Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 6 of 6 for “"Liquidity Cost"”.
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Price volatility and liquidity cost in grain futures markets
… investigating issues in the price volatility and liquidity cost in grain futures markets influenced by these changes. The first essay examines the sources of long memory in three major grain futures contracts, and assesses its usefulness to forecast price volatility in periods of moderate and …
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Option Pricing in Non-Competitive Markets
… market assumption introduces two features: liquidity cost and feedback effects. In our study, investors in non-competitive markets are divided into two categories: small investors and large investors. Small investors encounter liquidity cost while large investors face both liquidity cost and …
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Essays on financial institutions
… first chapter, I study how banks lend or borrow liquidity in the interbank market and what I can learn about the macro-economy from the interbank market. From a unique database of interbank loan transactions in Mexico, I observe that interest rates vary across different lender-borrower pairs. I …
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Two Essays on Ownership and Market Characteristics
… strategic trading of informed and discretionary liquidity traders leads to intertemporal variation in both trading volume and trading costs (Admati and Pfleiderer (1988), and Foster and Viswanathan (1990)). However, the empirical studies on the effect of ownership structure on market …
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Index revisions, market quality and the cost of equity capital.
… various aspects of stock market quality and the cost of equity capital. Our study spans over the period 1986¿2009. Our analyses indicate that the index membership enhances all aspects of liquidity, including trading continuity, trading cost and price impact. We also show that the liquidity …