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Market Timing, Forecast Ability and Information Flow in Petroleum Futures Markets
Three petroleum futures contracts are examined over a ten-year period from 1986 to 1996. Intertemporal changes in futures prices and the net open interest positions of three trader types are compared to determine what, if any, market timing ability the traders have. Seasonal variation is considered and a simple trading rule is adopted to determine the dollar-return potential for market participation and shed light on issues of market efficiency.
Date:
December 1997
Creator:
Buchanan, William K.
System:
The UNT Digital Library
Three Essays in Business Failure
This dissertation consists of three essays exploring market reactions to business failure. In the first essay, the filing strategies are divided into three basic types, voluntary, involuntary and prepackaged. The second essay provides insight into industry wide factors impacting assimilation of information by the market. The third essay provides a view of the GARCH-M model in measuring a risk premium as a firm approaches bankruptcy.
Date:
May 1997
Creator:
Theis, John D. (John Dennis)
System:
The UNT Digital Library