You searched for subject:( Bid ask spread components).
Showing records 1 – 30 of
3154 total matches.
◁ [1] [2] [3] [4] [5] … [106] ▶
University of Illinois – Urbana-Champaign
1.
Shang, Quanbiao.
The components of the bid-ask spread: evidence from the corn futures market.
Degree: MS, Agricultural & Applied Econ, 2016, University of Illinois – Urbana-Champaign
URL: http://hdl.handle.net/2142/90838 
► Using the Best Bid Offer data from the CME, this thesis decomposes the Bid-Ask Spread (BAS) in the Chicago Board of Trade (CBOT) corn futures…
(more)
▼ Using the Best
Bid Offer data from the CME, this thesis decomposes the
Bid-
Ask Spread (BAS) in the Chicago Board of Trade (CBOT) corn futures market into its three
components, which are adverse selection, inventory, and order processing costs. Approximately 34.8% of the BAS is attributable to the order processing cost, and the order processing cost is relatively stable across different months, days, or trading hours. Liquidity providers' inventory cost is the highest cost component at 53.1%. And the adverse selection cost is 12.1%, which is the smallest BAS component. However, the adverse selection component can be higher when corn prices are more volatile in 2008 and 2011 than other less volatile years of 2009 and 2010. In general, the monthly pattern of the adverse selection cost seems to be different from year to year; the intraday pattern of the adverse selection cost appears to be U-shaped. In contrast, the inventory cost pattern is a strong inverted U-shape. The intraday order processing cost is relatively stable throughout each trading day. The market conditions are relatively different between USDA announcement and no-announcement days, especially during market opening and closing hours. In the first trading hour on USDA announcement days, the adverse selection cost is higher but the inventory cost is lower than on no-announcement trading days. Overall, this thesis shows that the BAS in the CBOT electronically traded corn futures market is relatively low and stable, but the magnitude of each BAS component varies.
Advisors/Committee Members: Mallory, Mindy (advisor).
Subjects/Keywords: Bid-ask spread components; market microstructure
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Shang, Q. (2016). The components of the bid-ask spread: evidence from the corn futures market. (Thesis). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/90838
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Shang, Quanbiao. “The components of the bid-ask spread: evidence from the corn futures market.” 2016. Thesis, University of Illinois – Urbana-Champaign. Accessed December 06, 2019.
http://hdl.handle.net/2142/90838.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Shang, Quanbiao. “The components of the bid-ask spread: evidence from the corn futures market.” 2016. Web. 06 Dec 2019.
Vancouver:
Shang Q. The components of the bid-ask spread: evidence from the corn futures market. [Internet] [Thesis]. University of Illinois – Urbana-Champaign; 2016. [cited 2019 Dec 06].
Available from: http://hdl.handle.net/2142/90838.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Shang Q. The components of the bid-ask spread: evidence from the corn futures market. [Thesis]. University of Illinois – Urbana-Champaign; 2016. Available from: http://hdl.handle.net/2142/90838
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of St. Andrews
2.
Faciane, Kirby.
Empirical market microstructure of the FTSEurofirst index futures
.
Degree: 2010, University of St. Andrews
URL: http://hdl.handle.net/10023/1975
► This thesis is among the first market microstructure studies of an index futures market with designated market makers in the academic literature. The purpose of…
(more)
▼ This thesis is among the first market microstructure studies of an index futures market
with designated market makers in the academic literature. The purpose of this thesis is to
investigate intraday patterns of key variables, the relative size of the
components of the quoted
bid-
ask spread, and the order decisions of uninformed traders, in a continuous dealer market for
index futures with market makers. Overall, our findings aim to contribute to a better
understanding of the roles of market makers and public customers in price formation. Intraday
patterns of financial market variables such as trade price, volume, trade size, quoted spreads,
depth, and volatility separately for designated market makers and public customers are
examined.
The lack of relevant and appropriate data in futures markets, as evidenced by Hasbrouck
(2003) and Kurov (2005), has inhibited the growth of market microstructure in futures markets.
Individual orders, quotes, trader identification, and transactions from June 2003 to December
2004, for FTSEurofirst 80 and 100 index futures are used in the study. Inclusion of the parties to
order execution distinguishes this data set from most other futures microstructure sources. As
this thesis is the first known academic study of the extant market microstructure of the
FTSEurofirst index futures, the institutional aspects of the trading process for the FTSEurofirst
index futures are also explored. An alternative method for estimating three cost
components as a
proportion of the
bid-
ask spread is developed. A framework is developed for the order decision
process of an uninformed trader for the first time in a futures market with market makers. The
results of this thesis may have implications for other financial markets and the field of market
microstructure.
Advisors/Committee Members: Bhattacharjee, Arnab (advisor).
Subjects/Keywords: Market microstructure;
Index futures;
Market making;
Designated market makers;
Euronext.liffe;
FTSEurofirst Index;
Intraday analysis;
Bid-ask spread components;
Limit orders;
Market orders
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Faciane, K. (2010). Empirical market microstructure of the FTSEurofirst index futures
. (Thesis). University of St. Andrews. Retrieved from http://hdl.handle.net/10023/1975
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Faciane, Kirby. “Empirical market microstructure of the FTSEurofirst index futures
.” 2010. Thesis, University of St. Andrews. Accessed December 06, 2019.
http://hdl.handle.net/10023/1975.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Faciane, Kirby. “Empirical market microstructure of the FTSEurofirst index futures
.” 2010. Web. 06 Dec 2019.
Vancouver:
Faciane K. Empirical market microstructure of the FTSEurofirst index futures
. [Internet] [Thesis]. University of St. Andrews; 2010. [cited 2019 Dec 06].
Available from: http://hdl.handle.net/10023/1975.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Faciane K. Empirical market microstructure of the FTSEurofirst index futures
. [Thesis]. University of St. Andrews; 2010. Available from: http://hdl.handle.net/10023/1975
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Edinburgh
3.
Serdyuk, Anna.
Cost of trading, effective liquidity measures, and components of the bid-ask spread in the emerging stock market of Ukraine.
Degree: 2010, University of Edinburgh
URL: http://hdl.handle.net/1842/5688
► The thesis studies aspects of the cost of equity trading in the emerging stock market of Ukraine. The market is quite new (opened in 1997…
(more)
▼ The thesis studies aspects of the cost of equity trading in the emerging stock market of Ukraine. The market is quite new (opened in 1997 but started to operate actively only in 2004) and little research on this market has been done so far. The market appears to offer lucrative investment opportunities that attract attention of both Ukrainian and foreign investors but the cost of trading Ukrainian stocks is quite high and can considerably decrease the returns to investors. The empirical part of the thesis is based on the transactions data from the main trade floor in Ukraine, PFTS, for 59 Ukrainian stocks during 2004-2006. The cost of equity trading in Ukraine is found to be quite high compared to many other stock markets, both developed and emerging. An in-depth study has shown that the medium-sized trades are the cheapest to execute, followed by large and then small trades. The reason for the pattern is seen in the price improvement suggested by brokers to the larger, more valued customers in order to keep the business with them and is in line with the findings in other literature for dealership markets (Reiss and Werner (1996), Hansch et. al (1999), and Huang and Stoll (1996)). The average cost of institutional sale trades exceeds the average cost of institutional buy trades at any market condition (falling, neutral, or rising), which is a puzzling result given that sales are often found in the literature to be more expensive in falling market, while purchases are more expensive in rising market. The efficacy of a number of measures of liquidity is studied. In line with findings for other emerging markets, it is shown that the proportion of zero daily returns (Lesmond (1999)) and the proportion of no-trading days are the most reliable liquidity measures for the Ukrainian stock market. Turnover, a measure widely applied in literature for developed stock markets, has a very small power for measuring liquidity in Ukraine. The spread components are estimated by applying three spread decomposition models most frequently referred to in literature: Stoll (1989), Glosten and Harris (1988), and Huang and Stoll (1997). The estimation results show a low importance of the asymmetric information component, which is surprising given that insider trading is considered a serious risk in Ukraine. To present the importance of incorporating the transactions costs into portfolio return analysis, a momentum trading strategy is examined. It is shown that momentum portfolio returns decrease considerably when the cost of trading is taken into account.
Subjects/Keywords: 332; costs; equity trading; liquidity; bid-ask spread; Ukraine; stock market
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Serdyuk, A. (2010). Cost of trading, effective liquidity measures, and components of the bid-ask spread in the emerging stock market of Ukraine. (Doctoral Dissertation). University of Edinburgh. Retrieved from http://hdl.handle.net/1842/5688
Chicago Manual of Style (16th Edition):
Serdyuk, Anna. “Cost of trading, effective liquidity measures, and components of the bid-ask spread in the emerging stock market of Ukraine.” 2010. Doctoral Dissertation, University of Edinburgh. Accessed December 06, 2019.
http://hdl.handle.net/1842/5688.
MLA Handbook (7th Edition):
Serdyuk, Anna. “Cost of trading, effective liquidity measures, and components of the bid-ask spread in the emerging stock market of Ukraine.” 2010. Web. 06 Dec 2019.
Vancouver:
Serdyuk A. Cost of trading, effective liquidity measures, and components of the bid-ask spread in the emerging stock market of Ukraine. [Internet] [Doctoral dissertation]. University of Edinburgh; 2010. [cited 2019 Dec 06].
Available from: http://hdl.handle.net/1842/5688.
Council of Science Editors:
Serdyuk A. Cost of trading, effective liquidity measures, and components of the bid-ask spread in the emerging stock market of Ukraine. [Doctoral Dissertation]. University of Edinburgh; 2010. Available from: http://hdl.handle.net/1842/5688
NSYSU
4.
Sun, Chia-Liang.
none.
Degree: Master, Business Management, 2008, NSYSU
URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0822108-152544
► Family or group-owned corporations and informed trading are two features of Taiwanâs capital market. Is there any relationship between the two features? Can we solve…
(more)
▼ Family or group-owned corporations and informed trading are two features of Taiwanâs capital market. Is there any relationship between the two features? Can we solve this kind of problem by some mechanism of corporate governance? These issues are common concerns for participants of capital markets and government policy makers, therefore, there are many scholars devoting themselves in the related research.
This study adopts the work of McInish and Wood (1992), who measure informed trading by calculating standardized
bid-
ask spread. Moreover, some variables, such as trading volume, risk, stock price, company size, and listing market are taken into account because the literature indicates they may affect
bid-
ask spread. According to the concept of voting rights and cash flow rights introduced by La Porta, Lopez-De-Silanes, Shleifer, and Vishny (2002) and the concept of fraction of cash flow rights on the voting rights introduced by Claessens, Djankov, and Lang (2000), we use the difference ratio, which is one minus the fraction of voting rights over the cash flow rights, to measure the degree of central agency problems. The corporate governance variables, such as board size, the proportion of outside directors, and institutional shareholdings are employed as moderating variables. Multiple regression models are used to test the hypotheses.
