首页> 外文OA文献 >Three Essays On Market Efficiency: Global Price Leadership, Informal Parallel Markets, And Market Microstructure
【2h】

Three Essays On Market Efficiency: Global Price Leadership, Informal Parallel Markets, And Market Microstructure

机译:关于市场效率的三篇论文:全球价格领导,非正式平行市场和市场微观结构

代理获取
本网站仅为用户提供外文OA文献查询和代理获取服务,本网站没有原文。下单后我们将采用程序或人工为您竭诚获取高质量的原文,但由于OA文献来源多样且变更频繁,仍可能出现获取不到、文献不完整或与标题不符等情况,如果获取不到我们将提供退款服务。请知悉。

摘要

This dissertation tackles the concept of market efficiency from three distinct topics in applied economics, from microfinance, to agriculture commodity market, and further to market microstructure of the most advanced economy. The first essay, entitled "Market Efficiency and Price Discovery Among Leading Rice Exporting Countries", focuses on the issue of rice market efficiency. The study establishes, under Johansen's procedure, that there are long-run price co-movements existing among the three major rice-exporting countries, and within the United States domestic markets, the long-run efficient linkage between spot and future prices of rough rice, as Chicago Board of Trade rough rice futures converge to United States Department of Agriculture rough rice prices in a cash market. Regarding the efficiency among the export market prices, results show that the hypothesis of market efficiency are rejected in two of the three pairs, namely Thai-Vietnam and ThaiUS(Arkansas). The Gonzalo & Granger (1995) decomposition method finds that the Thai and United States rice are dominant in the price discovery process. Within the United States domestic markets, the dominant is the futures market followed by the cash market of the rough rice and then the milled rice export price. The second essay, entitled "Determinants for Formal Credit and Informal Credit Access: The Case of Thai Farm Households", examines determinants for Thai agricultural households' participation in formal and its informal parallel credit markets. The study follows Heckman's two-stage selection model (1979) approach to determine the informal loan participation of Thai agricultural households. Results reveal that households tend to 'stick' to the credit market in which they were previously engaged. This finding reinforces the vicious cycle which makes it more difficult for farmers to get out of debt. Secondly, the study finds that wealthier households are less likely to access credit, and are more likely to participate in formal credits than their less wealthy peers. Results also show less probability of credit access between May and December coinciding with the planting and harvesting season accentuating the nature of loans as working-capital rather than consumption loans. Finally, the study discovers that households with owned farmland are more likely to participate in the formal credit market, while households with rented farmland are more likely to participate in the informal credit market stressing the use of owned land as collateral to participate in the former. The final essay, entitled "On the Challenge of Testing Weak-Form Market Efficiency using High Frequency Data", explores the issue of efficiency in microstructure of the Exchange-Traded-Fund (ETF). This essay shows that the profitability of a simple technical trading strategy hinges heavily on the way the Trades And Quotes (TAQ) dataset is filtered for mistakes and outliers. This paper uses ultra-high-frequency TAQ data that cover the time-span since the inception of the S&P 500 ETF from January 1993 to December 2006. First, a widely used filtering methodology proposed by Hasbrouck (2003) is adopted. Under this methodology, the technical trading strategy clearly outperforms the buy-and-hold benchmark. However, when a more appropriate (stringent) filtering methodology is used, the technical trading strategy clearly underperforms the buy-and-hold benchmark. This evidence suggests that studies that based their methodology on Hasbrouck's (2003) less stringent filtering criterion could produce misleading results.
机译:本文从应用经济学的三个不同主题出发,从小额信贷到农业商品市场,再到最先进经济体的市场微观结构,论述了市场效率的概念。第一篇论文的标题为“主要稻米出口国的市场效率和价格发现”,重点是稻米市场效率的问题。该研究根据约翰森的程序确定,三个主要大米出口国之间存在长期价格联动,在美国国内市场内,糙米现货价格与未来价格之间存在长期有效的联系。 ,随着芝加哥交易委员会的糙米期货在现金市场上收敛到美国农业部的糙米价格。关于出口市场价格中的效率,结果表明,市场效率假说在泰国对越南和泰国对美国(阿肯色州)这三个对中有两个被拒绝了。 Gonzalo&Granger(1995)的分解方法发现,泰国和美国大米在价格发现过程中占主导地位。在美国国内市场中,主要的是期货市场,其次是粗米的现货市场,然后是精米的出口价格。第二篇名为“正式信贷和非正式信贷获取的决定因素:泰国农户的案例”的文章探讨了泰国农户参与正式和非正式平行信贷市场的决定因素。该研究遵循Heckman的两阶段选择模型(1979)方法来确定泰国农业家庭的非正式贷款参与。结果显示,家庭倾向于“坚持”他们先前参与的信贷市场。这一发现加剧了恶性循环,使农民更加难以摆脱债务。其次,研究发现,较富裕的家庭相比,较富裕的家庭更不可能获得信贷,更可能参与正式信贷。结果还显示,5月至12月之间信贷获取的可能性较小,这与播种和收割季节相吻合,这突显了贷款作为流动资金而非消费贷款的性质。最后,该研究发现拥有耕地的家庭更有可能参与正式的信贷市场,而拥有租赁耕地的家庭则更有可能参与非正式的信贷市场,并强调使用拥有土地作为抵押物来参与前者。最后一篇文章名为“使用高频数据测试弱形式市场效率的挑战”,探讨了交易所交易基金(ETF)微观结构效率的问题。本文表明,简单的技术交易策略的获利能力很大程度上取决于对交易和报价(TAQ)数据集进行错误和离群值过滤的方式。本文使用自1993年1月至2006年12月S&P 500 ETF成立以来涵盖时间跨度的超高频TAQ数据。首先,采用了Hasbrouck(2003)提出的广泛使用的过滤方法。在这种方法下,技术交易策略明显优于买入和持有基准。但是,当使用更合适的(严格)过滤方法时,技术交易策略显然不如买入和持有基准。该证据表明,基于Hasbrouck(2003)不太严格的过滤标准的研究可能会产生误导性的结果。

著录项

  • 作者

    Tanompongphandh Thanasin;

  • 作者单位
  • 年度 2011
  • 总页数
  • 原文格式 PDF
  • 正文语种 en_US
  • 中图分类

相似文献

  • 外文文献
  • 中文文献
  • 专利

客服邮箱:kefu@zhangqiaokeyan.com

京公网安备:11010802029741号 ICP备案号:京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有
  • 客服微信

  • 服务号