Wei HuaFollow

Date of Award

Spring 5-2012

Degree Type

Dissertation

Degree Name

Ph.D.

Degree Program

Financial Economics

Department

Economics and Finance

Major Professor

Wei Peihwang P.

Abstract

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.

Rights

The University of New Orleans and its agents retain the non-exclusive license to archive and make accessible this dissertation or thesis in whole or in part in all forms of media, now or hereafter known. The author retains all other ownership rights to the copyright of the thesis or dissertation.

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