According to the test results, we find that the more cash flow rights deviate from voting rights the more informed trading will be and it can be alleviated by increasing board size and hiring big CPA firms for audit purpose; while it can be worsen by adopting more outside directors and institutional shareholdings.
Advisors/Committee Members: Ruey-Dang Chang (committee member), Chi-Cheng Wu (chair), Yun-Sheng Hsu (chair).
Subjects/Keywords: bid-ask spread; informed trading; corporate governance; central agency problems
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Sun, C. (2008). none. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0822108-152544
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Sun, Chia-Liang. “none.” 2008. Thesis, NSYSU. Accessed December 06, 2019.
http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0822108-152544.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Sun, Chia-Liang. “none.” 2008. Web. 06 Dec 2019.
Vancouver:
Sun C. none. [Internet] [Thesis]. NSYSU; 2008. [cited 2019 Dec 06].
Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0822108-152544.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Sun C. none. [Thesis]. NSYSU; 2008. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0822108-152544
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
NSYSU
5.
Chang, Ti-Yang.
The Informativeness of the Limit Order Book in a Periodic Call Market.
Degree: Master, Finance, 2009, NSYSU
URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0617109-212255
► Using the intraday data on the Taiwan Stock Exchange (TWSE), we address the issue of the informativeness of the limit order book in the periodic…
(more)
▼ Using the intraday data on the Taiwan Stock Exchange (TWSE), we address the issue of the informativeness of the limit order book in the periodic call market. We find that the pre-call information variables, i.e., the market order and the radius of the order book, have significant impacts on the trade variables, i.e., trading volume, the post-call
bid-
ask spread, and the trader surplus. Furthermore, we are able to show that the radius, as well as the market order, contains two differential forces in impacting these trade variables.
Advisors/Committee Members: Mei-Hui Guo (chair), Chi-Jeng Wang (committee member), Anlin Chen (chair).
Subjects/Keywords: Asymmetric information; Trader surplus; Trading volume; Bid-ask spread
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Chang, T. (2009). The Informativeness of the Limit Order Book in a Periodic Call Market. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0617109-212255
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Chang, Ti-Yang. “The Informativeness of the Limit Order Book in a Periodic Call Market.” 2009. Thesis, NSYSU. Accessed December 06, 2019.
http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0617109-212255.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Chang, Ti-Yang. “The Informativeness of the Limit Order Book in a Periodic Call Market.” 2009. Web. 06 Dec 2019.
Vancouver:
Chang T. The Informativeness of the Limit Order Book in a Periodic Call Market. [Internet] [Thesis]. NSYSU; 2009. [cited 2019 Dec 06].
Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0617109-212255.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Chang T. The Informativeness of the Limit Order Book in a Periodic Call Market. [Thesis]. NSYSU; 2009. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0617109-212255
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Saskatchewan
6.
Wang, Juan.
The intraday pattern of information asymmetry : evidence from the NYSE.
Degree: 2009, University of Saskatchewan
URL: http://hdl.handle.net/10388/etd-09032009-164536
► Previous studies (e.g. Benston and Hagerman, 1974, Bagehot, 1971 and Stoll, 1978) suggest that the bid-ask spread consists of three components: asymmetric information cost, inventory…
(more)
▼ Previous studies (e.g. Benston and Hagerman, 1974, Bagehot, 1971 and Stoll, 1978) suggest that the
bid-
ask spread consists of three
components: asymmetric information cost, inventory holding cost, and order processing cost. Other literature (e.g. Brock and Kleidon, 1992, Hef-lin et al, 2007, and McInish and Van Ness, 2002) reports that the
bid-
ask spread varies during a trading day following a U-shaped pattern. One explanation for this observation is that it is the result of changes in information asymmetry costs over the trading hours, assuming the other costs are fixed. However, no empirical study directly measures how information asym-metry changes over the trading day. We explore how this measure relates to the
spread as well as the quote depth.
Our research divides a trading day into 13 half-hour trading intervals and measures in-formation asymmetry during each interval following the model developed by Madhavan and Smidt (1991) and Noronha et al (1996). Their model can directly estimate the level of infor-mation asymmetry in each interval. This enables us to observe the intraday pattern of infor-mation asymmetry directly and compare it to the patterns of the
spread and the quote depth. Furthermore, we test the relationship between the
spread and the information asymmetry and the relationship between the depth and the information asymmetry in a dynamic context to see how market makers manage information risk over trading hours.
We find that the risk of information asymmetry varies significantly during the trading day. There is a large drop over the first interval, and another large drop over the last interval, with smaller fluctuations over the remaining intervals. Moreover, we show that the
spread is consistent with an L-shaped pattern as opposed to the U-shaped pattern proposed by previous studies while the depth is increasing throughout the 13 trading intervals. Furthermore, we ob-serve that the variations of the
spread and the depth are respectively positively and negatively related to the intraday variations in the degree of information asymmetry across the trading intervals. In particular, a large decline in information asymmetry at the beginning of the day is associated with a large reduction in the
spread, whereas a large decline in information asymmetry at the end of the day is associated with a large increase in the quote depth. This emphasises the importance of studying both measures of liquidity simultaneously.
Advisors/Committee Members: Wilson, Craig, Tannous, George, Marie, Racine, Sick, Gordon, Dev, Mishra.
Subjects/Keywords: Intraday pattern; Bid-ask spread; Depth; Information asymmetry
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Wang, J. (2009). The intraday pattern of information asymmetry : evidence from the NYSE. (Thesis). University of Saskatchewan. Retrieved from http://hdl.handle.net/10388/etd-09032009-164536
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Wang, Juan. “The intraday pattern of information asymmetry : evidence from the NYSE.” 2009. Thesis, University of Saskatchewan. Accessed December 06, 2019.
http://hdl.handle.net/10388/etd-09032009-164536.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Wang, Juan. “The intraday pattern of information asymmetry : evidence from the NYSE.” 2009. Web. 06 Dec 2019.
Vancouver:
Wang J. The intraday pattern of information asymmetry : evidence from the NYSE. [Internet] [Thesis]. University of Saskatchewan; 2009. [cited 2019 Dec 06].
Available from: http://hdl.handle.net/10388/etd-09032009-164536.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Wang J. The intraday pattern of information asymmetry : evidence from the NYSE. [Thesis]. University of Saskatchewan; 2009. Available from: http://hdl.handle.net/10388/etd-09032009-164536
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Universidade Nova
7.
Rianço, Nelson Manuel Sobral.
Modelo com regimes para os preços e a liquidez de acções em bolsa.
Degree: 2009, Universidade Nova
URL: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/4096
► Dissertação apresentada à Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de mestre em Matemática e Aplicações - Ramo…
(more)
▼ Dissertação apresentada à Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de mestre em Matemática e Aplicações - Ramo Actuariado, Estatística e Investigação Operacional
Liquidez, nos mercados de acções, pode ser definida por várias quantidades
concorrentes directamente observadas. Através da revisão da literatura concluímos
que, apesar de um grande número de opiniões e dimensões da liquidez, os mais discutidos são o bid-ask spread (seguidamente designado por BAS) ver [12], [15],[26], [40], [46], [96], [108], [124] e [127] e o volume das transacções em [35], [104],[113], [132] e as suas referências. Uma série de estudos empíricos referenciados nos estudos citados, mostram a influência recíproca da liquidez nos níveis dos preços e dos níveis dos preços nas diversas medidas de liquidez.
Iremos reportar neste trabalho, a análise estatística de ambos, o BAS e o volume das transacções, para um grande conjunto de acções estudadas, mostrando que a quantidade que tem melhores propriedades estatísticas que permitem o modelo log-normal é o volume das transacções expressa na moeda local.
Propomos um modelo para a evolução do preço das acções em bolsa que incorpora a informação contida nos valores da liquidez expressa na moeda local. O modelo é dado por um sistema de equações diferenciais estocásticas, uma para o preço e outra para a liquidez, têm parâmetros de mudança de regime que mudam de acordo com as transformações dos limiares pelas trajectórias do processo. Por meio de um estudo de simulação, apresentamos algumas das propriedades do modelo e mostramos que permite recuperar algumas das características da evolução de uma acção típica do mercado de acções português.
Advisors/Committee Members: Esquível, Manuel L..
Subjects/Keywords: Liquidez; Bid-ask spread; Preço - liquidez; Regimes; Volume; Limiares
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Rianço, N. M. S. (2009). Modelo com regimes para os preços e a liquidez de acções em bolsa. (Thesis). Universidade Nova. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/4096
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Rianço, Nelson Manuel Sobral. “Modelo com regimes para os preços e a liquidez de acções em bolsa.” 2009. Thesis, Universidade Nova. Accessed December 06, 2019.
http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/4096.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Rianço, Nelson Manuel Sobral. “Modelo com regimes para os preços e a liquidez de acções em bolsa.” 2009. Web. 06 Dec 2019.
Vancouver:
Rianço NMS. Modelo com regimes para os preços e a liquidez de acções em bolsa. [Internet] [Thesis]. Universidade Nova; 2009. [cited 2019 Dec 06].
Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/4096.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Rianço NMS. Modelo com regimes para os preços e a liquidez de acções em bolsa. [Thesis]. Universidade Nova; 2009. Available from: http://www.rcaap.pt/detail.jsp?id=oai:run.unl.pt:10362/4096
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
NSYSU
8.
Wey, An-pin.
Studies on the bid ask spread component using high frequency trading data.
Degree: Master, Applied Mathematics, 2006, NSYSU
URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0718106-153008
► In this paper, we use the high frequency trading data of New York Stock Exchange to analyze the bid-ask spread components. It is found that…
(more)
▼ In this paper, we use the high frequency trading data of New York Stock Exchange to analyze the
bid-
ask spread components. It is found that there is an exponential relationship between the log returns of quoted midpoints and the trade volume. We also observe a negative linear correlation between the changes of quoted depth and the trade volume. Furthermore, changes of the quoted
ask depth and the quoted
bid depth are asymmetric due to the trading direction. Furthermore, statistical quality control charts, p-charts, are built for fixed number of trades to monitor unusual trades entering the market. Finally, logistic regression models are established to predict the probabilities of unusual trades entering the market based on the quotes and the quoted depth adjustments of the market makers.
Advisors/Committee Members: Mong-Na Lo Huang (chair), Mei-Hui Guo (committee member), CHI-JENG WANG (chair).
Subjects/Keywords: trade volume; quoted midpoint; quoted depth; bid-ask spread component; bid-ask spread
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Wey, A. (2006). Studies on the bid ask spread component using high frequency trading data. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0718106-153008
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Wey, An-pin. “Studies on the bid ask spread component using high frequency trading data.” 2006. Thesis, NSYSU. Accessed December 06, 2019.
http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0718106-153008.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Wey, An-pin. “Studies on the bid ask spread component using high frequency trading data.” 2006. Web. 06 Dec 2019.
