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Essays on behavioral finance and market microstructure

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TypeOfResource
Text
TitleInfo
Title
Essays on behavioral finance and market microstructure
Identifier (displayLabel = ); (invalid = )
ETD_2026
Identifier (type = hdl)
http://hdl.rutgers.edu/1782.2/rucore10001600001.ETD.000051868
Language (objectPart = )
LanguageTerm (authority = ISO639-2); (type = code)
eng
Genre (authority = marcgt)
theses
Subject (ID = SBJ-1); (authority = RUETD)
Topic
Economics
Subject (ID = SBJ-2); (authority = ETD-LCSH)
Topic
Investments--Decision making
Subject (ID = SBJ-3); (authority = ETD-LCSH)
Topic
Efficient market theory
Subject (ID = SBJ-4); (authority = ETD-LCSH)
Topic
Stock exchanges
Abstract
This dissertation is comprised of three essays that study behavioral finance and market microstructure.
The first essay models a game of individual day traders' interactions in a stock trading chat room and empirically tests the model's conclusions. Trading behaviors are analyzed in an Internet chat room with free entry but secure identity, and traders' interactions are modeled as a dynamic game with informed traders, momentum traders, arbitragers and noise traders. Three empirical predictions are generated in the model's equilibrium. The unique data set consists of stock trading chat room posts of more than 1,000 individual semi-professional day traders and their interactions and transactions are investigated in a time series. All the three predictions from the model's equilibrium are affirmed by empirical tests.
The second essay assesses the effects of the entire limit order book and analyzes the market impacts of the quotes in the Shanghai and Shenzhen Stock Exchange in China, where the stock market has a pure order-driven trading mechanism without market makers. Firstly, in the empirical modeling the limit order books, the structural vector autoregressive model of Hasbrouck (1991) is used and extended to incorporate more information beyond the inside quotes. Secondly, the market impact of stocks is also analyzed cross sectionally with market capitalization, tick frequency, turnover, average price, etc. Finally, the market impacts and order imbalance of small trades are distinguished. Small trades, usually linked with individual investors, have proportionally small market impact. Besides, the volume-weighted daily order imbalances of small trades and next-day's and contemporaneous daily returns are negatively related with each other. This is in accordance with the 'pain theory' of the individual traders.
The third essay investigates microstructure characteristics of the Credit Default Swap (CDS) market. During the sample period, April 2006 -- March 2008, CDS are traded on the over-the-counter (OTC) market, through brokers' voice-based or electronic-based systems. The study analyzes CDS spread, trade-to-quote ratio, bid-ask spread, the frequency that the orders fall between the quotes, and the relationship between the order imbalance and the daily change of CDS spread.
PhysicalDescription
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electronic resource
Extent
xiii, 141 p. : ill.
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application/pdf
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text/xml
Note (type = degree)
Ph.D.
Note (type = bibliography)
Includes bibliographical references (p. 137-140)
Note (type = statement of responsibility)
by Jie Lu
Name (ID = NAME-1); (type = personal)
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Lu
NamePart (type = given)
Jie
NamePart (type = date)
1979-
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author
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Jie Lu
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Mizrach
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Bruce
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chair
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Advisory Committee
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Bruce Mizrach
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McLean
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Richard
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internal member
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Advisory Committee
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Richard McLean
Name (ID = NAME-4); (type = personal)
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Campbell
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Collin
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internal member
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Advisory Committee
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Collin Campbell
Name (ID = NAME-5); (type = personal)
NamePart (type = family)
Chung
NamePart (type = given)
Huimin
Role
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outside member
Affiliation
Advisory Committee
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Huimin Chung
Name (ID = NAME-1); (type = corporate)
NamePart
Rutgers University
Role
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degree grantor
Name (ID = NAME-2); (type = corporate)
NamePart
Graduate School - New Brunswick
Role
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school
OriginInfo
DateCreated (point = ); (qualifier = exact)
2009
DateOther (qualifier = exact); (type = degree)
2009-10
Place
PlaceTerm (type = code)
xx
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TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier (type = RULIB)
ETD
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TitleInfo
Title
Graduate School - New Brunswick Electronic Theses and Dissertations
Identifier (type = local)
rucore19991600001
Location
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NjNbRU
Identifier (type = doi)
doi:10.7282/T36973QC
Genre (authority = ExL-Esploro)
ETD doctoral
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Rights

RightsDeclaration (AUTHORITY = GS); (ID = rulibRdec0006)
The author owns the copyright to this work
Copyright
Status
Copyright protected
Notice
Note
Availability
Status
Open
Reason
Permission or license
Note
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Name
FamilyName
Lu
GivenName
Jie
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Copyright holder
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Permission or license
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DateTime
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Name
Jie Lu
Affiliation
Rutgers University. Graduate School - New Brunswick
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License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
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ETD
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application/pdf
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application/x-tar
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