Essays In Liquidity And Financial Markets
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Essays On Liquidity In Financial Markets
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Author : Jördis Hengelbrock
language : en
Publisher:
Release Date : 2009
Essays On Liquidity In Financial Markets written by Jördis Hengelbrock and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Essays On Liquidity In Financial Markets
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Author : John Brendan McDermott
language : en
Publisher:
Release Date : 2000
Essays On Liquidity In Financial Markets written by John Brendan McDermott and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Investments categories.
Essays In Liquidity And Financial Markets
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Author : Radu-Dragomir Manac
language : en
Publisher:
Release Date : 2018
Essays In Liquidity And Financial Markets written by Radu-Dragomir Manac and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Essays On Liquidity In Financial Markets
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Author : Chitrupa Sudarshan Fernando
language : en
Publisher:
Release Date : 1991
Essays On Liquidity In Financial Markets written by Chitrupa Sudarshan Fernando and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Essays On Liquidity In Financial Markets
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Author : Pierre-Olivier Weill
language : en
Publisher:
Release Date : 2004
Essays On Liquidity In Financial Markets written by Pierre-Olivier Weill and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Essays On Liquidity In Financial Markets
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Author : Christoph Koser
language : en
Publisher:
Release Date : 2020
Essays On Liquidity In Financial Markets written by Christoph Koser and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
"This dissertation contributes to a better understanding of liquidity in financial markets. Relying on the latest proxies for liquidity and TAQ benchmark data, this dissertation investigates liquidity in financial markets from different perspectives and gives answers to crucial challenges when assessing the importance of liquidity; its time-varying commonality across assets and stock markets; its impact on asset pricing in abnormal market states and finally its dynamics and determinants on a daily basis. This study has implications for investors and market makers as part of risk management and portfolio diversification and for policy makers in the context of designing optimal regulatory frameworks to predict and prevent common sources of liquidity tightness in global financial markets. In the second chapter, I study commonality in liquidity and its association to market volatility. Taking on a global perspective on this matter and examining nine major stock markets, I first construct a novel and dynamic measure of commonality in liquidity. I show that liquidity commonality is present in global stock markets and increases parallel to crisis periods. This finding points towards abrupt changes in liquidity fundamentals and clearly provide evidence for demand- and supply-driven sources of commonality in liquidity (i.e. correlated trading behavior on institutional level paired with restrictions on funding capital) on a global scale. Driven by the well acknowledged findings of a positive relationship between volatility and illiquidity, I investigate the time-varying tie between common variation in liquidity and volatility. Using a dynamic granger-causality test, I find that global market volatility always causes commonality in liquidity while commonality in liquidity causes volatility only in sub-periods, spanning over the financial crisis and its aftermath period. In the third chapter, I examine the effect of systemic liquidity risk as a priced risk factor in asset pricing. Hereby, I challenge the previous literature in their finding of a linear relationship between systemic liquidity risk and asset prices. I show that systemic liquidity risk is not always a priced factor in the explanation of asset prices. I find that systemic liquidity risk and asset prices are negatively associated in bad market states. This finding can be explained by downward trended liquidity spirals, in other words, an interaction between demand and supply-sided commonality in liquidity, which cause a depression in asset pricing during bad market states. I also show that liquidity risk has a positive link to asset pricing in good market states, which is mainly associated with search-for-yield considerations. Finally, I document that there is no significant relationship between systemic liquidity risk and asset pricing during normal market swings. This finding supports the initial claim that market participants do not worry too much about the state of market-wide liquidity during regular times. In the fourth chapter, I investigate daily liquidity and trading activity of energy stocks traded at U.S. stock exchanges, categorized into five energy sectors, that is, oil and gas, coal mining, renewables, electric- and multi-utilities. Using TAQ (trades and quotes) data, I examine various dimensions of liquidity and trading - effective spreads, price impact of trades, number of trades and volume - on sectoral level. I document cross-sectional differences in the level of liquidity and trading across energy stock segments. I find that liquidity and trading is trended and exhibit serial dependency up to higher lags, similarly across sectors. There is a weekly pattern for trading and liquidity, both decline on Fridays, on average. I also identify a number of factors that affect trading and liquidity commonly across sectors, that is, general market movements, short-term momentum runs and overall stock market volatility, which points again towards the direction of correlated trading, amplified by institutional investors. Moreover, I show that trading and liquidity are sensitive to a widening Term Spread. I find a heterogeneous effect of the oil price on liquidity and trading activity, dependent on the energy segment. Despite controlling for stock market volatility, I observe that illiquidity and trading increase with higher levels of oil price volatility. Finally, I show that trading activity, both, in number of trade executions and share volume, increases for renewable and multi-utility stocks when climate change receives global media attention. Fast markets and increased trading make liquidity to be one of the top considerations in the smooth functioning of financial markets, especially in the light of financial distress and sudden, downward trended liquidity spirals, where liquidity adjusts to different equilibria levels. For future discussion, there is further need to address liquidity in its different dimensions and in the context of financial market quality, information efficiency and sentiment. This dissertation is yet another step for a more comprehensive knowledge on liquidity." -- TDX.