Vancouver:
Wey A. Studies on the bid ask spread component using high frequency trading data. [Internet] [Thesis]. NSYSU; 2006. [cited 2019 Dec 06].
Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0718106-153008.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Wey A. Studies on the bid ask spread component using high frequency trading data. [Thesis]. NSYSU; 2006. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0718106-153008
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Brunel University
9.
Nguyen, Ngoc Dung.
Post earnings announcement drift and stock liquidity in the US, the UK and French equity markets.
Degree: 2010, Brunel University
URL: http://bura.brunel.ac.uk/handle/2438/4405
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.511702
► This thesis aims to investigate the influence of earnings news on stock liquidity and the relationship between information asymmetry cost component and Post Earnings Announcement…
(more)
▼ This thesis aims to investigate the influence of earnings news on stock liquidity and the relationship between information asymmetry cost component and Post Earnings Announcement Drift in different equity markets. The scope of this research includes 1821 firms from three leading countries in capital trading, the United States, United Kingdom, and France. The first part of empirical work, the univariate panel analysis, shows that price reaction, volume response and liquidity effect are profound during short term event window length and reduce over time when the news ceases, The second part, a multivariate regression analysis which uses Generalised Method of Movement to capture both the problems of a likely presence of endogeneity between the explanatory variables and cross-stock heterogeneity,shows that the impact of earnings announcement on stock liquidity can split in two directions. The immediate effect is the shock after the news, causing stock liquidity to decrease immediately by lifting the illiquidity function upward. After the event, from the new increased position of illiquidity function, stock liquidity improves over time due to the trading volume increases and shifts the slope of illiquidity function downward. The overall effects at a point of time will be the total impact of the two side effects. And as shown in the results, the overall impact on the US and UK markets are that stock liquidity decreases and that on Euronext Paris the stock liquidity increases. Given that in accounting there are two types of systems of which common law system includes the US, UK and others, and code law system includes France and the rest, the above results could suggest the difference between the two systems is that the information asymmetry component dominates the bid-ask spread in common law countries as in the US and UK markets while the cost of trading dominates the bid-ask spreads in code law countries such as France. Finally, it is shown that there are several determinants of the PEAD, of which stock liquidity is one. Earnings news changes the stock liquidity, and therefore stock liquidity plays a role in the market response. When earnings news is released, it initially creates a gap between the informed traders and the uninformed traders, increasing the bid ask spread. Over time, this information gap decreases, however in the meantime more information on the market increases trading volume and reduces trading cost, leading to another part of the bid ask spread decreasing or stock liquidity improving. After decomposing bid ask spread into information asymmetry cost and cost of trading components, the final part of empirical analysis shows that information asymmetry cost component provides a partial explanation for PEAD in the London Stock Exchange and Euronext Paris.
Subjects/Keywords: 332; Post Earning Announcements Drift; Stock Liquidity; Bid-Ask Spread; Information Asymmetry
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Nguyen, N. D. (2010). Post earnings announcement drift and stock liquidity in the US, the UK and French equity markets. (Doctoral Dissertation). Brunel University. Retrieved from http://bura.brunel.ac.uk/handle/2438/4405 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.511702
Chicago Manual of Style (16th Edition):
Nguyen, Ngoc Dung. “Post earnings announcement drift and stock liquidity in the US, the UK and French equity markets.” 2010. Doctoral Dissertation, Brunel University. Accessed December 06, 2019.
http://bura.brunel.ac.uk/handle/2438/4405 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.511702.
MLA Handbook (7th Edition):
Nguyen, Ngoc Dung. “Post earnings announcement drift and stock liquidity in the US, the UK and French equity markets.” 2010. Web. 06 Dec 2019.
Vancouver:
Nguyen ND. Post earnings announcement drift and stock liquidity in the US, the UK and French equity markets. [Internet] [Doctoral dissertation]. Brunel University; 2010. [cited 2019 Dec 06].
Available from: http://bura.brunel.ac.uk/handle/2438/4405 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.511702.
Council of Science Editors:
Nguyen ND. Post earnings announcement drift and stock liquidity in the US, the UK and French equity markets. [Doctoral Dissertation]. Brunel University; 2010. Available from: http://bura.brunel.ac.uk/handle/2438/4405 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.511702
Uppsala University
10.
Molin, Tove.
Effekten av frivillig redovisning på kapitalmarknaden : En studie om informationsinnehållet i kvartalsrapporter.
Degree: Business Studies, 2018, Uppsala University
URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-354774
► Vilken effekt frivilligt redovisad information har på kapitalmarknaden är en omstridd fråga i litteraturen. Vissa menar att mer information minskar informationsasymmetrin på kapitalmarknaden medan…
(more)
▼ Vilken effekt frivilligt redovisad information har på kapitalmarknaden är en omstridd fråga i litteraturen. Vissa menar att mer information minskar informationsasymmetrin på kapitalmarknaden medan andra finner motsatt resultat, där en förklaring är information overload. Denna studie bidrar till frågan genom att studera rapportlängden samt informationsinnehållet i kvartalsrapporter från 155 bolag noterade på Nasdaq Stockholm under åren 2015-2016, där bid-ask spread och handelsvolym används som mått på informationsasymmetri. Av fyra genomförda regressionsanalyser visar två signifikanta resultat. De signifikanta resultaten visar att frivilligt redovisad information höjer handelsvolymen, vilket indikerar att informationsasymmetrin på kapitalmarknaden minskar. Detta resultat har betydelse för såväl företag som standardsättare såsom IASB eftersom det tyder på att den svenska marknaden efterfrågar mer redovisad information.
Subjects/Keywords: informationsasymmetri; frivillig redovisning; kvartalsrapporter; handelsvolym; bid-ask spread; information overload; Business Administration; Företagsekonomi
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Molin, T. (2018). Effekten av frivillig redovisning på kapitalmarknaden : En studie om informationsinnehållet i kvartalsrapporter. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-354774
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Molin, Tove. “Effekten av frivillig redovisning på kapitalmarknaden : En studie om informationsinnehållet i kvartalsrapporter.” 2018. Thesis, Uppsala University. Accessed December 06, 2019.
http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-354774.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Molin, Tove. “Effekten av frivillig redovisning på kapitalmarknaden : En studie om informationsinnehållet i kvartalsrapporter.” 2018. Web. 06 Dec 2019.
Vancouver:
Molin T. Effekten av frivillig redovisning på kapitalmarknaden : En studie om informationsinnehållet i kvartalsrapporter. [Internet] [Thesis]. Uppsala University; 2018. [cited 2019 Dec 06].
Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-354774.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Molin T. Effekten av frivillig redovisning på kapitalmarknaden : En studie om informationsinnehållet i kvartalsrapporter. [Thesis]. Uppsala University; 2018. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-354774
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Washington University in St. Louis
11.
Wang, Yajun.
Essays on Margin Requirements, Endogenous Illiquidity, and Portfolio Choice.
Degree: PhD, Business Administration, 2011, Washington University in St. Louis
URL: https://openscholarship.wustl.edu/etd/364
► This dissertation includes three essays. The first essay studies the effects of margin requirements. The second essay studies how asymmetric information and imperfect competition affect…
(more)
▼ This dissertation includes three essays. The first essay studies the effects of margin requirements. The second essay studies how asymmetric information and imperfect competition affect equilibrium illiquidity. The third essay derives new comparative statics results for the distribution of portfolio payoffs. Margin requirements have long been implemented in almost all financial markets and are often used as an important regulatory tool for improving market conditions. However, their economic impact beyond affecting default risk is still largely unknown. The first essay proposes a tractable and flexible equilibrium model with and without information asymmetry to examine how margin requirements on both long and short stock positions affect asset prices, market volatility, market illiquidity and the welfare of market participants. Most of my main results are obtained in closed-form. Contrary to one of the main regulatory goals, I find that margin requirements can significantly emph{increase} market volatility. In addition, margin requirements always increase market illiquidity: as measured by price impact) and can lead to a greater return reversal exactly when they amplify market volatility. I also find that information asymmetry may reverse or dampen the impact of margin requirements. Moreover, margin requirements always make unconstrained investors worse off and can make constrained investors better off. The model provides new testable implications. The second essay proposes a novel and tractable equilibrium model to study how information asymmetry, competition among market makers, and investors' risk aversion affect asset pricing, market illiquidity and welfare. The main innovation is that market makers compete through choosing simultaneously quantities to buy at the
bid and to sell at the
ask and accordingly market clears separately at the
bid and at the
ask. Equilibrium
bid and
ask prices,
bid and
ask depths, trading volume and market makers' inventory levels are all derived in closed-form. Our model can help explain some of the puzzling empirical findings, such as
bid-
ask spreads can be lower with asymmetric information and can be positively correlated with trading volume. In addition, we find that information asymmetry may make informed investors worse off, may reduce the welfare loss due to market power and may increase the competition among market makers in equilibrium. Hart: 1975) proved the difficulty of deriving general comparative statics in portfolio weights. Instead, in the third essay, we derive new comparative statics for the distribution of payoffs: A is less risk averse than B iff A's payoff is always distributed as B's payoff plus a non-negative random variable plus conditional-mean-zero noise. If either agent has nonincreasing absolute risk aversion, the non-negative part can be chosen to be constant. The main result also holds in some incomplete markets with two assets or two-fund separation, and in multiple periods for a mixture of payoff distributions over time: but not at every point in time).
Advisors/Committee Members: Philip Dybvig.
Subjects/Keywords: Business; Bid-Ask Spread, Liquidity, Margin Requirements, Risk Aversion, Short-sales Constraints, Welfare
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Wang, Y. (2011). Essays on Margin Requirements, Endogenous Illiquidity, and Portfolio Choice. (Doctoral Dissertation). Washington University in St. Louis. Retrieved from https://openscholarship.wustl.edu/etd/364
Chicago Manual of Style (16th Edition):
Wang, Yajun. “Essays on Margin Requirements, Endogenous Illiquidity, and Portfolio Choice.” 2011. Doctoral Dissertation, Washington University in St. Louis. Accessed December 06, 2019.
https://openscholarship.wustl.edu/etd/364.
MLA Handbook (7th Edition):
Wang, Yajun. “Essays on Margin Requirements, Endogenous Illiquidity, and Portfolio Choice.” 2011. Web. 06 Dec 2019.
Vancouver:
Wang Y. Essays on Margin Requirements, Endogenous Illiquidity, and Portfolio Choice. [Internet] [Doctoral dissertation]. Washington University in St. Louis; 2011. [cited 2019 Dec 06].
Available from: https://openscholarship.wustl.edu/etd/364.
Council of Science Editors:
Wang Y. Essays on Margin Requirements, Endogenous Illiquidity, and Portfolio Choice. [Doctoral Dissertation]. Washington University in St. Louis; 2011. Available from: https://openscholarship.wustl.edu/etd/364
Université Catholique de Louvain
12.
