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 20 of 53 for “"Market liquidity"”.
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Different Aspects of Market Liquidity
… three chapters examining different aspects of market liquidity. The first chapter explores whether investor sentiment has the power to forecast stock market liquidity. The chapter employs the Amihud (2002) illiquidity measure as a proxy for price-impact, the bid-ask spread as a transaction cost …
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Essays on Stock Market Liquidity and Liquidity Risk Premium
This dissertation addresses issues concerning liquidity and its volatility. It consists of two essays. The first essay, "Liquidity, Macro Factors and the U.S. Equity Flows to Emerging Markets", examines the role of liquidity on equity flows from the U.S. to fifteen emerging markets around the …
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A study of stock market liquidity from 1973 to 2015
In this thesis we analyze US stock market liquidity in the period of 1973 to 2015 from three perspectives: price impact, turnover ratio, and trading frequency. We use the Center for Research in Security Prices (CRSP) and Trade and Quotes (TAQ) databases to acquire stock data across different time …
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The Influence of Stock Market Liquidity on Dividend Changes in Europe.
… change puzzle in place by analyzing how stock market liquidity influences dividend changes for a panel of European firms from 2006 to 2014. The theoretical impact of stock liquidity on dividend changes is ambiguous: it can be either substitutive or complementary. Because the results can vary …
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The Regional Stock Exchanges: Their Contributions to Market Liquidity and Economic Viability
… view supported the development of a central market system (CMS) in which the RSE were expected to be vital links within the system.
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Three essays on agricultural futures market liquidity: exchange rules, Covid-19, and market stress
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-08-01
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The influence of corporate disclosure on investor confidence in Thai listed companies
… is a study of corporate disclosure and stock market liquidity in Thailand. It uses a two-phase exploratory design in which the results from the qualitative method phase of the study are used to inform the quantitative method phase. The qualitative phase of the study aims to gain an …
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Combined assurance, firm reporting and market consequences: The mediating roles of Board monitoring intensity and integrated reporting quality
… aimed to improve corporate reporting and capital market performance of firms. Integrated reporting (IR) has evolved as the current corporate reporting framework to overcome the existing limitations of corporate reporting and to promote the disclosure of forward-looking information. However, there …
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Essays in FX market microstructure
… provides a study of the foreign exchange (FX) market from a microstructure perspective. From the empirical identification of a common component in liquidity across currencies, referred to as FX market liquidity, the thesis investigates its asset pricing implications, determinants and …
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An order flow model and a liquidity measure of financial markets
The thesis seeks a better understanding of liquidity generation process of financial markets and attempts to find a quantitative measure of market liquidity. Various statistical modeling techniques are introduced to model order flow generation, which is a liquidity generation process of the market. …
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Essays on corporate innovation
… investigates the effects of aggregate stock market liquidity on innovation at both the aggregate and firm levels for publicly traded firms in the U.S., and shows a significant and positive effect at both levels of aggregation. Next, the essay provides two underlying mechanisms through which …
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The impact of stock market performance on economic growth in Malawi
… data for the period 2003 to 2017. Stock market performance was measured using four indicators: the all share price index, total stock market capitalisation, stock market liquidity, and the number of shares traded. Economic growth was measured by real Gross Domestic Product (GDP). The …
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Three Essays in Financial Economics
… The thesis investigates topics related to market liquidity and integration. In particular, it covers the transmission of liquidity shocks across Eurozone markets, the role of market liquidity in the repurchase programme and integration of Eurozone economies in terms of welfare gains from …
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The Determinants of Capital Market Development in Tanzania, The Case Study of Dar es Salaam Stock Exchange.
… sought to determine the determinants of capital market development in Tanzania. The empirical study was conducted using time series data for the period 1998- 2012. This study adopted quantitative approach and employed secondary data of fifteen years, Pearson correlation test was used to evaluate …
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Essays on institutions for financial stability
… essays on the interaction between financial market institutions and market liquidity, and its implications for financial stability. The first essay studies an overlapping generations model of a risky asset market in which some agents face a participation cost. Market participation, by …
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Macroeconomics and financial fragility
… and ex-post adverse selection in financial markets. Positive shocks that increase market liquidity and prices exacerbate the production of low-quality assets and can increase the likelihood of a financial market collapse. An increase in government bonds increases total liquidity and reduces …
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Portfolio Liquidity Risk Management with Expected Shortfall Constraints
In this thesis we quantify the potential cost of liquidity constraints on a long equity portfolio using the liquidity risk framework of Acerbi and Scandolo (2008). The model modifies the classical mark-to-market valuation model, and incorporates the impact of liquidity policies of portfolios on the …
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Impact of Egypt's economic reform programme on the stock market performance
… this programme has affected Egypt's stock market performance. Using 18 years of data, which covered the period 1980/8 1 to 1997/98 and incorporates time periods prior to and after adopting the economic reform programme, the thesis empirically investigates three main issues. Firstly, there …
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Commonality of Liquidity around the World: Evaluation of Possible Reasons
… factors affecting the extent of commonality in liquidity and differences between different stock exchanges around the world. With a comprehensive approach, our investigation centers on presenting evidence on the existence of commonality in liquidity, effect of using different measures of market …
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