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Author : Chitrupa Sudarshan Fernando
Publisher :
ISBN 13 :
Total Pages : 316 pages
Book Rating : 4.:/5 (244 download)
Download or read book Essays on Liquidity in Financial Markets written by Chitrupa Sudarshan Fernando and published by . This book was released on 1991 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jördis Hengelbrock
Publisher :
ISBN 13 :
Total Pages : 115 pages
Book Rating : 4.:/5 (642 download)
Download or read book Essays on Liquidity in Financial Markets written by Jördis Hengelbrock and published by . This book was released on 2009 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Brendan McDermott
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (451 download)
Download or read book Essays on Liquidity in Financial Markets written by John Brendan McDermott and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pierre-Olivier Weill
Publisher :
ISBN 13 :
Total Pages : 358 pages
Book Rating : 4.F/5 ( download)
Download or read book Essays on Liquidity in Financial Markets written by Pierre-Olivier Weill and published by . This book was released on 2004 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Radu-Dragomir Manac
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (17 download)
Download or read book Essays in Liquidity and Financial Markets written by Radu-Dragomir Manac and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christoph Koser
Publisher :
ISBN 13 :
Total Pages : 141 pages
Book Rating : 4.:/5 (122 download)
Download or read book Essays on Liquidity in Financial Markets written by Christoph Koser and published by . This book was released on 2020 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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.
Author : Gökhan Cebiroglu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (893 download)
Download or read book Three Essays on Hidden Liquidity in Financial Markets written by Gökhan Cebiroglu and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gerald A. Epstein
Publisher : Edward Elgar Publishing
ISBN 13 : 1783472642
Total Pages : 391 pages
Book Rating : 4.7/5 (834 download)
Download or read book Banking, Monetary Policy and the Political Economy of Financial Regulation written by Gerald A. Epstein and published by Edward Elgar Publishing. This book was released on 2014-07-31 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: The many forces that led to the economic crisis of 2008 were in fact identified, analyzed and warned against for many years before the crisis by economist Jane D�Arista, among others. Now, writing in the tradition of D�Arista's extensive work, the
Author : Jiang Zhang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)
Download or read book Three Essays on Fairness, Liquidity, and Efficiency in Modern Financial Markets written by Jiang Zhang and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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..
Author : Martin Oehmke
Publisher :
ISBN 13 : 9780549968290
Total Pages : 268 pages
Book Rating : 4.9/5 (682 download)
Download or read book Essays on Financial Markets with Liquidity Frictions written by Martin Oehmke and published by . This book was released on 2009 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third chapter, joint work with Markus Brunnermeier, examines predatory short selling of equity in financial institutions. We show that when the stock of a leverage-constrained financial institution is shorted aggressively, this can trigger liquidations of long-term investments at fire-sale prices. Predatory short selling can emerge in equilibrium when a financial institution is (i) close to its leverage constraint (the vulnerability region) or (ii) violates its leverage constraint even in the absence of short selling (the constrained region). The model provides a potential justification for temporary restrictions on short selling for vulnerable institutions.
Author : Qingqing Chang
Publisher :
ISBN 13 :
Total Pages : 97 pages
Book Rating : 4.:/5 (865 download)
Download or read book Essays on Liquidity in Finance and Real Estate Markets written by Qingqing Chang and published by . This book was released on 2013 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Olena Nikolsko-Rzhevska
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (111 download)
Download or read book Essays in Finance written by Olena Nikolsko-Rzhevska and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation comprises three essays on the microstructure of financial markets. The first essay shows that traders supply phantom liquidity by placing duplicate orders simultaneously on multiple exchanges, with the intent to execute only one. We find that on an average day, half of observed liquidity is duplicate liquidity. The second essay studies order revisions on NASDAQ. We document significant differences between revisions and cancellations/placements. We also find evidence of deleterious effects of revisions on market quality. Our results show that while traders appear to respond rationally to new information by updating their orders, there exist stable predictable patterns in the behavior of order revisions. In the third essay, we show that a recent increase in short-lived phantom cancellations puts slow traders at a disadvantage. We develop a framework that allows traders to differentiate between a firm and a phantom quote, which can increase the fill rate of their orders. All three essays contribute to our understanding of the microstructure of financial markets.