Lefebvre, Maxime.
The Impact of the Shanghai-Hong-Kong Stock Connect Program on the Liquidity of Shanghai A-Shares.
Degree: 2016, Université Catholique de Louvain
URL: http://hdl.handle.net/2078.1/thesis:7130
► Market liquidity has a central role in many areas of finance and has been studied in depth, both in order to identify its sources and…
(more)
▼ Market liquidity has a central role in many areas of finance and has been studied in depth, both in order to identify its sources and to find out its impacts. The first aspect generally touches the area of market microstructure. In this paper, we broadly review the existing literature related to the microstructure approach to liquidity and discuss various ways to measure it. We also detail the impact of the Shanghai-Hong Kong Stock Connect Program (here-after denominated the Program) on the liquidity of A-shares traded in the Shanghai Stock Exchange (SSE). The Program allows Hong Kong investors to trade Shanghai A-shares directly through their broker in Hong Kong – and reversely from Hong Kong to Shanghai which constitutes a new step in the opening of Chinese stock markets to foreign investors. We then test the impact of the program in term of intraday patterns of liquidity measured as bid-ask spread, depth and trading volume using graphical exploration and linear regressions on 104 A-shares during two periods of 20 days using intraday minute-by-minute data. The key findings show that liquidity is slightly better for stocks included in the program. In addition, we observe L-shaped patterns of spread for both the stocks included in the program, and those not included in it. Regarding depth, we find out different results for stocks in- and out-the Stock Connect Program. Depth of stocks part of it follows an inverted L-shaped pattern while depth of stocks out of the program follows a U-shaped pattern. In addition, trading volume of all stocks follows a U-shaped pattern. All the patterns mentioned are explained by the market microstructure theory (order handling, inventory management and asymmetric information costs). Finally, we conclude that stocks included in the program exhibit better market liquidity and different trading behavior without being able to affirm that the program can solely explain those differences.
Master [120] en sciences de gestion, Université catholique de Louvain, 2016
Advisors/Committee Members: UCL - Louvain School of Management, Grégoire, Philippe.
Subjects/Keywords: market liquidity; market microstructure; liquidity proxies; intraday patterns of liquidity; bid-ask spread
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Lefebvre, M. (2016). The Impact of the Shanghai-Hong-Kong Stock Connect Program on the Liquidity of Shanghai A-Shares. (Thesis). Université Catholique de Louvain. Retrieved from http://hdl.handle.net/2078.1/thesis:7130
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Lefebvre, Maxime. “The Impact of the Shanghai-Hong-Kong Stock Connect Program on the Liquidity of Shanghai A-Shares.” 2016. Thesis, Université Catholique de Louvain. Accessed December 06, 2019.
http://hdl.handle.net/2078.1/thesis:7130.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Lefebvre, Maxime. “The Impact of the Shanghai-Hong-Kong Stock Connect Program on the Liquidity of Shanghai A-Shares.” 2016. Web. 06 Dec 2019.
Vancouver:
Lefebvre M. The Impact of the Shanghai-Hong-Kong Stock Connect Program on the Liquidity of Shanghai A-Shares. [Internet] [Thesis]. Université Catholique de Louvain; 2016. [cited 2019 Dec 06].
Available from: http://hdl.handle.net/2078.1/thesis:7130.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Lefebvre M. The Impact of the Shanghai-Hong-Kong Stock Connect Program on the Liquidity of Shanghai A-Shares. [Thesis]. Université Catholique de Louvain; 2016. Available from: http://hdl.handle.net/2078.1/thesis:7130
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Oklahoma State University
13.
Shah, Samarth P.
Essays on Liquidity Costs in Futures and Options Markets.
Degree: Department of Agricultural Economics, 2011, Oklahoma State University
URL: http://hdl.handle.net/11244/6539
► The study comprises three essays about the market microstructure of futures and options markets with the main emphasis on liquidity costs. The first essay determines…
(more)
▼ The study comprises three essays about the market microstructure of futures and options markets with the main emphasis on liquidity costs. The first essay determines the impact of the transition to electronic trading at the Kansas City Board of Trade (KCBT) wheat futures market. In this essay liquidity costs are estimated for side-by-side trading of open outcry and electronic wheat futures market at KCBT using intraday transaction prices. Factors such as daily volume, volume per trade, volatility and price clustering are used to explain the difference in liquidity costs in the two markets. The second essay attempts to guide the choice problem that agricultural producers face when selecting between futures and options markets to hedge their cash market position. Liquidity costs in KCBT wheat options and futures market are estimated and a new measure of liquidity costs in options markets is proposed. The third essay deals with the liquidity costs of stock and stock index futures and option markets at National Stock Exchange (NSE) of India. The liquidity costs are estimated using the new measure as well as several other measures previously developed in the literature. Findings and Conclusions: The main findings of the first essay are that the electronic wheat futures market has lower liquidity costs for all but the largest traders at KCBT. The key to continued existence of the open outcry market appears to be its ability to handle large orders. The second essay concludes that although, option contracts are often suggested to agricultural producers as an alternative to futures contracts to avoid margin calls, it costs more to trade an option. Regardless of the measure used, the liquidity costs in options markets were at least three times higher compared to the futures markets. A similar difference is found between the liquidity costs in stock and stock index futures and option markets at NSE, India in the third essay. The difference is more prominent in stock index futures and options compared to the individual stock futures and options.
Advisors/Committee Members: Brorsen, B. Wade (advisor), Anderson, Kim Barry (committee member), Norwood, Bailey (committee member), Krehbiel, Tim (committee member).
Subjects/Keywords: bid ask spread; black model; commodity markets; futures and options; kcbt; nse; india
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Shah, S. P. (2011). Essays on Liquidity Costs in Futures and Options Markets. (Thesis). Oklahoma State University. Retrieved from http://hdl.handle.net/11244/6539
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Shah, Samarth P. “Essays on Liquidity Costs in Futures and Options Markets.” 2011. Thesis, Oklahoma State University. Accessed December 06, 2019.
http://hdl.handle.net/11244/6539.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Shah, Samarth P. “Essays on Liquidity Costs in Futures and Options Markets.” 2011. Web. 06 Dec 2019.
Vancouver:
Shah SP. Essays on Liquidity Costs in Futures and Options Markets. [Internet] [Thesis]. Oklahoma State University; 2011. [cited 2019 Dec 06].
Available from: http://hdl.handle.net/11244/6539.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Shah SP. Essays on Liquidity Costs in Futures and Options Markets. [Thesis]. Oklahoma State University; 2011. Available from: http://hdl.handle.net/11244/6539
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Virginia Tech
14.
Danis, Michelle A.
The Effects of Multiple Listing on Bid-Ask Spreads for Equity Options.
Degree: MA, Economics, 1997, Virginia Tech
URL: http://hdl.handle.net/10919/36640
► The purpose of this thesis was to test the hypothesis that multiple-listing of equity options leads to lower bid-ask spreads because of increased competition. This…
(more)
▼ The purpose of this thesis was to test the hypothesis that multiple-listing of equity options leads to lower
bid-
ask spreads because of increased competition. This competition can come in two forms, actual or potential, both of which are theorized to have the same effect on spreads.
A model of the determinants of the
bid-
ask spread was formulated. Separate tests were conducted on 1985 and on 1992 CBOE data. The first test arose from the fact that in 1985, only a certain number of options were multiple-listed, or eligible to be multiple-listed. Spreads for multiple-listed options were conjectured to be below spreads for single-listed options across low levels of volume, and equal to single-listed option spreads at higher levels of volume. The evidence for this was mixed based on several regressions with different functional forms. The second test arose from the fact that in 1992, because of an SEC rule change, all options were eligible to be multiple-listed but still only a few were. Spreads for multiple-listed options were conjectured to be equal to spreads for single-listed options because the single-listed options had the potential to become multiple-listed. Again, the evidence for this was mixed. It appears that the actual and potential competitive effects from multiple-listing had yet to come to fruition as of 1992. Further testing revealed that, on an option-by-option basis, spreads generally rose from 1985 to 1992.
Advisors/Committee Members: Wentzler, Nancy A. (committeechair), Porter, William R. (committee member), Reid, Brian K. (committee member).
Subjects/Keywords: bid-ask spread; equity options; competition
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Danis, M. A. (1997). The Effects of Multiple Listing on Bid-Ask Spreads for Equity Options. (Masters Thesis). Virginia Tech. Retrieved from http://hdl.handle.net/10919/36640
Chicago Manual of Style (16th Edition):
Danis, Michelle A. “The Effects of Multiple Listing on Bid-Ask Spreads for Equity Options.” 1997. Masters Thesis, Virginia Tech. Accessed December 06, 2019.
http://hdl.handle.net/10919/36640.
MLA Handbook (7th Edition):
Danis, Michelle A. “The Effects of Multiple Listing on Bid-Ask Spreads for Equity Options.” 1997. Web. 06 Dec 2019.
Vancouver:
Danis MA. The Effects of Multiple Listing on Bid-Ask Spreads for Equity Options. [Internet] [Masters thesis]. Virginia Tech; 1997. [cited 2019 Dec 06].
Available from: http://hdl.handle.net/10919/36640.
Council of Science Editors:
Danis MA. The Effects of Multiple Listing on Bid-Ask Spreads for Equity Options. [Masters Thesis]. Virginia Tech; 1997. Available from: http://hdl.handle.net/10919/36640
Mississippi State University
15.
Steele, Dennis Franklin.
THE ASYMMETRIC INFORMATION CONTENT OF REIT IPOS.
Degree: PhD, Finance and Economics, 2009, Mississippi State University
URL: http://sun.library.msstate.edu/ETD-db/theses/available/etd-10302009-102109/
;
► This study examines asymmetric information content of REIT IPOs as compared to that of industrial IPOs matched by similar asset size, underwriter reputation ranking,…
(more)
▼ This study examines asymmetric information content of REIT IPOs as compared to that of industrial IPOs matched by similar asset size, underwriter reputation ranking, and partial adjustment of the offer-price from the midpoint of the original file range. The asymmetric information level is proxied by the relative
bid-
ask spread (<i>RELSPREAD</i>), adverse selection component of Glosten and Harris (<i>GH</i>, 1988), and the adverse selection component of Lin, Sanger, and Booth (<i>LSB</i>, 1995). All three measures are estimated over 45- and 60-day windows.
Using a sample of 78 equity REIT IPOs and 123 Industrial IPOs for the period of January 1, 1993 to December 31, 2007, the results indicate that REIT IPOs have less asymmetric information content as compared to mature industrial firms. All results control for leverage, beginning assets size, issue proceeds, underpricing, partial adjustment, number of IPOs within the same year, venture capital backing, underwriter reputation, average daily volume, average daily price, specialists inventory risk, and the turnover ratio. The results also control for the Nasdaq and NYSE rule change of minimum tick increments from 1/8
th to 1/16
th on June 2, 1997, and June 24, 1997, respectively. The findings provide strong support for the hypothesis that REIT IPOs have less asymmetric information content than non-REIT IPOs.
