Analyzing frequent acquires in emerging markets and futures markets linkage

The first chapter of this dissertation examines the returns to frequent acquirers fromemerging markets and analyzes the cross-country variations in cumulative abnormal returns.The sample consists of 5,147 transactions carried out by firms from 17 common and civil-lawcountries during the period of January 1985 to June 2008. I find that the cumulative abnormalreturns decline over the deal order and it is more pronounced in civil-law countries than incommon-law countries. There is also evidence that the premiums paid by acquirers from civillawcountries with a first successful acquisition are higher than those from common-lawcountries. These findings are consistent with agency problems and the hubris hypothesis, firstintroduced by Roll (1986).The second chapter examines the information links across futures markets in differentnations, using Vector Autoregressive (VAR)-Dynamic Conditional Correlation (DCC) model.The data comprise a large set of commodity and financial futures traded in U.S., U.K., China,Japan, Canada, and Brazil during the period from August 1998 to December 2008. The primaryfinding is that market interactions are relatively high for commodities for which informationproduction generally is more diverse (metal commodities), while moderate for commodities forwhich information is more concentrated (agricultural commodities). Furthermore, the strengthand persistence of interactions among futures markets decline after excluding the mostinformative markets. These findings indirectly support the breadth of information being arelevant factor in the extent of information linkage. The results also indicate that the dynamiccorrelation in futures markets is high in most commodity and financial futures if there is asignificant bi-directional return and volatility spillover. Additionally, I estimate a market’scontribution to the price discovery process. In general, the market that has a stronger priceimpact and a stronger volatility spillover tends to be the market that has greater contribution orleadership in price discovery.