury futures market to the regulatory agencies. / Dissertation/Thesis / Doctoral Dissertation Business Administration 2016

Interest in the results of important macroeconomic information is in relation to the financial crisis deeper than usual. The main objective of this thesis is to evaluate the behavior of individual players on the market during the time of publication of these reports. It uses the standard tools that are available in commercial platforms. Literature, which addresses this area of trading, is not widely available. I dare to say that this thesis offer to the reader non-traditional view on this issue.

過去研究指出，公司管理當局可藉由即時揭露更多攸關資訊以降低市場之資訊不對稱，而管理當局所發布之財務預測亦為揭露資訊之一種。我國證管會於民國八十年五月起正式實施強制性財務預測制度，影響資本市場甚鉅。本研究旨在探討管理當局所發布之財務預測對資本市場資訊不對稱之影響，進而推論我國強制性財務預測制度對於降低資本市場之資訊不對稱是否有其功效。 本研究採用股票交易量、股價變異性及市場深度作為資訊不對稱之代理變數，實證結果顯示： 1.在強制性財務預測制度實施前，自願發布財務預測之公司於預測發布後，其資訊不對稱顯著較預測發布前降低；然與未發布財務預測公司相較之結果卻顯示，以股票交易量為資訊不對稱之代理變數時，發布財測公司於預測發布後之資訊不對稱反而顯著較未發布財測者為高。 2.在強制性財務預測制度實施後，強制或自願發布財務預測之公司於預測發布後，其資訊不對稱程度仍顯著較其發布前降低；而以股價變異性為資訊不對稱代理變數之結果亦顯示，發布財測公司於預測發布後之資訊不對稱顯著較未發布公司為低。 3.以市場深度為資訊不對稱代理變數之結果顯示，在強制性財務預測制度實施後，發布強制性財務預測之公司，其資訊不對稱於預測發布後顯著降低；此外，與發布自願性財務預測公司相較之結果顯示，發布強制性財測公司於預測發布後，其資訊不對稱程度不顯著高於發布自願性財務預測者。 / A firm can increase levels of disclosure to lower the information asymmetry. Financial forecast released by managers is also one of information about corporation. Our country began to implement the mandatory financial forecast regulations since May, 1991. This study mainly investigates the association between financial forecast released by companies and the mandatory financial forecast regulations. Furthermore , it also investigates that if the regulations effectively mitigate information asymmetry. This study uses trading volume, price volatility, and market depth as proxies for the information asymmetry. The empirical results show that: 1.Before May, 1991, corporations with voluntary forecast significantly mitigated the information asymmetry after the forecast released. But the information asymmetry (use trading volume as a proxy) of corporations after forecast released was not significantly lower than corporations without forecast. 2.After May, 1991, corporations with mandatory or voluntary forecast also significantly mitigated the information asymmetry after the forecast released. And the information asymmetry (use price volatility as a proxy) of corporations after forecast released was significantly lower than corporations without forecast. 3.After May, 1991, corporations with mandatory forecast significantly mitigated the information asymmetry (use market depth as a proxy) after the forecast released. And the information asymmetry of corporations after mandatory forecast released was not significantly higher than corporations with voluntary forecast.