Three Essays on Financial Markets

Abstract

This thesis consists of three essays, representing my attempts to understand more about the characteristics of financial markets. In the first essay, the conditional time-varying currency betas from five developed and six emerging financial markets are examined. We employ a tri-variate asymmetric BEKK-type GARCH-in-Mean(MGARCH-M) approach to estimate the time-varying conditional variance and covariance of returns of stock market index, the world market portfolio and bilateral exchange rate between the US dollar and the local currency. In the second essay, we investigate the possible presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China?s stock markets and those of the U.S. in a bi-variate asymmetric DCC-MGARCH framework. The third essay examines the microstructure of A-shares in the Chinese stock market. It?s found that rounded trade sizes are more likely to be followed by another rounded trade size.