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The first chapter of this dissertation estimates the relative contributions of two major exchanges on crude oil futures to the price discovery process-- Chicago Mercantile Exchange (CME) and Intercontinental Exchange (ICE), using trade-by-trade data in 2008. The study also empirically analyzes the effects of trading characteristics on the information share of these two markets. Trading characteristics examined in the study include trading volume, trade size, and trading costs. On average, CME is characterized by greater volume and trade size but also slightly greater bid-ask spread. CME leads the process of price discovery and this leadership is caused by relative trade size and volatility before the financial crisis of 2008; however post-crisis period this leadership is caused by trading volume. Moreover, this study presents evidence that, in times of large uncertainty in the market, the market maker charges a greater bid-ask spread for the more informative market. The second chapter examines the influence of expected oil price volatility, the behavior of the Organization of Petroleum Exporting Countries (OPEC), and the US Dollar exchange rate volatility on the backwardation of crude oil futures during the period from January 1986 to December 2008. The results indicate that oil futures are strongly and weakly backwardated 57% and 69% of the time, respectively. The regression analysis of weak backwardation shows that oil volatility, OPEC overproduction (difference between quota and the actual production), and the volatility of the US Dollar against the Japanese Yen have a positive significant effect on oil backwardation, while OPEC production quota imposed on its members has a negative significant effect on oil backwardation. However the volatility of US Dollar against the British Pound has no significant effect on oil backwardation. The regression analysis of strong backwardation produces qualitatively the same results except that volatility has no effect. In a sub-period analysis, evidence also indicates that trading volume of oil funds and backwardation are negatively related, suggesting that oil funds increase the demand of futures relative to that of spot.

Si l’immobilier est de loin la plus importante classe d’actifs de notre économie, elle est également l’une des dernières à ne pas disposer d’un marché de dérivés mature. Des études académiques récentes ont montré que le manque de compréhension de leurs prix en est la principale raison. Ce travail doctoral cherche à y remédier. Par la conduite d’études à la fois théoriques et empiriques, nous sommes parvenus à déterminer leurs caractéristiques statistiques, leurs facteurs de risque mais aussi à appréhender l’intérêt de ces produits en terme de fonction de découverte des prix. Si les dérivés immobiliers constituent un outil de paramétrisation du risque immobilier essentiel, ils offrent également la possibilité aux investisseurs comme aux pouvoirs publics de disposer d’informations qui ne seraient pas disponibles autrement / Despite the fact that real estate is the largest asset class in our economy, it is one of the few that do not have a mature derivatives market. Recent academic studies have shown that the lack of understanding of real estate derivatives’ prices is the main reason for the absence of a market. This dissertation aims to change this. By conducting theoretical and empirical studies we describe their statistical characteristics, their risk factors, and we highlight their importance in terms of price discovery function. Property derivatives are an essential tool for risk management, but they also offer for investors and regulators a source of information that would otherwise not be available

The first chapter of this dissertation examines the returns to frequent acquirers from emerging markets and analyzes the cross-country variations in cumulative abnormal returns. The sample consists of 5,147 transactions carried out by firms from 17 common and civil-law countries during the period of January 1985 to June 2008. I find that the cumulative abnormal returns decline over the deal order and it is more pronounced in civil-law countries than in common-law countries. There is also evidence that the premiums paid by acquirers from civillaw countries with a first successful acquisition are higher than those from common-law countries. These findings are consistent with agency problems and the hubris hypothesis, first introduced by Roll (1986). The second chapter examines the information links across futures markets in different nations, using Vector Autoregressive (VAR)-Dynamic Conditional Correlation (DCC) model. The data comprise a large set of commodity and financial futures traded in U.S., U.K., China, Japan, Canada, and Brazil during the period from August 1998 to December 2008. The primary finding is that market interactions are relatively high for commodities for which information production generally is more diverse (metal commodities), while moderate for commodities for which information is more concentrated (agricultural commodities). Furthermore, the strength and persistence of interactions among futures markets decline after excluding the most informative markets. These findings indirectly support the breadth of information being a relevant factor in the extent of information linkage. The results also indicate that the dynamic correlation in futures markets is high in most commodity and financial futures if there is a significant bi-directional return and volatility spillover. Additionally, I estimate a market’s contribution to the price discovery process. In general, the market that has a stronger price impact and a stronger volatility spillover tends to be the market that has greater contribution or leadership in price discovery.

