Essays on asset pricing and international finance : (the) risk premium in the futures markets = 자산 가격 결정 및 국제 금융 연구 : 선물 시장의 리스크 프리미엄에 대해 (the) risk premium in the futures markets

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In this study, I study futures markets with respect to empirical asset pricing and international finance. In the first essay, I show that short-term funding liquidity risk in the Chinese interbank system affects global commodity markets. To circumvent capital controls, investors in China import commodities, collateralize them, and invest in high-yielding shadow banking products. I examine how the risk of the shadow banking products affects commodity markets. Specifically, due to maturity mismatch problems of these products, I focus on funding liquidity risk. I find the strong empirical support that this liquidity risk affects commodities futures risk premiums. Moreover, I show, as expected, that this impact is stronger for metal commodities as they are better suited as collateral. In the second essay, I re-examine the time series momentum anomaly in order to resolve several issues raised in a previous study. I first find that there is a significant and economically meaningful time series momentum anomaly regardless of the volatility scaling method. I also show that the anomaly exists even after considering the characteristics of diversified futures markets and more factors. Lastly, I show that the time series momentum has continued to show this anomaly in recent years.
Advisors
Kim, Jiheeresearcher김지희researcher
Description
한국과학기술원 :기술경영학부,
Publisher
한국과학기술원
Issue Date
2018
Identifier
325007
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 기술경영학부, 2018.8,[iii, 79 p. :]

Keywords

Asset pricing▼afutures pricing▼ainternational financial markets▼acommodity markets▼achinese interbank markets▼achinese shadow banking systems▼amaturity mismatch risk▼atime series momentum▼avolatility scaling; 자산 가격 결정▼a선물 가격 결정▼a국제 금융 시장▼a원자재 시장▼a중국 은행▼a중국 그림자 금융▼a만기불일치 위험▼a시계열 모멘텀▼a변동성 비례법

URI
http://hdl.handle.net/10203/264590
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=827862&flag=dissertation
Appears in Collection
MG-Theses_Ph.D.(박사논문)
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