東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Three Essays on Financial Markets.

Zhang, Tianyang.

Linked to FindBook

Google Book

Amazon

博客來

Three Essays on Financial Markets.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Three Essays on Financial Markets./
Author:	Zhang, Tianyang.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2020,
Description:	110 p.
Notes:	Source: Dissertations Abstracts International, Volume: 82-01, Section: A.
Contained By:	Dissertations Abstracts International82-01A.
Subject:	Economics. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=27833742
ISBN:	9798662378087

Three Essays on Financial Markets.
Zhang, Tianyang.

Three Essays on Financial Markets. - Ann Arbor : ProQuest Dissertations & Theses, 2020 - 110 p.

Source: Dissertations Abstracts International, Volume: 82-01, Section: A.

Thesis (Ph.D.)--Iowa State University, 2020.

This item must not be sold to any third party vendors.

This dissertation focuses on the financial markets including stock markets, commodity futures and options markets.Chapter 2 studies the trading activity in commodity futures and options markets. Little is known about trading activity in commodity options market. We study the information content of commodity futures and options trading volume. Time-series tests indicate that futures contracts in a portfolio with the lowest options-to-futures volume ratio (O/F) outperform those in a portfolio with the highest ratio by 0.3% per week. Cross-sectional tests show that O/F has higher predictive power for futures returns than such traditional risk factors as the carry, momentum, and liquidity factors. O/F has longer predictive horizon for post-announcement returns than the information contained in the monthly World Agricultural Supply and Demand Estimates (WASDE) reports. The analysis of the weekly Commitments of Traders (COT) reports indicates that commercials (hedgers) provide liquidity to non-commercials (speculators) in short-term in commodity options market.Chapter 3 explores what kinds of information can explain the USDA forecast errors in crop ending stocks. In the empirical analysis using Markov Chain Monte Carlo (MCMC) method, we find that the futures basis, level of monthly ending stocks, and level of planted area are significant to explain the forecast errors. The out of sample test is employed and the adjusted forecasts improve the forecast accuracy of crop ending stocks.Chapter 4 investigates the liquidity effect in Chinese stock market using an asset pricing model. The empirical results show that liquidity has a significant effect on stock returns and the liquidity premium exists in Chinese stock market. However, neither CAPM nor Fama French three-factor model can explain the liquidity premium. We propose a new two-factor (market and liquidity) model in which the liquidity factor captures two dimensions of liquidity. The two-factor model performs well in explaining the liquidity premium. Furthermore, unlike CAPM and Fama-French three-factor model, the two-factor model is able to explain the size effect in Chinese stock market.

ISBN: 9798662378087Subjects--Topical Terms:

517137
Economics.
Subjects--Index Terms:

Commodity futures

Three Essays on Financial Markets.
LDR:03389nmm a2200397 4500 001 2277298
005 20210521101651.5
008 220723s2020 ||||||||||||||||| ||eng d
020 $a 9798662378087
035 $a (MiAaPQ)AAI27833742
035 $a AAI27833742
040 $a MiAaPQ $c MiAaPQ
100 1 $a Zhang, Tianyang. $3 3432625
245 1 0 $a Three Essays on Financial Markets.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2020
300 $a 110 p.
500 $a Source: Dissertations Abstracts International, Volume: 82-01, Section: A.
500 $a Advisor: Lence, Sergio H.;Zhylyevskyy, Oleksandr.
502 $a Thesis (Ph.D.)--Iowa State University, 2020.
506 $a This item must not be sold to any third party vendors.
520 $a This dissertation focuses on the financial markets including stock markets, commodity futures and options markets.Chapter 2 studies the trading activity in commodity futures and options markets. Little is known about trading activity in commodity options market. We study the information content of commodity futures and options trading volume. Time-series tests indicate that futures contracts in a portfolio with the lowest options-to-futures volume ratio (O/F) outperform those in a portfolio with the highest ratio by 0.3% per week. Cross-sectional tests show that O/F has higher predictive power for futures returns than such traditional risk factors as the carry, momentum, and liquidity factors. O/F has longer predictive horizon for post-announcement returns than the information contained in the monthly World Agricultural Supply and Demand Estimates (WASDE) reports. The analysis of the weekly Commitments of Traders (COT) reports indicates that commercials (hedgers) provide liquidity to non-commercials (speculators) in short-term in commodity options market.Chapter 3 explores what kinds of information can explain the USDA forecast errors in crop ending stocks. In the empirical analysis using Markov Chain Monte Carlo (MCMC) method, we find that the futures basis, level of monthly ending stocks, and level of planted area are significant to explain the forecast errors. The out of sample test is employed and the adjusted forecasts improve the forecast accuracy of crop ending stocks.Chapter 4 investigates the liquidity effect in Chinese stock market using an asset pricing model. The empirical results show that liquidity has a significant effect on stock returns and the liquidity premium exists in Chinese stock market. However, neither CAPM nor Fama French three-factor model can explain the liquidity premium. We propose a new two-factor (market and liquidity) model in which the liquidity factor captures two dimensions of liquidity. The two-factor model performs well in explaining the liquidity premium. Furthermore, unlike CAPM and Fama-French three-factor model, the two-factor model is able to explain the size effect in Chinese stock market.
590 $a School code: 0097.
650 4 $a Economics. $3 517137
650 4 $a Economic theory. $3 1556984
650 4 $a Finance. $3 542899
653 $a Commodity futures
653 $a Commodity options
653 $a Ending stocks
653 $a Liquidity effect
653 $a Stock market
653 $a Trading volume
653 $a Options-to-futures volume ratio
690 $a 0501
690 $a 0511
690 $a 0508
710 2 $a Iowa State University. $b Economics. $3 1033976
773 0 $t Dissertations Abstracts International $g 82-01A.
790 $a 0097
791 $a Ph.D.
792 $a 2020
793 $a English
856 4 0 $u https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=27833742