This study mainly explores the effect of market states (price and returns) on the relationship between spot and futures oil prices and targets three important issues: long-run cointegration, causalities, and market efficiency. Based on previous studies exhibiting bi-directional causality between spot and futures oil prices, this study employs quantile regressions to examine the possible feedback effect in their long-run cointegration and their causalities. In particular, it allows for exploring the possible asymmetric responses between spot and futures markets. The empirical results herein find that the long-run cointegrated relationship between contemporaneous spot and futures prices is impacted by the states of the spot markets. Similarly, whether futures oil prices lead spot oil prices is relevant with the states of the futures markets. This study also examines the efficiency of crude oil markets and shows that the efficiency is related to the length of futures contracts. These findings offer some implicative suggestions and strategies.

There are gradually prosperous trades in foreign exchange markets, agents could hedge, speculate and arbitrage in markets. Market efficiency therefore is worthy of investigate in international finance. According to simple market efficiency hypothesis, the long-run relationship wound exist between spot exchange rate and forward exchange rate as foreign exchange markets are efficient. In the purpose of this study is to examine the long-run relationship between spot exchange rate and forward exchange rate by cointegration theory. We consider a new method¡Ðpanel cointegration that data sets contain not only time series also corss sections, to re-examine the relationship between spot and forward exchange rates. Conclusively, the results of cointegration relationships exist between spot and forward exchange rates in Taiwan, Singapore, Japanese, and Canada by applying panel cointegration model.

The informational content of implied volatility and its prediction power is evaluated for time horizons of one month. The study covers the period of November 2007 to November 2013 for the two indices S&P500 and OMXS30. The findings are put in relation to the corresponding results for past realized volatility. We find results supporting that implied volatility is an efficient, although biased estimator of realized volatility. Our results support the common notion that implied volatility predicts realized volatility better than past realized volatility, and that it also subsumes most of the informational content of past realized volatility.

Doctor of Philosophy / This dissertation presents the results of three empirical studies on price formation and liquidity in financial futures markets. The research entails three related areas: the effect of taxes on the prices of Australian stock index futures; the efficiency of the information transmission mechanism between the cash and futures markets; and the price and liquidity impact of large trades in interest rate and equity index futures markets. An overview of previous research identifies some important gaps in the existing literature that this dissertation aims to resolve for the benefit of arbitrageurs, investment managers, brokers and regulators.

Diss. Stockholm : Handelshögskolan, 2005.

[pt] A hipótese de eficiência de Mercado é um tema básico e serviu como base para formação de teorias em finanças, sendo, portanto, um dos problemas mais estudados. Relacionadas ao assunto, algumas pesquisas vêm se dedicando especificamente à investigação de fenômenos de underreaction/overreaction, ou seja, de reações excessivas do mercado e incompatíveis com a hipótese de eficiência. Neste contexto, o presente trabalho objetivou aplicar ao mercado acionário brasileiro teste de underreaction/overreaction baseados nas principais metodologias utilizadas em pesquisas internacionais. As principais evidências obtidas indicam a existência destes excessos de reações, contrariando a uma das principais teorias já estudadas. / [en] The hypothesis of market efficiency is a central theme in finance and one of the most studied subjects. Related to the subject, some research has been dedicated specifically to investigating the under reaction / overreaction phenomena, ie, the market over reactions that is incompatible with the hypothesis of efficiency. In this context, this study aimed to apply in the Brazilian stock market tests of under reaction / overreaction based on the main methodologies used in international surveys. The main evidence obtained indicates the existence of these excesses of reactions, contrary to one of the main theories already studied.

This paper examines the effects of dividend announcements and dividend payments on OMX30 stock prices and tests if these effects indicate market efficiency. An event study methodology is used to find if the dividend events have a significant impact on stock prices. The study finds that both dividend announcements and dividend payments have a significant negative effect on prices. Disappointed investors or lowered expectations for future dividends may be the cause of the announcement effect. The results indicate that the stock market is semi-strong efficient for the announcements but inefficient when it comes to the payments.

Since Engle and Granger formulated the concept of cointegration in 1987, the literature has extensively examined the unbiasedness of the commodity futures prices using the cointegration-based technique. Despite intense attention, many of the previous studies suffer from the contradicting empirical results. That is, the cointegration test and the stationarity test on the differential contradict each other. In marked contrast, my dissertation develops the no-arbitrage cost-of-carry model in the NYMEX light sweet crude oil futures market and tests stationarity of the spot-futures differential. It is demonstrated that the primary cause of the "cointegration paradox" is the model misspecifications resulting in omitted variable bias.

The dissertation consists of two essays. In the first essay, we measure herding by institutional investors in the new economy (internet) stocks during 1998-2001 by examining the changes in the quarterly institutional holdings of internet stocks relative to an average stock. More than 95% of the stocks that are examined are listed on NASDAQ. The second essay attempts to detect intra-day herding using two new measures in an average NYSE stock during 1998-2001. In the second essay, rather than asking whether institutional investors herd in a specific segment of the market, we endeavor to ask if herding occurs in an average stock across all categories of investors. The first essay analyzes herding in one of the largest bull runs in the history of U.S. equity markets. Instead of providing a corrective stabilizing force, banks, insurance firms, investment companies, investment advisors, university endowments, hedge funds, and internally managed pension funds participated in herds in the rise and to a lesser extent in the fall of new economy stocks. In contrast to previous research, we find strong evidence of herding by all categories of institutional investors across stocks of all sizes of companies, including the stocks of large companies, which are their preferred holdings. We present evidence that institutional investors herded into all performance categories of new economy stocks, and thus the documented herding cannot be explained by simple momentum-based trading. Institutional investors' buying exerted upward price pressure, and the reversal of excess returns in the subsequent quarter provides evidence that the herding was destabilizing and not based on information. The second essay attempts to detect herding in financial markets using a set of two methodologies based on runs test and dependence between interarrival trade times. Our first and the most important finding is that markets function efficiently and show no evidence of any meaningful herding in general. Second, herding seems to be confined to very small subset of small stocks. Third, dispersion of opinion among investors does not have much of impact on herding. Fourth, analysts' recommendations do not contribute to herding. Last, the limited amount of herding on price increase days seems to be destabilizing but on the price decrease days, the herding helps impound fundamental information into security prices thus making markets more efficient. Our results are consistent with Avery and Zemsky (1998) prediction that flexible financial asset prices prevent herding from arising. The seemingly contradictory results of the two essays can be reconciled based on the different sample of stocks, and the different methodologies of the two essays which are designed to detect different types of herding. In the first essay, herding is measured for NASDAQ-listed (primarily) internet stocks relative to an average stock, while the second essay documents herding for an average stock. In the first essay, we document herding in more volatile internet stocks, but we do not find any evidence of herding in more established NYSE stocks. The first essay examines herding by institutional investors, while the second essay examines herding, irrespective of the investor type. Consequently, in the first essay, we find that a subset of investors herd but in the second essay market as a whole does not exhibit any herding. Moreover, the first essay measures herding by examining the quarterly institutional holdings of internet stocks, while the second essay measures herding by examining the intra-day trading patterns for stocks. This suggests that it takes a while for investors to find out what others are doing leading to herding at quarterly interval but no herding is observed at intra-day level. The evidence presented in the two essays suggests that while institutional investors herded in the internet stocks during 1998-2001, there was very little herding by all investors in an average stock during this period. / Ph. D.

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