When adjusted to sovereign entities, the structural credit risk model assumes a negative (positive) relationship between sovereign CDS spreads and stock prices (volatilities). In theory both markets are supposed to incorporate new information simultaneously. Discrepancies from the theoretical relationship can be exploited by capital structure arbitrageurs. In our thesis we study the intertemporal relationship between sovereign CDS and stock index markets in East Asia during the period of 2007 – 2011. We detect a negative (by and large positive) relationship between the Asian CDS spreads and stock indexes (volatilities). Across the whole region the sovereign CDS market dominates the price discovery process. However, 4 out of 7 Asian countries (Japan, Korea, Malaysia and the Philippines) demonstrate a feedback effect. The stock markets of countries with higher credit spreads (Indonesia, the Philippines and Korea) appear to react more severely at heightened variance in the CDS market. When considered separately for turbulent vs. calm periods, we find that the lead-lag relationship between the Asian sovereign CDS and stock markets is not stable. Apart from that, both markets become more interrelated during periods of increased volatility. The dependency of Asian CDS spreads and stock indexes on the “fear index” detected in the frames of robustness check implies an integration of both markets into the global one. Therefore, while seeking for arbitrage opportunities in the respective Asian markets one should also take into account possible influences of broader global factors.

Made available in DSpace on 2010-04-20T20:54:47Z (GMT). No. of bitstreams: 0 Previous issue date: 2002-02-27T00:00:00Z / Este trabalho trata do estudo da formação de preços no mercado de commodities brasileiro. O enfoque teórico fornecido pela Microstructure Theory foi utilizado juntamente com o instrumental econométrico da análise de cointegração por meio do método de Johansen. Os resultados demonstraram que o mercado brasileiro é tomador de preços. apesar de influenciar as cotações internacionais.

Made available in DSpace on 2010-04-20T20:58:06Z (GMT). No. of bitstreams: 3 DenisioAugustoLDelfino20042007.pdf.jpg: 11453 bytes, checksum: aa80c5c82fba73664fb61aa5b1a385fd (MD5) DenisioAugustoLDelfino20042007.pdf.txt: 118171 bytes, checksum: efc22da651bf354d0e820d4e5830bf61 (MD5) DenisioAugustoLDelfino20042007.pdf: 860877 bytes, checksum: 176c9b5aede2aba87c80d7594432985c (MD5) Previous issue date: 2007-04-20T00:00:00Z / The law of one price states that all identical assets, traded in different markets, must have only one price. In this dissertation, we aim to examine whether the Brazilian sovereign credit risk, traded in the international financial market, is priced similarly in the traditional bonds market as well as in the new and growing credit derivatives market. In addition to that, we make use of the Price Discovery analysis to study which of the two markets moves more rapidly in response to changes in the credit conditions in the Brazilian economy. As for the empirical analysis, we make use of time series econometrics, more specifically cointegration analysis and vector error correction. Our findings corroborate the theoretical prediction related to the law of one price, i.e., the Brazilian credit risk, either in the bonds market or in the credit derivatives market, move together in the long run. Our results also show that the majority of price discovery occurs in the credit derivatives market. / A lei do preço único afirma que o mesmo ativo negociado em diferentes mercados deve apresentar preços equivalentes. Este trabalho busca verificar se o risco de crédito soberano brasileiro negociado no mercado internacional é precificado de forma semelhante tanto nos tradicionais mercados de títulos quanto no novo e crescente mercado de derivativos de crédito. Adicionalmente, utiliza-se a análise de Price Discovery para examinar qual dos mercados se move mais rapidamente em resposta às mudanças nas condições de crédito da economia brasileira. A análise empírica é feita por meio de modelos de séries de tempo, mais especificamente análise de cointegração e vetor de correção de erros. Os resultados confirmam a predição teórica da lei do preço único de que o risco de crédito brasileiro, tanto nos mercados de títulos quanto no mercado de derivativos de crédito, movem-se juntos no longo prazo. Por fim, a maior parte do Price Discovery ocorre no mercado de derivativos de crédito.

The thesis analyses high frequency trading, specifically its main characteristics, which make it different from algorithmic trading. Furthermore, the thesis looks closer into major risks, which are new to market, and their impact on market quality and other investors. The next chapter is dedicated to trading strategies, which are typical for high frequency trading. In conclusion, there is discussed the impact on the market quality caused by high frequency trading, namely in terms of liquidity, volatility and price discovery.

This paper seeks to find whether the spectrum auctions in Sweden have been conducted efficiently and if there is a de facto model that suits all auctions. The efficiency is conditions that emphasise truthful bidding, price discovery and limits collusive behaviour. The paper compares three different auction models used in Sweden, a beauty contest used in the allocation of 3G spectrums, and the auction model selected for the upcoming 5G spectrum auction. The auction models are as follows: first and second-price sealed-bid auction, SMRA and CCA. We found that beauty contests should not be used in any spectrum allocation as it did not meet the criteria of efficiency outlined in this paper. The first-price sealed-bid auction is not a suitable format for spectrum auctions. According to the theory, it generates equivalent revenues on average as the second-price format, which shows a higher degree of efficient allocation. We found that depending on the blocks sold, both SMRA and CCA can result in somewhat efficient results, but they are not suitable for a single object auction. We found that no de facto auction format is suitable for every spectrum auction to be conducted in the future, but instead that the auction format is dependent on the characteristics of the individual auctions.