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This dissertation consists of two essays: one looks at the cross-country variations in volume-price variability relationship and cultural and other country factors, and the other looks at cause and effects of large one-day price changes in commodity futures. The first essay presented in Chapter 1 investigates the effect of cultural and other country factors on the dynamic relation between market-wide trading activity and price variability in 20 countries. The results show that individualism and masculinity are positively related to volume-variability relation; other country factors including information asymmetry, financial development, short sale and age distribution are also closely related to the volume-variability relation. Specifically, the return-variability relation is stronger in less financially-developed countries with short-sale constraints and high information asymmetry. The second essay presented in Chapter 2 examines the causes and effects of large price changes in 26 commodity futures. The results indicate that announcements of macroeconomic news, the maturity effect, and the seasonal effect can explain the futures price movements of food (non-grains), grain, and livestock better than those of energy and metal. Without controlling for other factors, I find some support for the overreaction theory, especially following negative large price changes in closing. However, controlling for macro factors or market conditions, there is no support for overreactions.

Yes / Given that the probability of extreme weather has been dramatically increasing, this study contributes to the existing literature by bridging the relation between weather risks and global commodity prices with a secondary dataset (e.g., weather risks of Canada and the United States, agricultural raw materials price, gold price, and crude oil price). The results from the vector autoregression model and impulse response functions show that rising weather risks increase the price of agricultural raw materials and gold. However, the negative impact of weather risks on the crude oil price is found. Finally, the paper discusses the findings' potential implications (e.g., developing decarbonised supply chains) for decreasing weather risks' effects on commodity market uncertainties.

With increasing engagement in on-line shopping accelerated by the events of 2020, what can we learn about prices and their rigidity in the on-line sector? We collect an extensive dataset of scraped daily prices for four on-line grocery retailers from the Czech Republic from January 2020 to April 2021. We find substantial di erences in pricing among the retailers, including the impact of interest rate changes and the introduction of lockdowns on the probability of price change. Price rigidity depends significantly on the retailer and the assumptions imposed on temporary price changes. The mean number of all price changes among retailers ranges between 3.10 and almost 11 per year. Depending on the definition of excluded temporary price changes, retailers change prices permanently on average between 0.68 to 4.04 times per year. We show that a more in-depth analysis of temporary price changes is crucial for a robust assessment of price rigidity. JEL Classification E30, L81, C55, D22 Keywords on-line grocery shopping, price flexibility, tem- porary price changes, scraped prices Title High-Frequency Food Prices: Evidence from the Czech Republic

This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of Pastor and Stambaugh (2003) and Liu (2006) is not country-specific. Particularly, systematic liquidity risk is priced in the London Stock Exchange when Amihud's (2002) illiquidity ratio is used as a liquidity proxy. Given the importance of systematic liquidity risk in the asset pricing literature, we are interested in testing whether the different levels of systematic liquidity risk across stocks can explain the anomaly following large one-day price changes. Specifically, we expect that the stocks with high sensitivity to the fluctuations in aggregate market liquidity to be more affected by price shocks. We find that most liquid stocks react efficiently to price shocks, while the reactions of the least liquid stocks support the uncertain information hypothesis. However, we show that time-varying risk is more important than systematic liquidity risk in explaining the price reaction of stocks in different liquidity portfolios. Indeed, the time varying risk explains nearly all of the documented overreaction and underreaction following large one-day price changes. Our evidence suggests that the observed anomalies following large one-day price shocks are caused by the pricing errors arising from the use of static asset pricing models. In particular, the conditional asset pricing model of Harris et al. (2007), which allow both risk and return to vary systematically over time, explain most of the observed anomalies. This evidence supports the Brown et al. (1988) findings that both risk and return increase in a systematic fashion following price shocks.

This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of Pastor and Stambaugh (2003) and Liu (2006) is not country-specific. Particularly, systematic liquidity risk is priced in the London Stock Exchange when Amihud's (2002) illiquidity ratio is used as a liquidity proxy. Given the importance of systematic liquidity risk in the asset pricing literature, we are interested in testing whether the different levels of systematic liquidity risk across stocks can explain the anomaly following large one-day price changes. Specifically, we expect that the stocks with high sensitivity to the fluctuations in aggregate market liquidity to be more affected by price shocks. We find that most liquid stocks react efficiently to price shocks, while the reactions of the least liquid stocks support the uncertain information hypothesis. However, we show that time-varying risk is more important than systematic liquidity risk in explaining the price reaction of stocks in different liquidity portfolios. Indeed, the time varying risk explains nearly all of the documented overreaction and underreaction following large one-day price changes. Our evidence suggests that the observed anomalies following large one-day price shocks are caused by the pricing errors arising from the use of static asset pricing models. In particular, the conditional asset pricing model of Harris et al. (2007), which allow both risk and return to vary systematically over time, explain most of the observed anomalies. This evidence supports the Brown et al. (1988) findings that both risk and return increase in a systematic fashion following price shocks. / Yarmouk University, Jordan.

