Empirical studies in international financial markets.

摘要

My dissertation investigates the market dynamics in international financial markets with particular reference to futures markets. It contains three chapters.;The first chapter examines the effect of the introduction of a competing Eurodollar futures contract by the London International Financial Futures and Options Exchange. We compare trading volume, effective spread, and price discovery in Eurodollar futures at the Chicago Mercantile Exchange before and after the London exchange began trading the same contract. We find that the Chicago Mercantile Exchange took measures that aided in the shift of trading volume from open outcry to its electronic trading platform, Globex, in response to this challenge. The London exchange did not succeed in capturing the market share in Eurodollar futures. Our research thus supports the global trend of conversion of traditional open outcry systems into electronic exchanges.;The second chapter explores the dynamics of price discovery between the Dow Jones Industrial Average (DJIA) index and its three derivative products: the DIAMOND exchange-traded fund (ETF), the floor-traded regular futures, and the electronically traded mini futures. Even though the American Stock Exchange is the primary listing exchange for the ETF, the analysis indicates that the electronically traded ETF on the Archipelago (ArcaEx) electronic communications network dominates the price discovery process for DIAMOND shares. The results indicate that multi-market trading ensures greater pricing efficiency. Informed traders favor electronic trading because of immediate and anonymous trade execution.;The third chapter examines the market dynamics in energy futures markets after the introduction of the corn-based ethanol futures contract in the U.S. in March 2005. The study compares the trading volume, the effective spread, and the price discovery between the ethanol futures launched by the Chicago Board of Trade and the unleaded gasoline and crude oil futures that trade on the New York Mercantile Exchange. The trading volume in ethanol has been at the most modest with a steady growth in open interest. Despite the low trading volume, the results indicate that the ethanol futures offer the lowest transaction cost and the most efficient mechanism of price discovery for market participants especially during periods of high volatility.