Advisors/Committee Members: Michael J. Highfield (chair), Gregory L. Nagel (committee member), Gary Wayne Kelly (committee member), Randall C. Campbell (committee member), John Thomas Rigsby, Jr. (committee member).
Subjects/Keywords: REIT IPO; bid-ask spread; initial public offerings; adverse selection cost; asymmetric information
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Steele, D. F. (2009). THE ASYMMETRIC INFORMATION CONTENT OF REIT IPOS. (Doctoral Dissertation). Mississippi State University. Retrieved from http://sun.library.msstate.edu/ETD-db/theses/available/etd-10302009-102109/ ;
Chicago Manual of Style (16th Edition):
Steele, Dennis Franklin. “THE ASYMMETRIC INFORMATION CONTENT OF REIT IPOS.” 2009. Doctoral Dissertation, Mississippi State University. Accessed December 06, 2019.
http://sun.library.msstate.edu/ETD-db/theses/available/etd-10302009-102109/ ;.
MLA Handbook (7th Edition):
Steele, Dennis Franklin. “THE ASYMMETRIC INFORMATION CONTENT OF REIT IPOS.” 2009. Web. 06 Dec 2019.
Vancouver:
Steele DF. THE ASYMMETRIC INFORMATION CONTENT OF REIT IPOS. [Internet] [Doctoral dissertation]. Mississippi State University; 2009. [cited 2019 Dec 06].
Available from: http://sun.library.msstate.edu/ETD-db/theses/available/etd-10302009-102109/ ;.
Council of Science Editors:
Steele DF. THE ASYMMETRIC INFORMATION CONTENT OF REIT IPOS. [Doctoral Dissertation]. Mississippi State University; 2009. Available from: http://sun.library.msstate.edu/ETD-db/theses/available/etd-10302009-102109/ ;
University of Pretoria
16.
Vorster, Barend
Christiaan.
Liquidity
premium and investment horizon : a research report on the influence
of liquidity on the return and holding period of securities on the
Johannesburg Stock Exchange.
Degree: Graduate School of
Management, 2008, University of Pretoria
URL: http://hdl.handle.net/2263/27193
► Liquidity is a measure of the ease with which an asset can be converted into cash. In a perfectly liquid market, conversion is instantaneous and…
(more)
▼ Liquidity is a measure of the ease with which an asset
can be converted into cash. In a perfectly liquid market,
conversion is instantaneous and does not incur costs. Amihud and
Mendelson (1986:224) proposed that illiquidity increases the
expected return on an investment (liquidity premium) and
simultaneously lengthens the holding period. These two effects are
known respectively as the “
spread-return relationship” and the
“clientele effect” and have theoretical as well as practical
implications. From a theoretical perspective it may help to explain
the gap between the capital asset pricing model (which assumes that
markets are perfectly liquid) and the associated empirical
evidence; which thus far has been rather poor. From a practical
perspective, liquidity will influence stakeholders’ decisions and
market competitiveness (Amihud&Mendelson, 1991:61-64). The
relevant stakeholders are governments, stock exchange regulators,
corporations, investors and financial intermediaries. Emerging
economies such as the South African economy typically have less
liquid markets than the developed world. While this may be
attractive for investors looking for higher returns, Amihud and
Mendelson (1991:61) are of the opinion that liquid markets are more
generally favoured by investors. Constantinides (1986:842-858),
also proposes a model for liquidity, but found the liquidity
premium to be of lesser importance than that proposed by Amihud and
Mendelson (1986:223-231) but also supports the suggestion that
investors will favour liquid markets. Although it is by no means a
perfect proxy, a security’s
bid-
ask spread has been found to be an
attractive and effective measure of liquidity. It has been found to
correlate with beta as well as market capitalisation and several
other variables commonly used in capital markets research. Because
of this correlation the effect of the
bid-
ask spread cannot be
studied in isolation when regression techniques are employed
(Ramanathan, 1998:166). This is particularly problematic because
empirical evidence for beta, which is arguably the most important
independent variable in financial cross sectional relationships, is
weak. Beta has to be estimated and so it is not clear if real
markets do not support CAPM theory or if beta cannot be estimated
with the required accuracy. All of the common independent variables
used in empirical capital markets research are correlated to beta,
and for this reason it cannot be established if these variables
have a real effect or if they are simply serving as a proxy for the
difference between the real and the estimated beta. Various
strategies have been proposed to increase the accuracy of beta
estimation and these are discussed in detail in this research.
Successes with these strategies have been mixed. A second problem
encountered in the empirical research base relating to the CAPM is
that in the theory the cross-sectional relationship is between
expected market return (which cannot be observed due to the vast
number of real investments beyond those listed on exchanges)…
Advisors/Committee Members: Ward, Mike (advisor).
Subjects/Keywords: Bid-ask
spread; Clientele
effect;
Beta; Capital asset
pricing model; Johannesburg
Stock Exchange (JSE); Spread return
relationship; Liquidity
premium;
UCTD
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Vorster, B. (2008). Liquidity
premium and investment horizon : a research report on the influence
of liquidity on the return and holding period of securities on the
Johannesburg Stock Exchange. (Masters Thesis). University of Pretoria. Retrieved from http://hdl.handle.net/2263/27193
Chicago Manual of Style (16th Edition):
Vorster, Barend. “Liquidity
premium and investment horizon : a research report on the influence
of liquidity on the return and holding period of securities on the
Johannesburg Stock Exchange.” 2008. Masters Thesis, University of Pretoria. Accessed December 06, 2019.
http://hdl.handle.net/2263/27193.
MLA Handbook (7th Edition):
Vorster, Barend. “Liquidity
premium and investment horizon : a research report on the influence
of liquidity on the return and holding period of securities on the
Johannesburg Stock Exchange.” 2008. Web. 06 Dec 2019.
Vancouver:
Vorster B. Liquidity
premium and investment horizon : a research report on the influence
of liquidity on the return and holding period of securities on the
Johannesburg Stock Exchange. [Internet] [Masters thesis]. University of Pretoria; 2008. [cited 2019 Dec 06].
Available from: http://hdl.handle.net/2263/27193.
Council of Science Editors:
Vorster B. Liquidity
premium and investment horizon : a research report on the influence
of liquidity on the return and holding period of securities on the
Johannesburg Stock Exchange. [Masters Thesis]. University of Pretoria; 2008. Available from: http://hdl.handle.net/2263/27193
University of Pretoria
17.
[No author].
Liquidity premium and investment horizon : a research
report on the influence of liquidity on the return and holding
period of securities on the Johannesburg Stock
Exchange
.
Degree: 2008, University of Pretoria
URL: http://upetd.up.ac.za/thesis/available/etd-08122008-115611/
► Liquidity is a measure of the ease with which an asset can be converted into cash. In a perfectly liquid market, conversion is instantaneous and…
(more)
▼ Liquidity is a measure of the ease with which an
asset can be converted into cash. In a perfectly liquid market,
conversion is instantaneous and does not incur costs. Amihud and
Mendelson (1986:224) proposed that illiquidity increases the
expected return on an investment (liquidity premium) and
simultaneously lengthens the holding period. These two effects are
known respectively as the “
spread-return relationship” and the
“clientele effect” and have theoretical as well as practical
implications. From a theoretical perspective it may help to explain
the gap between the capital asset pricing model (which assumes that
markets are perfectly liquid) and the associated empirical
evidence; which thus far has been rather poor. From a practical
perspective, liquidity will influence stakeholders’ decisions and
market competitiveness (Amihud&Mendelson, 1991:61-64). The
relevant stakeholders are governments, stock exchange regulators,
corporations, investors and financial intermediaries. Emerging
economies such as the South African economy typically have less
liquid markets than the developed world. While this may be
attractive for investors looking for higher returns, Amihud and
Mendelson (1991:61) are of the opinion that liquid markets are more
generally favoured by investors. Constantinides (1986:842-858),
also proposes a model for liquidity, but found the liquidity
premium to be of lesser importance than that proposed by Amihud and
Mendelson (1986:223-231) but also supports the suggestion that
investors will favour liquid markets. Although it is by no means a
perfect proxy, a security’s
bid-
ask spread has been found to be an
attractive and effective measure of liquidity. It has been found to
correlate with beta as well as market capitalisation and several
other variables commonly used in capital markets research. Because
of this correlation the effect of the
bid-
ask spread cannot be
studied in isolation when regression techniques are employed
(Ramanathan, 1998:166). This is particularly problematic because
empirical evidence for beta, which is arguably the most important
independent variable in financial cross sectional relationships, is
weak. Beta has to be estimated and so it is not clear if real
markets do not support CAPM theory or if beta cannot be estimated
with the required accuracy. All of the common independent variables
used in empirical capital markets research are correlated to beta,
and for this reason it cannot be established if these variables
have a real effect or if they are simply serving as a proxy for the
difference between the real and the estimated beta. Various
strategies have been proposed to increase the accuracy of beta
estimation and these are discussed in detail in this research.
Successes with these strategies have been mixed. A second problem
encountered in the empirical research base relating to the CAPM is
that in the theory the cross-sectional relationship is between
expected market return (which cannot be observed due to the vast
number of real investments beyond those listed on exchanges)…
Advisors/Committee Members: Ward, Mike (advisor).
Subjects/Keywords: Bid-ask spread;
Clientele effect;
Beta;
Capital asset pricing model;
Johannesburg Stock Exchange (JSE);
Spread return relationship;
Liquidity premium;
UCTD
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
author], [. (2008). Liquidity premium and investment horizon : a research
report on the influence of liquidity on the return and holding
period of securities on the Johannesburg Stock
Exchange
. (Masters Thesis). University of Pretoria. Retrieved from http://upetd.up.ac.za/thesis/available/etd-08122008-115611/
Chicago Manual of Style (16th Edition):
author], [No. “Liquidity premium and investment horizon : a research
report on the influence of liquidity on the return and holding
period of securities on the Johannesburg Stock
Exchange
.” 2008. Masters Thesis, University of Pretoria. Accessed December 06, 2019.
http://upetd.up.ac.za/thesis/available/etd-08122008-115611/.
MLA Handbook (7th Edition):
author], [No. “Liquidity premium and investment horizon : a research
report on the influence of liquidity on the return and holding
period of securities on the Johannesburg Stock
Exchange
.” 2008. Web. 06 Dec 2019.
Vancouver:
author] [. Liquidity premium and investment horizon : a research
report on the influence of liquidity on the return and holding
period of securities on the Johannesburg Stock
Exchange
. [Internet] [Masters thesis]. University of Pretoria; 2008. [cited 2019 Dec 06].
Available from: http://upetd.up.ac.za/thesis/available/etd-08122008-115611/.
