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Three essays in international financial economics

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Johannsen, Kolja (2018) Three essays in international financial economics. PhD thesis, University of Warwick.

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Official URL: http://webcat.warwick.ac.uk/record=b3429016~S15

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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.

Item Type: Thesis or Dissertation (PhD)
Subjects: H Social Sciences > HG Finance
Library of Congress Subject Headings (LCSH): International finance, Markets, Foreign exchange futures, Investments, Foreign
Official Date: September 2018
Dates:
DateEvent
September 2018UNSPECIFIED
Institution: University of Warwick
Theses Department: Warwick Business School
Thesis Type: PhD
Publication Status: Unpublished
Supervisor(s)/Advisor: Moore, Michael J., 1953 November 28- ; Kozhan, Roman, 1980-
Format of File: pdf
Extent: x, 188 leaves : charts
Language: eng

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