Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.580136
Title: Three essays examining price movements of futures contracts traded in China
Author: Zhang, Ren
Awarding Body: Queen's University Belfast
Current Institution: Queen's University Belfast
Date of Award: 2012
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Abstract:
This thesis focuses on price movements of the futures contracts traded in China's futures market. Particularly, it investigates the distributional characteristics of futures returns, analyzes the causes of volatility and the effects of structural changes on price evolution, as well as the interplay between volatility and futures trading activity. The investigation is implemented in three essays. In the first essay, the stable Paretian model is employed to examine the properties of the futures series. For estimating the parameters in the stable Paretian model, the stability under additions test developed by McCulloch (1986) is adopted. As a refinement, the GARCH-M model is used to filter the anomalies which cause volatility in the raw returns. The robustness of the filtering process can be examined by testing the rescaled returns. In the second essay, the effect of historical events is analyzed by estimating multiple structural breaks in two MDH regressions for operational time. The structural breaks are estimated by computing the global minimisers of the sum of squared residuals (RSS) with the sequential process. The number of break points is selected based on the Bayesian Information Criterion (BIC). The third essay investigates the interactional relationship between price volatility and futures trading activity. The futures trading activity is decomposed into expected and unexpected elements which represent speculators' trading behavior and hedgers' trading behavior, The GMM model is used to examine the contemporaneous relationship between volatility and "entire-market" trading activity, as well as the interdependence between volatility and speculators' and hedgers' activity. The Granger causality test is employed to discover the direction of the causation between variables.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.580136  DOI: Not available
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