Council of Science Editors:
author] [. Liquidity premium and investment horizon : a research
report on the influence of liquidity on the return and holding
period of securities on the Johannesburg Stock
Exchange
. [Masters Thesis]. University of Pretoria; 2008. Available from: http://upetd.up.ac.za/thesis/available/etd-08122008-115611/
Louisiana State University
18.
Wasan, Sonia.
Do accruals exacerbate information asymmetry in the market?.
Degree: PhD, Accounting, 2006, Louisiana State University
URL: etd-05232006-153150
;
https://digitalcommons.lsu.edu/gradschool_dissertations/410
► A considerable body of evidence, both archival and experimental, suggests that accounting accruals are heterogeneously interpreted by investors. In this study, I examine whether the…
(more)
▼ A considerable body of evidence, both archival and experimental, suggests that accounting accruals are heterogeneously interpreted by investors. In this study, I examine whether the information asymmetry among investors arising from this heterogeneous interpretation, implied in these empirical results, affects transactions costs in the form of the bid-ask spread and its adverse selection component. I examine this impact both, in general, for all trading activity occurring for a firm over a continuous flow of information during the year and around the first release of accrual information for each quarter. The results of the study provide empirical evidence of a positive association between the adverse selection component of the bid-ask spread and accruals in the yearly analysis. The results of the quarterly event tests conducted both around earnings announcements and the 10-Q/10-K filing dates indicate that the increase in the adverse selection component of the spread is positively linked to the absolute magnitude of total accruals. Documenting the existence of such a real cost of accruals provides a transactions cost basis for understanding why cost of capital increases with accrual activity (Dechow et al. 1996, Francis et al. 2005) as well as suggesting that the information asymmetries associated with such activity merit serious attention of accounting policy makers
Subjects/Keywords: accruals; information asymmetry; bid-ask spread; adverse selection component
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Wasan, S. (2006). Do accruals exacerbate information asymmetry in the market?. (Doctoral Dissertation). Louisiana State University. Retrieved from etd-05232006-153150 ; https://digitalcommons.lsu.edu/gradschool_dissertations/410
Chicago Manual of Style (16th Edition):
Wasan, Sonia. “Do accruals exacerbate information asymmetry in the market?.” 2006. Doctoral Dissertation, Louisiana State University. Accessed December 06, 2019.
etd-05232006-153150 ; https://digitalcommons.lsu.edu/gradschool_dissertations/410.
MLA Handbook (7th Edition):
Wasan, Sonia. “Do accruals exacerbate information asymmetry in the market?.” 2006. Web. 06 Dec 2019.
Vancouver:
Wasan S. Do accruals exacerbate information asymmetry in the market?. [Internet] [Doctoral dissertation]. Louisiana State University; 2006. [cited 2019 Dec 06].
Available from: etd-05232006-153150 ; https://digitalcommons.lsu.edu/gradschool_dissertations/410.
Council of Science Editors:
Wasan S. Do accruals exacerbate information asymmetry in the market?. [Doctoral Dissertation]. Louisiana State University; 2006. Available from: etd-05232006-153150 ; https://digitalcommons.lsu.edu/gradschool_dissertations/410
Kaunas University of Technology
19.
Baršauskaitė,
Skaistė.
Lietuvos akcijų rinkos pasiūlos ir paklausos
srautų analizė.
Degree: Master, Mathematics, 2008, Kaunas University of Technology
URL: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2008~D_20080716_112521-25059
;
► Lietuvos akcijų rinkos pasiūlos ir paklausos srautų analizei buvo pasirinktos 9 akcijos. Jas, pagal įvykusių sandorių skaičių ir vertę, galima suskirstyti į tris grupes: nelikvidžios,…
(more)
▼ Lietuvos akcijų rinkos pasiūlos ir paklausos
srautų analizei buvo pasirinktos 9 akcijos. Jas, pagal įvykusių
sandorių skaičių ir vertę, galima suskirstyti į tris grupes:
nelikvidžios, pusiau likvidžios ir likvidžios akcijos. Šių akcijų,
viešai skelbiami rinkos gylio ir įvykusių sandorių, duomenys buvo
imami iš Vilniaus vertybinių popierių biržos internetinio puslapio
http://www.baltic.omxgroup.com/ nuo 2008 02 25 iki 2008 04 18.
Darbe buvo skaičiuojami paprastas (inside bid-ask spread),
efektyvus (effective spread) ir užfiksuotas kainų skirtumai. Roll
matas skaičiuojamas remiantis akcijų įvykusių sandorių kainomis,
kurių skirtumų stacionarumas ištirtas RA-kriterijumi (reverse
arrangement test). Kaip ir buvo galima tikėtis, parodyta, kad
pasirinktų akcijų rinka yra neefektyvi. Dėl šios priežasties,
kiekvienai akcijai apskaičiuotas Roll matas yra labai grubus.
Naudojant C++ programavimo kalbą, buvo sukurta programinė įranga: •
Duomenų skaitymui iš interneto; • Duomenų bazės kūrimui,
apdorojimui ir redagavimui; • Duomenų
analizei.
Nine types of stock were chosen to analyse
quoted bid-ask spread of Vilnius Stock Exchange. According to the
value and number of transactions of the stock, it can be divided
into three groups: non-liquid, half-liquid and liquid stock. Public
market depth information and data of trade was taken from Vilnius
Stock Exchange website http://www.baltic.omxgroup.com/ during the
period from 25th February 2008 to 18th April 2008. In my work I
have analysed inside bid-ask spread, effective spread and fixed
prices. Roll measure was measured using trade prices of stock;
stationarity of differences of trade prices were examined using
reverse arrangement test. As had been expected, I came to
conclusion that the stock market for chosen stocks is
informationally inefficient. Due to this reason the Roll measure is
not correct. By using C++ programming language the following
programming tools were created: • Data reading from internet tool;
• Data collection and correction tool; • Data analysis
tool.
Advisors/Committee Members: Saulis, Leonas (Master’s degree committee chair), Valakevičius, Eimutis (Master’s degree session secretary), Aksomaitis, Algimantas Jonas (Master’s degree committee member), Janilionis, Vytautas (Master’s degree committee member), Navickas, Zenonas (Master’s degree committee member), Pekarskas, Vidmantas Povilas (Master’s degree committee member), Rudzkis, Rimantas (Master’s degree committee member), Račkauskas, Gediminas (Master’s thesis supervisor), Petrošienė, Laurita (Master’s thesis reviewer).
Subjects/Keywords: Rinkos
efektyvumas; Roll matas; Pirkimo-pardavimo kainos
skirtumas; Efektyvus kainų
skirtumas; Efficient-market
hypothesis; Roll measure; Inside bid-ask
spread; Effective
spread
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Baršauskaitė,
Skaistė. (2008). Lietuvos akcijų rinkos pasiūlos ir paklausos
srautų analizė. (Masters Thesis). Kaunas University of Technology. Retrieved from http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2008~D_20080716_112521-25059 ;
Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Chicago Manual of Style (16th Edition):
Baršauskaitė,
Skaistė. “Lietuvos akcijų rinkos pasiūlos ir paklausos
srautų analizė.” 2008. Masters Thesis, Kaunas University of Technology. Accessed December 06, 2019.
http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2008~D_20080716_112521-25059 ;.
Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
MLA Handbook (7th Edition):
Baršauskaitė,
Skaistė. “Lietuvos akcijų rinkos pasiūlos ir paklausos
srautų analizė.” 2008. Web. 06 Dec 2019.
Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Vancouver:
Baršauskaitė,
Skaistė. Lietuvos akcijų rinkos pasiūlos ir paklausos
srautų analizė. [Internet] [Masters thesis]. Kaunas University of Technology; 2008. [cited 2019 Dec 06].
Available from: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2008~D_20080716_112521-25059 ;.
Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Council of Science Editors:
Baršauskaitė,
Skaistė. Lietuvos akcijų rinkos pasiūlos ir paklausos
srautų analizė. [Masters Thesis]. Kaunas University of Technology; 2008. Available from: http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2008~D_20080716_112521-25059 ;
Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
University of Oulu
20.
Kyröläinen, P. (Petri).
Essays on investor behavior and trading activity.
Degree: 2007, University of Oulu
URL: http://urn.fi/urn:isbn:9789514284366
► Abstract This thesis investigates a set of equity market phenomena associated with investors' trading activity, using a comprehensive Finnish Central Securities Depository (FCSD) database that…
(more)
▼ Abstract
This thesis investigates a set of equity market phenomena associated with investors' trading activity, using a comprehensive Finnish Central Securities Depository (FCSD) database that records practically all trades by Finnish investors. This database enables us to classify a large number of heterogeneous investors using both economic and institutional characteristics.
The first essay classifies investors by trading activity. It analyzes trading styles of active and passive investors during the boom in technology stocks 1997–2000. We find that the herding tendency of active investors grew monotonically, year by year. Particularly large active investors used momentum and growth strategies. Moreover, buy pressures of active investors were positively related to contemporaneous daily returns. Passive investors, on the other hand, herd very strongly and their trading exhibited a contrarian style throughout the sample period.
The second essay focuses on the relation between day trading of individual investors and intraday stock price volatility. I find a strong positive relation between the individual investors' day trades and volatility for actively day traded stocks. This finding suggests that day trading tends to increase volatility and/or day traders tend to become more active on the days of high volatility.
The third essay tests the theoretical proposition of Amihud and Mendelson (1986) that investors hold assets with higher bid-ask spreads for longer periods. We measure holding periods of individual investors directly and find that they are positively related to spreads. The models control for a variety of other stock characteristics (e.g. value vs. growth orientation) and investors' attributes (e.g. gender) affecting holding periods.
The fourth essay studies how both individual and institutional investors with different levels of capital gains and losses react to earnings announcements. I find that both sign and magnitude of capital gains affect individual investors' abnormal trading volumes. Individual investors are less prone to sell when they are carrying loses rather than gains. Furthermore, they react less to earnings announcements when capital gains or losses are large (over 20%). Taken together these findings provide support for prospect theory. Institutional investors appear to be less affected by psychological factors underlying prospect theory.
Subjects/Keywords: bid-ask spread; day trading; momentum trading; prospect theory; trading activity; volatility
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Kyröläinen, P. (. (2007). Essays on investor behavior and trading activity. (Doctoral Dissertation). University of Oulu. Retrieved from http://urn.fi/urn:isbn:9789514284366
Chicago Manual of Style (16th Edition):
Kyröläinen, P (Petri). “Essays on investor behavior and trading activity.” 2007. Doctoral Dissertation, University of Oulu. Accessed December 06, 2019.
http://urn.fi/urn:isbn:9789514284366.
MLA Handbook (7th Edition):
Kyröläinen, P (Petri). “Essays on investor behavior and trading activity.” 2007. Web. 06 Dec 2019.