The relationship between performance for the Swedish industry and changesin prices and volatility of commodities has been examined using multiple linearregression. The study focuses on how commodity price fluctuations correlate withgross profit growth, measuring company performance. Gross profit as a performancemeasure is contrary to most previous studies that use stock performance as thedependent variable. This study has found two commodities whose prices have asignificant relationship with changes in gross profit for the Swedish industry sector,Brent oil, and platinum. The correlation with Brent oil is the most reliable one.Surprisingly, Brent oil has a positive relationship with gross profit, even thougha higher oil price is causing more expensive logistics and manufacturing operations,increasing costs of sold goods. This indicates a possible correlation between oil priceand demand for manufactured products; industrial companies can either increaseprices or produce at a high capacity. Regarding the volatility of commodities, nosignificant correlation with gross profits has been found. / Med multipel linjär regression undersöks relationen mellan prestation hos svenska industriföretag och förändringar i priser och volatilitet hos råvaror. Studien fokuserar på hur prisfluktuationer för råvaror korrelerar med bruttovinst, vilket väljs som prestationsmått. Det skiljer sig från majoriteten av tidigare studier där avkastning på aktier har varit den beroende variabeln. Denna studien har hittat stöd för att priset på två råvaror har en signifikant korrelation med förändringar i bruttovinst för den svenska industrin. Nämligen Brent olja och platinum, varav Brent olja har en betydligt pålitligare korrelation.  Brent olja har ett positivt förhållande med bruttovinst, vilket är förvånande då dyrare olja innebär ökade kostnader kopplade till logistik och tillverkning. Något som ökar kostnaden för sålda varor. Detta indikerar att ett ökad pris på olja borde korrelera med en hög efterfrågan på tillverkade produkter, så att industriföretagen kan öka sina priser och/eller tillverka fler varor när oljan ökar i pris. Vad gäller volatilitet på råvaror har det inte hittats någon significant korrelation med bruttovinst.

Submitted by Joao Luiz Ayres Queiroz da Silva (jluizayres@gmail.com) on 2012-01-13T03:10:40Z No. of bitstreams: 1 TeseDoutorado_JoaoAyres_VersaoFinal_Eletronica.pdf: 529477 bytes, checksum: d6770f4fc6e8a2ced7e469151b866323 (MD5) / Approved for entry into archive by Andrea Virginio Machado (andrea.machado@fgv.br) on 2012-02-17T16:50:02Z (GMT) No. of bitstreams: 1 TeseDoutorado_JoaoAyres_VersaoFinal_Eletronica.pdf: 529477 bytes, checksum: d6770f4fc6e8a2ced7e469151b866323 (MD5) / Made available in DSpace on 2012-02-28T12:07:31Z (GMT). No. of bitstreams: 1 TeseDoutorado_JoaoAyres_VersaoFinal_Eletronica.pdf: 529477 bytes, checksum: d6770f4fc6e8a2ced7e469151b866323 (MD5) Previous issue date: 2011-07-26 / Esta tese tem como objetivo principal aproximar a evidencia empirica existente sobre os agregados macroeconomicos com as novas evidencias empiricas baseadas nos micro dados de precos ao consumidor, tendo como base os modelos padroes de rigidez de preco utilizados na literatura de politica monetaria. Para isso, esta tese utiliza a base de dados individuais de precos ao consumidor no Brasil fornecida pela Fundacao Getulio Vargas. Especificamente, esta tese foca em tres temas principais: a existencia de variac˜oes temporararias de precos, a heterogeneidade na rigidez de precos entre firmas de um mesmo setor e o formato das func˜oes hazard. Os resultados mostram que: existe de fato uma correlac˜ao entre as variaveis referentes as mudancas temporararias de precos e os agregados macroeconomicos; a heterogeneidade na rigidez de precos entre firmas de um mesmo setor apresenta efeitos significativos sobre a dinamica dos agregados macroeconomicos; e por fim, o formato mais geral da func˜ao hazard proposta nesta tese possibilita novas dinamicas dos agregados macroeconomicos. / This thesis has as its main goal to approximate the existing empirical evidence on macroeconomic aggregates with the new empirical evidences based on micro data on consumer prices, having as a baseline the standard sticky-price models used in the literature on monetary policy. In order to do that, this thesis makes use of a micro data on individual consumer prices in Brazil published by Getulio Vargas Foundation. Specifically, this thesis focus on three main issues: the existence of temporary price changes, the within-sector heterogeneity in price stickiness and the shape of hazard functions. The results show that: there exist a correlation between variables on temporary price changes and macroeconomic aggregates; the within-sector heterogeneity in price stickiness has significant effects on macroeconomic dynamics; and the more general specification of the shape of the hazard function that is proposed in this thesis leads to new dynamics for the macroeconomic aggregates.