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Contact Information	Please send any questions regarding this item to libref@uno.edu
Title	Analyzing frequent acquires in emerging markets and futures markets linkage
Author	Al Rahahleh, Naseem
Document Type	Dissertation
Keywords	Frequent acquirers, hubris, agency problem, emerging markets, CAR, futures markets, breadth of information, price discovery, Dynamic Conditional Correlation,
Abstract	The first chapter of this dissertation examines the returns to frequent acquirers from emerging markets and analyzes the cross-country variations in cumulative abnormal returns. The sample consists of 5,147 transactions carried out by firms from 17 common and civil-law countries during the period of January 1985 to June 2008. I find that the cumulative abnormal returns decline over the deal order and it is more pronounced in civil-law countries than in common-law countries. There is also evidence that the premiums paid by acquirers from civillaw countries with a first successful acquisition are higher than those from common-law countries. These findings are consistent with agency problems and the hubris hypothesis, first introduced by Roll (1986). The second chapter examines the information links across futures markets in different nations, using Vector Autoregressive (VAR)-Dynamic Conditional Correlation (DCC) model. The data comprise a large set of commodity and financial futures traded in U.S., U.K., China, Japan, Canada, and Brazil during the period from August 1998 to December 2008. The primary finding is that market interactions are relatively high for commodities for which information production generally is more diverse (metal commodities), while moderate for commodities for which information is more concentrated (agricultural commodities). Furthermore, the strength and persistence of interactions among futures markets decline after excluding the most informative markets. These findings indirectly support the breadth of information being a relevant factor in the extent of information linkage. The results also indicate that the dynamic correlation in futures markets is high in most commodity and financial futures if there is a significant bi-directional return and volatility spillover. Additionally, I estimate a market’s contribution to the price discovery process. In general, the market that has a stronger price impact and a stronger volatility spillover tends to be the market that has greater contribution or leadership in price discovery.
Access	Unrestricted
Degree	Ph. D.
Degree Program	Financial Economics
Department	Dept. of Economics and Finance
Major Professor	Wei, Peihwang Philip
Advisory Committee	Krishnaswami, Sudha; Mukherjee, Tarun; Naka, Atsuyuki; Turunen-red, Arja H
Date Degree Awarded	2009-05-15; *
Format	PDF
URL	See 'reference url' on top or bottom navigation bars.
Rights	The University of New Orleans and its agents retain the non-exclusive license to archive and make accessible this dissertation or thesis in whole or in part in all forms of media, now or hereafter known. The author retains all other ownership rights to the copyright of the thesis or dissertation.
Object File Name	nd000775
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