Vancouver:
Kyröläinen P(. Essays on investor behavior and trading activity. [Internet] [Doctoral dissertation]. University of Oulu; 2007. [cited 2019 Dec 06].
Available from: http://urn.fi/urn:isbn:9789514284366.
Council of Science Editors:
Kyröläinen P(. Essays on investor behavior and trading activity. [Doctoral Dissertation]. University of Oulu; 2007. Available from: http://urn.fi/urn:isbn:9789514284366
NSYSU
21.
Lin, Chi-hsien.
Modeling the Bid-Ask Spread by Option Hedging.
Degree: Master, Applied Mathematics, 2005, NSYSU
URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0808105-124932
► The bid-ask spread costs consist of three components, which include order processing costs, inventory-holding costs, and adverse selection costs. In this paper, we model the…
(more)
▼ The
bid-
ask spread costs consist of three
components, which include order processing costs, inventory-holding costs, and adverse selection costs. In this paper, we model the inventory-holding costs of the
bid-
ask spread by option hedging. Theinventory-holding costs are hedged by call or put option positions. Since trades deal with the adverse selection traders are unobservable. We treat it as a latent variable, and Expected-Maximization (EM) algorithm are applied to estimate the related parameters of the model. Simulation studies are performed for several different
models. Empirical results of NYSE high frequency data show that the proposed model are obtain appropriate parameter estimation when the returns satisfied normality assumption.
Advisors/Committee Members: Mong-Na Lo Huang (chair), Mei-Hui Guo (committee member), Fu-Chuen Chang (chair).
Subjects/Keywords: option hedging; high frequency data; the bid-ask spread; EM algorithm
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Lin, C. (2005). Modeling the Bid-Ask Spread by Option Hedging. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0808105-124932
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Lin, Chi-hsien. “Modeling the Bid-Ask Spread by Option Hedging.” 2005. Thesis, NSYSU. Accessed December 06, 2019.
http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0808105-124932.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Lin, Chi-hsien. “Modeling the Bid-Ask Spread by Option Hedging.” 2005. Web. 06 Dec 2019.
Vancouver:
Lin C. Modeling the Bid-Ask Spread by Option Hedging. [Internet] [Thesis]. NSYSU; 2005. [cited 2019 Dec 06].
Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0808105-124932.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Lin C. Modeling the Bid-Ask Spread by Option Hedging. [Thesis]. NSYSU; 2005. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0808105-124932
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Jönköping University
22.
Fransson, Abbe.
Reverse Stock Splits : An Empirical Approach to the Signaling and Trading Range Hypotheses on Swedish Stocks Subject to Reverse Split between 1995 and 2004.
Degree: Economics, 2005, Jönköping University
URL: http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-268
► Den här uppsatsen behandlar företag som är listade på Stockholmsbörsen som gjorde omvänd split mellan 1995 och 2004. Företagen är testade för abnormal avkastning…
(more)
▼ Den här uppsatsen behandlar företag som är listade på Stockholmsbörsen som gjorde omvänd split mellan 1995 och 2004. Företagen är testade för abnormal avkastning kring tillkännagivandet av den omvända spliten, samt förändringar i köp-sälj ratio, handels volym och antalet handelsdagar där ingen handel skedde i aktien. Inga abnormala avkastningar eller signifikanta förändringar i köp-sälj ration eller handelsvolymen kunde hittas. Däremot så visar förändringen i antalet handelsdagar utan handel i aktien en försämring och antalet handelsdagar minskade i de aktier som genomgått en omvänd split. Detta medför att likviditeten minskade för de företag som genomförde en omvänd split.
This paper addresses reverse splits for firms trading on the Stockholm stock exchange between 1995 and 2004. The related sample are tested for abnormal returns surrounding the announcement day of the reverse split, as well as any changes in bid-ask spread, trading volume and the number of non-trading days. No findings of abnormal returns or significant changes in either bid-ask spread or trading volume could be found, while the number of non-trading days for the whole sample increased. This may suggest that the marketability decreased for the reverse splitting firms.
Subjects/Keywords: Reverse split; bid-ask spread; trading volume; non-trading days; liquidity; Economics; Nationalekonomi
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Fransson, A. (2005). Reverse Stock Splits : An Empirical Approach to the Signaling and Trading Range Hypotheses on Swedish Stocks Subject to Reverse Split between 1995 and 2004. (Thesis). Jönköping University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-268
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Fransson, Abbe. “Reverse Stock Splits : An Empirical Approach to the Signaling and Trading Range Hypotheses on Swedish Stocks Subject to Reverse Split between 1995 and 2004.” 2005. Thesis, Jönköping University. Accessed December 06, 2019.
http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-268.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Fransson, Abbe. “Reverse Stock Splits : An Empirical Approach to the Signaling and Trading Range Hypotheses on Swedish Stocks Subject to Reverse Split between 1995 and 2004.” 2005. Web. 06 Dec 2019.
Vancouver:
Fransson A. Reverse Stock Splits : An Empirical Approach to the Signaling and Trading Range Hypotheses on Swedish Stocks Subject to Reverse Split between 1995 and 2004. [Internet] [Thesis]. Jönköping University; 2005. [cited 2019 Dec 06].
Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-268.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Fransson A. Reverse Stock Splits : An Empirical Approach to the Signaling and Trading Range Hypotheses on Swedish Stocks Subject to Reverse Split between 1995 and 2004. [Thesis]. Jönköping University; 2005. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-268
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Virginia Tech
23.
Popescu, Marius.
Two Essays on the Probability of Informed Trading.
Degree: PhD, Finance, Insurance, and Business Law, 2007, Virginia Tech
URL: http://hdl.handle.net/10919/27500
► This dissertation consists of two essays. The first essay develops a new methodology for estimating the probability of informed trading from the observed quotes and…
(more)
▼ This dissertation consists of two essays. The first essay develops a new methodology for estimating the probability of informed trading from the observed quotes and depths, by extending the Copeland and Galai (1983) model. This measure (PROBINF) can be computed for each quote and it represents the specialistâ s ex-ante estimate of the probability of informed trading. I show that PROBINF exhibits a strong and robust relationship with the observed level of insider trading and with measures of the price impact of trades (ë) estimated based on the models of Glosten and Harris (1988), Madhavan and Smidt (1991) and Foster and Viswanathan (1993). In contrast, the alternative measure of the probability of informed trading (PIN) developed by Easley, Kiefer, Oâ Hara and Paperman (1996) exhibits a weaker and less robust relationship with insider trading and price impact of trades. The time series pattern of PROBINF in an intra-day analysis around earnings announcement is consistent with previous findings regarding informed trading. An important advantage of PROBINF over PIN and other measures of information asymmetry such as price impact of trades and adverse selection component of the
spread is that, unlike these measures, it can be estimated for each quote, and thus can also be used to measure intra-day changes in informed trading and information asymmetry.
In the second essay, I examine whether the underwriting syndicate composition influences the secondary market liquidity for initial public offerings (IPOs). Specifically, I argue that co-managers improve the liquidity of IPOs through the other services they provide, besides market making. Using a comprehensive sample of initial public offerings completed between January 1993 and December 2005, I find that IPOs with a high number of co-managers in their syndicates have lower spreads and a lower level of information asymmetry in the aftermarket. I argue that the information produced during the premarket and the analyst coverage in the aftermarket are the main channels through which co-managers mitigate the information asymmetry risk in the secondary market.
Advisors/Committee Members: Kumar, Raman (committeechair), Keown, Arthur J. (committee member), Cliff, Michael T. (committee member), Kadlec, Gregory B. (committee member).
Subjects/Keywords: initial public offering (IPO); bid-ask spread; informed trading; information asymmetry; underwriting syndicate
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Popescu, M. (2007). Two Essays on the Probability of Informed Trading. (Doctoral Dissertation). Virginia Tech. Retrieved from http://hdl.handle.net/10919/27500
Chicago Manual of Style (16th Edition):
Popescu, Marius. “Two Essays on the Probability of Informed Trading.” 2007. Doctoral Dissertation, Virginia Tech. Accessed December 06, 2019.
http://hdl.handle.net/10919/27500.
MLA Handbook (7th Edition):
Popescu, Marius. “Two Essays on the Probability of Informed Trading.” 2007. Web. 06 Dec 2019.
Vancouver:
Popescu M. Two Essays on the Probability of Informed Trading. [Internet] [Doctoral dissertation]. Virginia Tech; 2007. [cited 2019 Dec 06].
Available from: http://hdl.handle.net/10919/27500.
Council of Science Editors:
Popescu M. Two Essays on the Probability of Informed Trading. [Doctoral Dissertation]. Virginia Tech; 2007. Available from: http://hdl.handle.net/10919/27500
24.
ZHANG HUIPING.
Measuring liquidity in emerging markets.
Degree: 2011, National University of Singapore
URL: http://scholarbank.nus.edu.sg/handle/10635/23715
Subjects/Keywords: Liquidity; effective bid-ask spread; price impact; Illiq_Zero; correlation; principal component analysis
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
HUIPING, Z. (2011). Measuring liquidity in emerging markets. (Thesis). National University of Singapore. Retrieved from http://scholarbank.nus.edu.sg/handle/10635/23715
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
HUIPING, ZHANG. “Measuring liquidity in emerging markets.” 2011. Thesis, National University of Singapore. Accessed December 06, 2019.
http://scholarbank.nus.edu.sg/handle/10635/23715.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
HUIPING, ZHANG. “Measuring liquidity in emerging markets.” 2011. Web. 06 Dec 2019.
Vancouver:
HUIPING Z. Measuring liquidity in emerging markets. [Internet] [Thesis]. National University of Singapore; 2011. [cited 2019 Dec 06].
Available from: http://scholarbank.nus.edu.sg/handle/10635/23715.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
HUIPING Z. Measuring liquidity in emerging markets. [Thesis]. National University of Singapore; 2011. Available from: http://scholarbank.nus.edu.sg/handle/10635/23715
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
25.
Bricelj, Bor.
Vključitev Likvidnostnega tveganja v parametrične modele tvegane vrednosti.
Degree: 2013, Univerza v Mariboru
URL: https://dk.um.si/IzpisGradiva.php?id=40057
;
https://dk.um.si/Dokument.php?id=54572&dn=
;
https://plus.si.cobiss.net/opac7/bib/11402524?lang=sl
► V magistrskem delu vpeljujemo likvidnost kot dejavnik tveganja v standardno analizo tvegane vrednosti. Osnovne parametrične VaR modele nadgradimo z informacijami o cenovnem razponu med ponujeno…
(more)
▼ V magistrskem delu vpeljujemo likvidnost kot dejavnik tveganja v standardno analizo tvegane vrednosti. Osnovne parametrične VaR modele nadgradimo z informacijami o cenovnem razponu med ponujeno in povpraševano ceno določene naložbe. Pri tem nestanovitnost donosov izračunavamo na dva načina, in sicer z uporabo ne–tehtane metodologije in z uporabo GARCH metodologije.
