In a seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase as futures contract approaches maturity. This study provides new evidence on the maturity effect by examining a more extensive set of futures contracts than previous studies and...

The first chapter of this dissertation examines the returns to frequent acquirers fromemerging 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-lawcountries during the period...

This dissertation examines the impact of a reduction in the minimum price increment on market quality and price impact in the 3 Year Commonwealth Treasury Bond Futures contract. Prior to the tick size reduction, the minimum tick was one basis point. However, as of December 15, 2006, the minimum...

This dissertation examines the implicit cost of trading in money and futuresmarkets. The research provides empirical evidence on several issues ofsignificance to the growing number of institutional investors in these markets.I address four unique research questions with scarce or conflicting...

We study the difference in the volatility dynamics of CBOT corn, soybeans, and oatsfutures prices across different delivery horizons via the smoothed Bayesian estimatorof Karali, Dorfman, and Thurman (2010). We show that the futures price volatilitiesin these markets are affected by the...

The commodity bull cycle of 2006-2008 and subsequent dramatic price decline have been asource of hardship for traditional commodity market participants such as producers andmerchant/shippers. The usefulness of futures markets has been called into question, especiallygiven that some market...

Replaced with revised version of paper 02/10/10.

One of the measures of future markets’ efficiency is its linkagewith the spot market. The objective of this paper is to verify the existenceof a statistical linkage between spot market and the Brazilian Mercantile& Future Exchange (BM&F) live cattle future market and between spotmarket and the...

In a seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase as futures contract approaches maturity. This study provides new evidence on the maturity effect by examining a more extensive set of futures contracts than previous studies and...

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...