essays in market liquidity and financial - CiteSeerX

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Internationalization and Stock Market Liquidity - CiteSeerX because risk assets and binary options trading when crisislevel 24 fixed costs associated with operating a market, like running brokerage firms and clearing and settling transactions.

With spillovers, therefore, the migra- tion of trading of international firms could increase the per-trade cost of domesti. We also thank market participants in London, Tokyo and New York who shared their insights with us.

Euroclear listing of t. Liquidity and Market Crashes over, the endogenous liquidity need, when it occurs, is dominated by excessive selling of significant magnitude. Market and Public Liquidity soundness of the banking system. This free parameter plays a central role in the analysis, Market Liquidity and Funding Liquidity - Princeton University Dec 10, - Similarly, short-selling requires capital in the form of a margin; it does not free up In panel A, perfect liquidi.

Funding Liquidity and Market Liquidity in Government How important are funding conditions in money markets for the resilience and stability of markets for other Allen and Gale Financial Markets, Institutions and Liquidity investors ran on a variety of financial institutions, particularly in wholesale markets; financial institutions and Jagannathan focus on a signal extraction problem where some depositors withdraw money for consumption Market Transparency, Liquidity Externalities, And a sample of institutional trades in corporate bonds, before and after the initiation of public transaction reporting Exchange securities led to enhanced liquidity not only for the affected stocks, but also for correlated Banking Sector Liquidity and Financial Crisis in and the private sector in dealing with the fundamental problems of the economy.

According to Soludo Liquidity and Prediction Market Efficiency the implied volatilities from TradeSports binary options on the Dow can help forecast the. Liquid Capital and Market Liquidity open market operations or by signalling that it is prepared to do both.

Implicitly, then, central banks use one type of liquidity to affect the other. Moreover, there is empirical evidence that the strategy works. Common market makers and commonality in liquidity firm mergers, and market returns indicate that liquidity co-variation increases with the risk of providing liquidity.

Initially, we replicate the liquidity market model estimated by Chordia et al. The presented model was according to five the ratios, namely; ratios indicate liquidity, profitability, managing of debt and managing of property. Financial ratio, Prediction, Bankruptcy, Financial d. Three Essays on Systemic Risk and Financial May 9, - swap spreads, bond yields, and credit rating announcements.

Further analysis of the performance of the market liquidity sorted portfolios shows that their University of Oklahoma for useful comments. Financial Intermediaries and Liquidity Creation Gary Gorton - CiteSeerX Feb 21, - prior risk assets and binary options trading when crisislevel 24, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in The paper proceeds as follows.

In Section I the model economy is detailed. The results suggest that H-shares have relatively more informed trading based risk assets and binary options trading when crisislevel 24 better analysis. In addition, the results from the firm size We present a model in which markets crash when investors shift their beliefs about the liquidity of the secondary market. While such shifts in liquidity may be a factor in explaining many market crashes, the The Price of Liquidity: Bank Characteristics and Market The short sale and credit res.

Likewise, I am deeply grateful to my parents, whose constant encouragement and prayers provided me with renewed energy and enthusiasm at difficult times. In the first essay, we investigate whether contagion during a financial crisis is associated with a market liquidity contagion.

We employ two market liquidity measures, i. We adopt the correlation approach to test for contagion during the Thai crisis, the Hong Kong crisis, the Russian crisis, and the Brazilian crisis.

Evidence of market liquidity contagion is mostly found during risk assets and binary options trading when crisislevel 24 Hong Kong crisis and the Russian crisis. Our results are not sensitive to the two measures used, and also to the heteroskedasticity-corrected technique.

We also do not find much support for the notion that market liquidity level is risk assets and binary options trading when crisislevel 24 during a crisis period, as predicted by the contagion literature. However, we do find some evidence of higher variability of market liquidity during a crisis, especially during the Hong Kong crisis and the Russian crisis.

In the second essay, we examine the relation between market liquidity and stock returns in the Malaysian stock market KLSEand whether this relation is altered by capital control measures implemented by the Malaysian government in September Our findings indicate that the state of market liquidity measures pre- and post-capital controls are consistent with the financial market de-liberalization implications.

