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Essays on relative pricing of securities.

机译：关于证券相对定价的论文。

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摘要

In this dissertation, I examine the relative pricing of securities traded on different markets to evaluate the impact of market microstructure features. My first essay "Single-Stock Futures: Evidence from the Indian Securities Market" examines the contribution of single stock futures (SSF) contracts in price discovery for individual stocks in the Indian market. The findings indicate that trades in the stock market contribute more to price discovery than trades in the SSF market (72% and 28%, respectively), while quotes in the SSF market are more price innovative than quotes in the stock market (39% and 61%, respectively). The analysis suggests that stock and SSF trade returns have predictive ability for each other. In case of quotes, only SSF quotes have predictive ability for stock and SSF returns.;My second essay "Settlement Differences and the Law of One Price" investigates the importance of settlement procedures by analyzing stocks traded on two Indian stock exchanges with differing settlement periods. The findings suggest that the differences in settlement periods cause stock prices to vary predictably between the two exchanges. The price difference is of the order of 0.25% and it is positively related to the cost of funds for arbitrageurs. The result has implications for the relative pricing of securities such as derivatives and depositary receipts, which trade under different settlement procedures compared to their underlying securities.;My third essay "Small Trades and ADR Premiums: The Case of Indian ADRs" examines the impact of small trades on Indian ADR prices relative to the underlying stock. These ADRs trade at significant premiums that cannot be arbitraged due to Indian government regulations. The findings suggest that ADR premiums are positively related to order-imbalance of small ADR trades. The premiums associated with small trades are reversed in two weeks. Also, premiums are negatively related to the volatility implied by S&P500 index option prices (VIX).;My fourth essay "Impact of Liquidity on the Futures-Cash Basis: Evidence from the Indian Market" examines the relationship between liquidity measures and the futures-cash basis. Using daily data on the NYSE index and related futures contracts, Roll, Schwartz, and Subrahmanyam (2007) document two-way Granger causality between the futures-cash basis and the bid-ask spreads for stocks. This essay uses intra-day data on single stock futures (SSF) contracts on Indian stocks and also considers the spread on the futures contracts. While spreads in both the futures and cash markets affect futures-cash basis, the futures-cash basis Granger-causes only the bid-ask spreads for SSFs but not the stocks.
机译：本文研究了在不同市场上交易的证券的相对价格，以评估市场微观结构特征的影响。我的第一篇文章“单一股票期货：来自印度证券市场的证据”探讨了单一股票期货（SSF）合约在印度市场中单个股票价格发现中的作用。调查结果表明，股票市场的交易对价格发现的贡献比SSF市场的交易（分别为72％和28％）更多，而SSF市场的报价比股票市场的报价更具创新性（39％和29％）。分别为61％）。分析表明，股票和SSF的贸易回报对彼此具有预测能力。对于报价，只有SSF报价才具有股票预测和SSF回报的预测能力。；我的第二篇文章“结算差异和一价定律”通过分析在两个印度证券交易所交易的股票具有不同的结算期来研究结算程序的重要性。 。研究结果表明，结算期的差异导致两家交易所之间的股票价格发生可预测的变化。价格差约为0.25％，与套利者的资金成本成正比。结果对衍生品和存托凭证等证券的相对定价产生了影响，与相关证券相比，它们在不同的结算程序下进行交易。我的第三篇文章“小额交易和ADR溢价：印度ADR的案例”探讨了印度ADR价格相对于基础股票的小额交易。这些ADR交易的溢价很大，由于印度政府法规的影响，无法套利。研究结果表明，ADR溢价与小额ADR交易的订单失衡呈正相关。与小额交易有关的保费在两周内被冲销。此外，溢价与S＆P500指数期权价格（VIX）所隐含的波动性负相关。我的第四篇文章“流动性对期货-现金基础的影响：来自印度市场的证据”探讨了流动性度量与期货之间的关系，现金基础。 Roll，Schwartz和Subrahmanyam（2007）使用纽约证交所指数和相关期货合约的每日数据，记录了期货现金基础与股票买卖价差之间的双向格兰杰因果关系。本文使用有关印度股票的单一股票期货（SSF）合约的当日数据，并考虑了期货合约的价差。尽管期货和现货市场的价差都会影响期货现金基础，但期货现金基础Granger只会导致SSF的买卖价差，而不会导致股票。

著录项

  • 作者

    Kumar, Umesh.;

  • 作者单位

    The University of Texas at San Antonio.;

  • 授予单位 The University of Texas at San Antonio.;
  • 学科 Business Administration General.
  • 学位 Ph.D.
  • 年度 2009
  • 页码 148 p.
  • 总页数 148
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 贸易经济;
  • 关键词

  • 入库时间 2022-08-17 11:38:25

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