Doctor of Philosophy
School of Accounting, Economics and Finance
This thesis presents three sets of analyses focused on market quality and price discovery in derivatives markets. Specifically, this thesis investigates the impact of macroeconomic information releases and asymmetric information on market quality and price discovery in futures and swap markets. The findings in this thesis addresses a number of important issues in the current literature which are of great importance for market participants, regulators and exchanges. This thesis provides a deeper understanding on the role of trading breaks in futures markets on information sensitive days, information flows across interest rate swap and futures markets on macroeconomic announcement days and the role of High Frequency Traders (HFTs) in influencing market quality around information releases.
Santana, Michael Garcia, The Impact of Macroeconomic Information Releases and Information Asymmetry on Market Quality and Price Discovery in Modern Derivatives Markets, Doctor of Philosophy thesis, School of Accounting, Economics and Finance, University of Wollongong, 2019. https://ro.uow.edu.au/theses1/630
Unless otherwise indicated, the views expressed in this thesis are those of the author and do not necessarily represent the views of the University of Wollongong.