International Financial Markets

作     者：Hua, Wei 

作者单位：University of New Orleans 

学位级别：Ph.D.

导师姓名：Wei, Peihwang P.

授予年度：2012年

主      题：C u l t u r a l f a c t o r s , t r a d i n g v o l u m e , a b s o l u t e p r i c e , l a r 

摘      要：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. Key Words: Cultural factors, trading volume, absolute price, large price changes, overreaction, maturity effect