In particular, the average means are lower for turnover ratio and turnover-volatility ratio post-capital controls. On the cross-sectional relation between liquidity and stock returns on KLSE, we find that turnover ratio and turnover-volatility ratio are negatively and significantly related to stock returns. On the effect of capital controls on the relation, we find significant shifts i. Therefore, our study provides support for the critics of capital controls regarding the unfavorable impact of capital controls on market liquidity and its relation with stock returns on KLSE.

Summary Statistics 96 2. Cointegration Test 2. Granger-Causality Test 2. Rank Test Results 3. Summary of Variables Ranked by Liquidity Quintiles 3.

Correlation Matrix 3. Univariate Regression Results 3. Multivariate Regression Results 3. Multivariate Regression Results — Nonlinearity of Liquidity 3.

Multivariate Regression Results — Variability of Liquidity 3. Classification of Normal and Crisis Periods 85 2. Missing Values by Country-Markets 86 2. Listed Companies on Bursa Malaysia — 3. Discussions in the financial contagion literature suggest that market liquidity is negatively affected during a financial crisis, not only in the crisis-origin market, but also in other markets.

Intuitively, therefore, there would be a certain degree of co-movement between market liquidity variables of various markets. However, not much has been done empirically to investigate whether market liquidity is lower during a crisis period, and whether market liquidity contagion occurs during a crisis. One of the observations is that liberalization brings about improved liquidity in these emerging markets, as freer capital flows is allowed into and from these country-markets.

Events such risk assets and binary options trading when crisislevel 24 capital controls implementation can be viewed as the opposite of liberalization. Therefore, as capital controls impose some restrictions on free capital movements, one might observe the opposite effect on market liquidity, i.

It will then be interesting to assess the impact of such capital control measures on market liquidity. Therefore, this dissertation is divided into two essays. The first essay examines market liquidity contagion during financial crises. Risk assets and binary options trading when crisislevel 24 define contagion as a significant increase in the co-movements of prices and quantities across markets, due to a crisis occurring in one market. This definition implies that only a significant increase in the correlation coefficient excessive co-movement between two country-markets during a crisis period relative to some normal period constitutes contagion.

The percentage change of turnover ratio is the first difference of the natural log of turnover ratio. Turnover ratio is the ratio of the daily number of shares traded to the respective country-stock market capitalization at the end of the day. The percentage change of trading volume is the first difference of the natural log of volume. Volume is the daily trading volume in the respective stock markets.

Using these measures, we test whether there is a market liquidity contagion during each of these financial crises, i. We also examine whether the level and variability of the percentage change of turnover ratio and volume are lower more volatile during the crisis period relative to the normal period in both the crisis-origin and non-crisis-origin markets.

We test for market liquidity contagion using the correlation approach. We perform our tests on both the conditional and the adjusted unconditional correlation coefficients, the latter being the heteroskedasticity-adjusted correlation following Forbes and Rigobon We check the persistence of our results against the alternative definition of the normal period and a shortened crisis window, and also the notion of developed markets being the channel through which a crisis is propagated.

This study contributes by extending the current financial market contagion literature which has mostly focused on asset returns in documenting contagion during a crisis. The study also complements the market liquidity 2 contagion literature by examining market liquidity contagion across country-markets during several recent financial crises. In general, we find limited evidence that market liquidity as proxied by the percentage change of turnover ratio and volume is lower during a crisis period relative to the normal period.

None of the crisis-origin markets exhibits significantly lower liquidity during their own crisis. On the other hand, we find some evidence of higher variability of risk assets and binary options trading when crisislevel 24 percentage change of turnover ratio and volume during each of the crisis, particularly during the Hong Kong and Russian crises.

Among crisis-origin markets, only Hong Kong exhibits higher variability of liquidity during its own crisis. On the notion whether financial market contagion is associated with a market liquidity contagion, we find evidence during the Hong Kong and Russian crises to support our conjecture. However, fewer evidence of market liquidity contagion is documented during the Brazilian crisis, and only two during the Thai crisis. On the role of the developed markets U. We also demonstrate that our contagion test results are influenced by the choice of the normal period and the crisis period definition.

The second essay investigates risk assets and binary options trading when crisislevel 24 relation between liquidity and stock returns in an emerging equity market, i. We incorporate the capital controls implementation by Malaysia in September in examining this relation.

The relation between liquidity and stock returns has been well established in developed markets, where it is negative and significant.

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