Microstructure Characteristics of U.S. Futures Markets

Prior finance literature lacks a comprehensive analysis of microstructure characteristics of U.S. futures markets due to the lack of data availability. Utilizing a unique data set for five different futures contract this dissertation fills this gap in the finance literature. In three essays price discovery, resiliency and the components of bid-ask spreads in electronic futures markets are examined. In order to provide comprehensive and robust analysis, both moderately volatile pre-crisis and volatile crisis periods are included in the analysis. The first essay entitled “Price Discovery and Liquidity Characteristics for U.S. Electronic Futures and ETF Markets” explores the price discovery process in U.S. futures and ETF markets. Hasbrouck’s information share method is applied to futures and ETF instruments. The information share results show that futures markets dominate the price discovery process. The results on the factors that affect the price discovery process show that when volatility increases, the price leadership of futures markets declines. Furthermore, when the relative size of bid-ask spread in one market increases, its information share decreases. The second essay, entitled “The Resiliency of Large Trades for U.S. Electronic Futures Markets,“ examines the effects of large trades in futures markets. How quickly prices and liquidity recovers after large trades is an important characteristic of financial markets. The price effects of large trades are greater during the crisis period compared to the pre-crisis period. Furthermore, relative to the pre-crisis period, during the crisis period it takes more trades until liquidity returns to the pre-block trade levels. The third essay, entitled “Components of Quoted Bid-Ask Spreads in U.S. Electronic Futures Markets,” investigates the bid-ask spread components in futures market. The components of bid-ask spreads is one of the most important subjects of microstructure studies. Utilizing Huang and Stoll’s (1997) method the third essay of this dissertation provides the first analysis of the components of quoted bid-ask spreads in U.S. electronic futures markets. The results show that order processing cost is the largest component of bid-ask spreads, followed by inventory holding costs. During the crisis period market makers increase bid-ask spreads due to increasing inventory holding and adverse selection risks.

Compensatory effects of parent and peer support on well -being and achievement during pre- and early adolescence

The current study was designed to explore the salience of parent and peer support in middle childhood and early adolescence across two time periods as indicated by measures of achievement (grade point average (GPA), Stanford Achievement Test (SAT) scores and teacher rated school adaptation) and well-being (loneliness, depression, self-concept and teacher-rated internalizing behaviors). ^ Participants were part of an initial study on social network relations and school adaptation in middle childhood and early adolescence. Participants at Time 1 (in the spring of 1997) included 782 children in grades 4 and 6 of eight lower and middle income public elementary schools. Participants (N = 694) were reinterviewed two years later in the spring of 1999 (Time 2). ^ Multivariate analyses of variance (MANOVA) were used to investigate the change in salience of parent and peer support from Time 1 to Time 2. In addition, Tukey-HSD (Honestly Significant Difference) post hoc tests were used to test the significance of the differences among the means of four support categories: (1) low parent-low friend, (2) low parent-high friend, (3) high parent-low friend, and (4) high parent-high friend. ^ Compensatory effects were observed for loneliness and self-concept at Time 1, as well as for SAT scores, self-concept and overall achievement at Time 2. Results were consistent with existing findings that suggest a competitive model of parent/peer influence on achievement during adolescence. This study affirms the need for a more contextual approach to research examining competing and compensatory effects on adolescent development. ^

The effects and extent of 1,1,1-trichloroethane vapor concentration exposure on workers during solvent vapor degreasing

This study attempted to determine if an excessive amount of 1,1,1 - Trichloroethane was released into the air, the acute effects of exposure and the cause(s) of excessive use. The types of degreasing equipments which were tested in this study are straight vapor and the vapor spray machines. The instruments utilized to obtain the data for this study are Gastech Haline Detector, Organic Vapor Monitor Badge and Personal Sampling Pump. Readings were taken on three different tanks. The data accumulated by this study were obtained during actual cleaning operation. During testing, increased exposure was detected due to exceeding the rate of removal, downward drafts were blowing right over the top of a degreaser and, in some cases, poor general ventilation caused solvent vapor to be blown out of the tank and into the workers' breathing zone, affecting excessive vapor drag out and solvent loss. The results show that, since the characteristics of solvent 1,1,1 - Trichloroethane are well suited to vapor degreasing requirements, by using proper procedures and maintenance, 1,1,1 - Trichloroethane emission during vapor degreasing can be controlled at levels well below the industrial hygiene standard established by OSHA for safe and healthful conditions.