Electronic Theses and Dissertations

Date

2024

Document Type

Dissertation

Degree Name

Doctor of Philosophy

Department

Business Administration

Committee Chair

Jeffrey Black

Committee Member

Pankaj Jain

Committee Member

David Kemme

Committee Member

Shawn McFarland

Abstract

In Essay 1, I examine intraday volatility spillover, market share, and information share of LETFs relative to unlevered ETFs. LETFs’ market share increases with increasing volatility, indicating that traders amplify aggregate risks arising from leverage and volatility. Moreover, price discovery of LETFs increases on volatile days, suggesting that advantageous macroeconomic information allows them to simultaneously partake in both risks. Market makers widen LETF spreads to compensate for this adverse selection. LETFs information share of 13% is 2.7 times their market share. In essay 2, I document a decline in volume, market share, and volatility of the affected currency pairs following Binance’s ban on margin trading. Interestingly, I find that Binance’s information share of the affected currencies increased after the ban, and the proportion of information share-to-market share increased following the announcement of the ban (even though information share did not change until the ban itself), suggesting margin trading bans may reduce volatility from noise trading while increasing informed trading on a particular venue. In essay 3, I examine conditional volatility dynamics for cryptocurrencies across five leading exchanges. I find that most of the cryptocurrencies exhibit shock transmission effects for shorter lags. More importantly, for the top 12 cryptocurrencies, multivariate BEKK GARCH model analysis suggests evidence of bi-directional ‘persistent’ volatility spillover across the leading exchanges and cryptocurrencies. However, for the top two coins in the market, Bitcoin and Ethereum, I find evidence that only Ethereum has persistent volatility spillover effects on Bitcoin volatility, while the spillover from the other direction is mixed. I also find evidence that the degree of spillover persistence does not depend on cryptocurrency liquidity. Finally, most of the coins exhibit the existence of positive correlations and time-varying conditional correlations.

Comments

Data is provided by the student.

Library Comment

Dissertation or thesis originally submitted to ProQuest

Notes

Embargoed until 02-05-2025

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Available for download on Wednesday, February 05, 2025

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