Date of Award

Spring 5-17-2013

Degree Type


Degree Name


Degree Program

Financial Economics


Economics and Finance

Major Professor

Wei, Peihwang

Second Advisor

Davis, Ronnie James

Third Advisor

Naka, Atsuyuki

Fourth Advisor

Turunen-Red, Arja

Fifth Advisor

Whitney, Gerald


This dissertation consists of two essays: the first investigates informed trading in the Chinese stock exchanges, and the second examines the persistency of correlation of currency future prices.

For the first essay, using a sample of Chinese firms dual-listed in both the China mainland stock exchange and the Hong Kong stock exchange, I investigate the two types of informed trading - insider trading and trading derived from better analysis in the A-and H-share markets. The results suggest that H-shares have relatively more informed trading based on better analysis. In addition, the results from the firm size regression can also be seen as indirect evidence that larger firms tend to have trading with better analysis and less insider trading. These patterns are also confirmed in the sub-period analysis. However, I find no significant relation between informed trading and the relative pricing of A- and H-shares.

For the second essay I examine the dynamic correlation between currency futures prices, focusing on the persistency of correlation of currency prices. Using the Dynamic Conditional Correlation model developed by Engle (2002), this study incorporates time-varying correlations into the analysis. The sample includes eight currency futures traded on the Chicago Mercantile Exchange from 1999 to 2008 and the U.S. dollar index future. The study finds that the Canadian dollar has the greater persistency while the Brazilian real has the weakest. No less important, the study finds that the time-varying conditional correlation between currency futures and the U.S. dollar futures is influenced by two types of liquidity: price impacts (Amihud illiquidity) and the logarithm of trading volume.


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.