Jump-Diffusion processes capture the standardized empirical statistical features of interest rate dynamis, thus providing an improved setting to overcome some of the mispricing of derivative securities that arises with the extensively develped pure diffusion models. A combination of...

The efficiency of capital markets is largely attributable to an effective information network that exists among market participantsthat include fund managers, analysts, and investors. The role of many market participants is to improve the flow of information to assist the market in becoming...

Financial markets are becoming increasingly complex, volatile and uncertain in light of the recent financial crisis. Markets are characterised by a variety of anomalies and stylised facts that pose challenges to the traditional asset pricing theory, where market is represented by a single agent...

The thesis is focused on the phenomenon of the cross–currency swap and tenor swap basis spread in foreign exchange (FX) and interest rate markets, which contradicts textbook no arbitrage conditions and has become an important feature of these markets since the beginning of the Global Financial...

This thesis investigates firms with patterns of repeated cash dividend increases to answer two research questions. First, are firms rewarded for this particular type of dividend policy, and second, is there any evidence to support the hypothesis that the stock market learns to anticipate a...

With growing populations, the size of economies, and technological innovations, financial markets are increasingly becoming larger, more diverse, complicated, and volatile. Shocks from one market can propagate very quickly to other markets, as we saw with the global financial crisis (GFC) and...

While enhancing market quality has always been an important goal, this challenge has taken on even greater significance with increasing competition between securities markets both nationally and internationally. This thesis examines the influence of several key market design features on the...

Default correlations have been an important research area in credit risk analysis. This thesis aims to extend the one-firm structural model of default to the two-firm situation for valuing default correlations. In the structural approach, default happens when the firm value falls below a default...

This thesis contains three papers that examine various issues pertaining to the market structure and trading processes on the Singapore Exchange (SGX). Through the use of proprietary data from SGX, each paper addresses a unique area that is often overlooked in literature but is a well-documented...

This thesis examines the forecastability of exchange rates in the presence of trend breaks. In particular, its focus is the predictive power of the interest rate differential for the exchange rate. Chapter 1 is the Introduction to the thesis. In this Chapter, I briefly review the relevant...