Three Essays On Hidden Liquidity In Financial Markets
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Author : Gökhan Cebiroglu
language : en
Publisher:
Release Date : 2013
Three Essays On Hidden Liquidity In Financial Markets written by Gökhan Cebiroglu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Essays On Liquidity In Finance And Real Estate Markets
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Author : Qingqing Chang
language : en
Publisher:
Release Date : 2013
Essays On Liquidity In Finance And Real Estate Markets written by Qingqing Chang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This dissertation studies liquidity and its relationship with stock returns and real estate markets. Liquidity has wide ranging effects on financial markets and the financial crisis highlighted the important role played by liquidity in finance and real estate markets. The objective of this dissertation research is to examine the characteristics of liquidity in different financial markets and to study the effect of innovations in liquidity on stock return volatility. First, using high-frequency trading data on publicly-traded real estate investment trusts (REITs) and trading data on commercial real estate assets, we document the transmission of a liquidity shock from public to private markets. Furthermore we examine the relationship between liquidity in real estate markets (both public and private markets) and macroeconomic variables. We also show how the transmission mechanism differs between public and private markets. Second, using revisions to equity analyst consensus forecasts to measure cash-flow news directly, we are able to study the relationship between innovations in liquidity and stock-return volatility under the return-decomposition framework. We contend that both cash-flow news and expected return news correlate with liquidity shocks, and the cash-flow news component is a nontrivial channel through which liquidity correlates with stock returns. This dissertation research aims to fill in the gaps in the existing empirical literature on liquidity and sheds light on the important relationship between liquidity and stock returns.
Three Essays On Fairness Liquidity And Efficiency In Modern Financial Markets
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Author : Jiang Zhang
language : en
Publisher:
Release Date : 2020
Three Essays On Fairness Liquidity And Efficiency In Modern Financial Markets written by Jiang Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
This dissertation research comprises three essays. In the first essay, we study the impact of high-frequency trading on market fairness and efficiency. The implementation of the Arrowhead Renewal on the Tokyo Stock Exchange (TSE) in 2015 reduced latency from 1 millisecond to less than 0.5 milliseconds and led to an increase in high-frequency tradingas proxied by the cancel-to-trade ratioof 34%, We find that the number of incidents of marking-the-close declined by 17%, indicating that market fairness improves. We find that for high-tick-size and high-market-capitalization stocks market efficiency improves, but for low-tick-size and low-market-capitalization stocks, it does not. In the second essay, we test the implications of competing theories on liquidity dynamics during extreme price movements (EPMs). Our findings indicate that market makers strategically allow for price pressures and earn compensation from pricing errors. As a result, liquidity provision intensifies towards the end of an average EPM. This goes counter to a widespread concern that market-making constraints cause the deterioration of liquidity as EPMs develop. Finally, we demonstrate that limit order book dynamics during EPMs are in line with a socially beneficial equilibrium. In the third essay, we revisit the tax-loss selling hypothesis as a potential explanation of the well-known January effect in securities markets. We expand the empirical evidence from municipal bond closed-end funds by extending the sample period by almost 20 years and adding exchange-traded funds to the sample. Our updated sample covers the recent growth of municipal bond ETFs and a significant increase in municipal bond trading volume and liquidity. Both developments reduce arbitrage costs and thus are expected to increase tax-loss selling in the funds and increase the transmission of price effects to the underlying bonds. We find that the January effect of municipal bond closed-end funds becomes stronger in more recent years, and show evidence that largely supports the tax-loss hypothesis. We also find some evidence indicating a smaller discrepancy between the abnormal returns of the funds and underlying bonds..
Essays On Macroeconomics And Financial Markets
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Author :
language : en
Publisher:
Release Date : 2013
Essays On Macroeconomics And Financial Markets written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The first chapter explores liquidity risks and analyzes the relationship between funding liquidity and market liquidity theoretically and numerically. Funding liquidity is measured by borrowing constraints of secured loans. Market liquidity is measured by the trading frequency and the ease of traders' negotiations. Borrowing constraints affect the fundamental value of assets traded on the market as well as traders' negotiations. On the other hand, trading efficiency changes borrowing constraints. The above dynamic interactions cause the economy respond persistently to liquidity shocks. Pushing further, the simulated liquidity moments move together and present business cycle property. Moreover, money has an essential role as the medium of exchange in the exchange process that impose a non-trivial monetary policy implication. The second chapter studies the efficiency and default risk of long-term non-recourse loans in bank lending, where limited commitments present. With predetermined terms of the loan, the borrower has incentive to terminate the loan earlier either by prepayment or default. The incentive-compatible loan contract in favor of a lower default risk encourages earlier prepayments, and vice versa. If the loan market is frictional that it takes time for the bank to find another borrower, the interest loss on prepayment becomes severe. Under this condition, allowing default increases the efficiency of lending. Moreover, the bank would allow a higher default rate if the initial market interest rate is lower or the size of the loan is larger. The third chapter studies the effect of recourse law on homeowners' behavior during the residential mortgage foreclosure process, and shows evidence from 7 counties of the Illinois state. We construct the dataset from a loan-level foreclosure and land lien database to capture the individual-level heterogeneity. Although the percentage of deficiency judgment granted is low, we find that the fear of banks' recourse right affects homeowner's bankruptcy and private sale decision during foreclosure. The estimation results show that, if there is no deficiency threat, the bankruptcy chapter 7 claims would be lower by 3%, the bankruptcy chapter 13 claims would go up by 10% and the probability of public sale would be increased by 4%.