Author : Susan Marie deVay Flaherty
Publisher :
ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.:/5 (254 download)
Download or read book Essays on Financial Market Liquidity Under Market Duress written by Susan Marie deVay Flaherty and published by . This book was released on 2003 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christoph Bertsch
Publisher :
ISBN 13 :
Total Pages : 134 pages
Book Rating : 4.:/5 (851 download)
Download or read book Three Essays on Financial Markets and Banking written by Christoph Bertsch and published by . This book was released on 2013 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis comprises theoretical work on nancial markets and banking. The rst essay features a model of liquidity provision. I analyze how the severity of adverse selection problems in one market is a ected if alternative sources of nance, which are not subject to adverse selection problems, become more easily available. In particular, I nd that the adverse selection problem can be either mitigated or ampli ed, giving rise to new implications for equilibrium welfare, e ciency and policy. Furthermore, I examine how and under what conditions a central bank can address a market failure during a nancial crisis by using existing market institutions to re-allocate liquidity in the economy. The second essay develops a new contagion mechanism in coordination games. With our model we o er an explanation why a contagious spread of a crisis can occur even if agents learn that their country (or bank) is not exposed to crisis events elsewhere. What is more, we show that the likelihood of a spread of the crisis can be higher if agents learn that their country is not exposed to the crisis in the other country, than if agents stay uninformed about the actual exposure and believe that a cross-country exposure is possible. The third essay examines the e ect of state aid on the collective competitive behavior in a repeated-game setting. We consider an application to the banking sector and nd that a systematic bailout regime may increase the likelihood of (tacit) collusion in an industry characterized by idiosyncratic shocks. The reason being that state aid increases the expected pro ts from cooperation and simultaneously raises the probability that competitors will still be in business to carry out punishment against cheaters.
Author : Ji Yeol Jimmy Oh
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (89 download)
Download or read book Essays on Modelling Financial Markets with Ambiguity and Liquidity Constraints written by Ji Yeol Jimmy Oh and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jorge Mario Uribe Gil
Publisher : Ed. Universidad de Cantabria
ISBN 13 : 8417888756
Total Pages : 212 pages
Book Rating : 4.4/5 (178 download)
Download or read book Essays on Risk and Uncertainty in Economics and Finance written by Jorge Mario Uribe Gil and published by Ed. Universidad de Cantabria. This book was released on 2022-11-22 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled “Momentum Uncertainties”, the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market is studies. We show that high levels of uncertainty in the economy impact negatively and significantly the returns of a portfolio of stocks that consist of buying past winners and selling past losers. High uncertainty reduces below zero the abnormal returns of momentum, extinguishes the Sharpe ratio of the momentum strategy, while increases the probability of momentum crashes both by increasing the skewness and the kurtosis of the momentum return distribution. Uncertainty acts as an economic regime that underlies abrupt changes over time of the returns generated by momentum strategies. In Chapter 3, “Measuring Uncertainty in the Stock Market”, a new index for measuring stock market uncertainty on a daily basis is proposed. The index considers the inherent differentiation between uncertainty and the common variations between the series. The second contribution of chapter 3 is to show how this financial uncertainty index can also serve as an indicator of macroeconomic uncertainty. Finally, the dynamic relationship between uncertainty and the series of consumption, interest rates, production and stock market prices, among others, is analized. In chapter 4: “Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?” we explore the stability of systemic risk and uncertainty propagation among financial institutions in the global economy, and show that it has remained stable over the last decade. Additionally, a new simple tool for measuring the resilience of financial institutions to these systemic shocks is provided. We examine the characteristics and stability of systemic risk and uncertainty, in relation to the dynamics of the banking sector stock returns. This sort of evidence is supportive of past claims, made in the field of macroeconomics, which hold that during the global financial crisis the financial system may have faced stronger versions of traditional shocks rather than a new type of shock. In chapter 5, “Currency downside risk, liquidity, and financial stability”, downside risk propagation across global currency markets and the ways in which it is related to liquidity is analyzed. Two primary contributions to the literature follow. First, tail-spillovers between currencies in the global FX market are estimated. This index is easy to build and does not require intraday data, which constitutes an important advantage. Second, we show that turnover is related to risk spillovers in global currency markets. Chapter 6 is entitled “Spillovers from the United States to Latin American and G7 Stock Markets: A VAR-Quantile Analysis”. This chapter contributes to the studies of contagion, market integration and cross-border spillovers during both regular and crisis episodes by carrying out a multivariate quantile analysis. It focuses on Latin American stock markets, which have been characterized by a highly positive dynamic in recent decades, in terms of market capitalization and liquidity ratios, after a far-reaching process of market liberalization and reforms to pension funds across the continent during the 80s and 90s. We document smaller dependences between the LA markets and the US market than those between the US and the developed economies, especially in the highest and lowest quantiles.
Author :
Publisher :
ISBN 13 :
Total Pages : 230 pages
Book Rating : 4.:/5 (858 download)
Download or read book Essays on Macroeconomics and Financial Markets written by and published by . This book was released on 2013 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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%.
