Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.793944
Title: Three essays in international financial economics
Author: Johannsen, Kolja
ISNI:       0000 0004 8497 9454
Awarding Body: University of Warwick
Current Institution: University of Warwick
Date of Award: 2018
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Abstract:
This thesis consists of three papers on different topics on international financial markets. The first paper provides insights into the dynamics of decreasing asset prices. I show how preferences in line with cumulative prospect theory can explain the temporary reversal of the downward trend also know as dead cat bounce or bear market rally. The second paper in this thesis focuses on the dynamics of multi-venue trading. Departing from a new theoretical framework, I develop a novel measure of price discovery. I show the properties of the Toxic Arbitrage Information Share using simulations and a set of foreign exchange futures. The third paper analyses the connection between foreign ownership and currency risk. I find that investors use stocks' FX exposure in order to implicitly hedge currency risk. Furthermore, there is no evidence that domestic investors and foreign investor should hold identical portfolios.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.793944  DOI: Not available
Keywords: HG Finance
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