Rezultate nadgrajenih modelov testiramo na podlagi štirih naborov delnic: treh tujih in slovenskega. Ugotavljamo, da likvidnostni VaR modeli, ob upoštevanju predpostavk raziskave, primerno ocenjujejo tržna tveganja in da se v primerjavi s klasičnimi VaR modeli izkažejo za bolj ustrezne. Do takšnih ugotovitev pridemo pri uporabi obeh metodologij za izračun nestanovitnosti donosov. Ob primerjavi rezultatov modelov po obeh metodologijah med sabo pa se kot primernejši izkažejo likvidnostni VaR modeli, izračunani na podlagi GARCH metodologije.
Metodološko na eni strani Likvidnostni VaR modeli predstavljajo napredek v okviru obravnave tržnih tveganj, vendar na drugi strani rezultati testiranj modelov kažejo, da slednji še niso dovolj robustni, da bi zadovoljili vsem statističnim testom. Razlog za to je v večji podatkovni zahtevnosti likvidnostnih VaR modelov. Glede primerjave rezultatov po naborih delnic pa ugotavljamo, da so rezultati za slovenski nabor, kljub manjši globini trga, primerljivi s tistimi iz tujine.
In this masters thesis we implement liquidity as a risk factor in the standard value-at-risk framework. We incorporate bid-ask spread information into the basic VaR models. In the models we calculate the volatility of returns in two ways: with the use of non–weighted methodology and with the use of GARCH methodology.
We then test these models on four different markets: on three foreign and on a domestic one. We conclude that based on assumptions of our research, liquidity VaR models adequately measure market risk and even prove themselves superior to ordinary VaR models. We conclude this for all the models, based on both types of volatility methodologies. In comparison between the models based on different volatility methodologies we conclude that those using the GARCH methodology prove themselves superior to those using non–weighted methodology.
On one hand the liquidity VaR models represent a step in the right direction in market risk analysis but on the other hand those models are not yet robust enough to pass all backtests. Reason for this is that liquidity VaR models have a higher demand for input data quality and quantity wise. About the comparison of results between markets we conclude that the results for the domestic market are comparable to those of foreign ones despite the domestic one being smaller.
Advisors/Committee Members: Jagrič, Timotej.
Subjects/Keywords: tvegana vrednost; likvidnost; GARCH; srednja cena; cenovni razpon; statistični test ustreznosti; value-at-risk; liquidity; GARCH; mid-price; bid-ask spread; backtests; info:eu-repo/classification/udc/336.76
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Bricelj, B. (2013). Vključitev Likvidnostnega tveganja v parametrične modele tvegane vrednosti. (Masters Thesis). Univerza v Mariboru. Retrieved from https://dk.um.si/IzpisGradiva.php?id=40057 ; https://dk.um.si/Dokument.php?id=54572&dn= ; https://plus.si.cobiss.net/opac7/bib/11402524?lang=sl
Chicago Manual of Style (16th Edition):
Bricelj, Bor. “Vključitev Likvidnostnega tveganja v parametrične modele tvegane vrednosti.” 2013. Masters Thesis, Univerza v Mariboru. Accessed December 06, 2019.
https://dk.um.si/IzpisGradiva.php?id=40057 ; https://dk.um.si/Dokument.php?id=54572&dn= ; https://plus.si.cobiss.net/opac7/bib/11402524?lang=sl.
MLA Handbook (7th Edition):
Bricelj, Bor. “Vključitev Likvidnostnega tveganja v parametrične modele tvegane vrednosti.” 2013. Web. 06 Dec 2019.
Vancouver:
Bricelj B. Vključitev Likvidnostnega tveganja v parametrične modele tvegane vrednosti. [Internet] [Masters thesis]. Univerza v Mariboru; 2013. [cited 2019 Dec 06].
Available from: https://dk.um.si/IzpisGradiva.php?id=40057 ; https://dk.um.si/Dokument.php?id=54572&dn= ; https://plus.si.cobiss.net/opac7/bib/11402524?lang=sl.
Council of Science Editors:
Bricelj B. Vključitev Likvidnostnega tveganja v parametrične modele tvegane vrednosti. [Masters Thesis]. Univerza v Mariboru; 2013. Available from: https://dk.um.si/IzpisGradiva.php?id=40057 ; https://dk.um.si/Dokument.php?id=54572&dn= ; https://plus.si.cobiss.net/opac7/bib/11402524?lang=sl
26.
Ekman, Melker.
Obligationens risker : En studie om kreditrisk, likviditetsrisk och ränterisk för företagsobligationer på den svenska marknaden.
Degree: Business Administration, 2019, Umeå University
URL: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160904
► När en företagsobligation och en statsobligation har samma löptid och har en skillnad i avkastning, så kallas denna skillnad för kreditspread. Ett känt koncept…
(more)
▼ När en företagsobligation och en statsobligation har samma löptid och har en skillnad i avkastning, så kallas denna skillnad för kreditspread. Ett känt koncept inom finansvärlden är att risk har en stark koppling till avkastning. När emittenten av obligationen inte kan återbetala överenskommen utdelning eller principiellt lånebelopp så klassas detta som en betalningsinställelse. Eftersom det generellt sett är större risk för en betalningsinställelse för ett företag än för en stat, så vill investerare bli kompenserade för den extra risken de tar sig an. Den totala risken som utgör skillnaden i avkastning kan i sin tur delas upp i flera olika riskkomponenter. Syftet med vår uppsats är att undersöka ifall likviditetsrisk, ränterisk och kreditrisk har en effekt på kreditspread för företagsobligationer på den svenska marknaden. Med detta som bakgrund så har vi samlat in historiska data på förfallna obligationer under de senaste 10 åren via databaserna Thomson Reuter Datastream och Eikon. Vi har sedan laddat ned obligationsspecifika egenskaper i form av finansiella nyckeltal för samtliga obligationer. Dessa nyckeltal har valts för att till bästa förmåga representera och mäta respektive risk. Exempelvis så har vi använt oss av nyckeltalet “bid-ask-spread” för att mäta likviditetsrisk hos en obligation. För att undersöka sambandet mellan våra valda risker och kreditspread så genomförde vi ett hypotestest. Vi skapade en nollhypotes och en alternativhypotes som vi sedan testade med hjälp av en multipel regression. Nollhypotes (H0): Studiens utvalda variabler har inte en effekt på den kreditspread hos svenska företagsobligationer Alternativhypotes (Ha): Studiens utvalda variabler har en effekt på den kreditspread hos svenska företagsobligationer Slutsatsen var att vi kunde statistiskt påvisa ett positivt samband mellan riskernas storlek och storleken på obligationens kreditspread. Detta gjordes både för riskerna var för sig och för modellen när den blev testad i sin helhet. Den bakomliggande teorin bakom variablerna kunde därför antas vara korrekt även vid applicering på svenska marknaden för det senaste decenniet. Vi har som ambition att denna studie skall kunna agera som ett verktyg för fundamental analys för framtida investerare samt vidare studier inom området obligationer på svenska marknaden
Subjects/Keywords: bid-ask-spread; yieldspread; liquidity risk; credit risk; interest rate risk; obligation; obligationer; obligationens risker; kreditspread; ränterisk; kreditrisk; likviditetsrisk; riskpremie; duration; finans; företagsobligation; statsobligation; riskvariabel; fond; värdepapper; Business Administration; Företagsekonomi
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Ekman, M. (2019). Obligationens risker : En studie om kreditrisk, likviditetsrisk och ränterisk för företagsobligationer på den svenska marknaden. (Thesis). Umeå University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160904
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Ekman, Melker. “Obligationens risker : En studie om kreditrisk, likviditetsrisk och ränterisk för företagsobligationer på den svenska marknaden.” 2019. Thesis, Umeå University. Accessed December 06, 2019.
http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160904.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Ekman, Melker. “Obligationens risker : En studie om kreditrisk, likviditetsrisk och ränterisk för företagsobligationer på den svenska marknaden.” 2019. Web. 06 Dec 2019.
Vancouver:
Ekman M. Obligationens risker : En studie om kreditrisk, likviditetsrisk och ränterisk för företagsobligationer på den svenska marknaden. [Internet] [Thesis]. Umeå University; 2019. [cited 2019 Dec 06].
Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160904.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Ekman M. Obligationens risker : En studie om kreditrisk, likviditetsrisk och ränterisk för företagsobligationer på den svenska marknaden. [Thesis]. Umeå University; 2019. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160904
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
University of Illinois – Urbana-Champaign
27.
Tremacoldi Rossi, Pedro.
The high–low spread estimator is not well–behaved in commodity markets.
Degree: MS, Agricultural & Applied Econ, 2017, University of Illinois – Urbana-Champaign
URL: http://hdl.handle.net/2142/99420
► In spite of the increasing availability of high-quality data and the possibility of obtaining direct commodity trading costs in recent periods, historical series of transaction…
(more)
▼ In spite of the increasing availability of high-quality data and the possibility of obtaining direct commodity trading costs in recent periods, historical series of transaction costs still require
bid-
ask spread estimation. In this work, we verify whether the popular high-low
spread estimator performs well in commodity markets so that it can be used to construct long-term cost estimates. We find that the estimator suffers both from measurement error increasing in the volatility-to-
spread ratio and consistently positive error in a variety of empirical and experimental settings. As the measurement error in the high-low estimator depends on ex-ante knowledge about the usually unobserved true
spread level, we conclude that the
spread measure is not well-behaved and should be avoided in commodity markets.
Advisors/Committee Members: Irwin, Scott H (advisor), Garcia, Philip (committee member), Robe, Michel A (committee member), Serra Devesa, Maria Teresa (committee member).
Subjects/Keywords: Commodity futures; Bid-ask spreads; Transaction costs
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Tremacoldi Rossi, P. (2017). The high–low spread estimator is not well–behaved in commodity markets. (Thesis). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/99420
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Tremacoldi Rossi, Pedro. “The high–low spread estimator is not well–behaved in commodity markets.” 2017. Thesis, University of Illinois – Urbana-Champaign. Accessed December 06, 2019.
http://hdl.handle.net/2142/99420.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Tremacoldi Rossi, Pedro. “The high–low spread estimator is not well–behaved in commodity markets.” 2017. Web. 06 Dec 2019.
Vancouver:
Tremacoldi Rossi P. The high–low spread estimator is not well–behaved in commodity markets. [Internet] [Thesis]. University of Illinois – Urbana-Champaign; 2017. [cited 2019 Dec 06].
Available from: http://hdl.handle.net/2142/99420.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Tremacoldi Rossi P. The high–low spread estimator is not well–behaved in commodity markets. [Thesis]. University of Illinois – Urbana-Champaign; 2017. Available from: http://hdl.handle.net/2142/99420
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
28.
Kjell, Fritjof.
Tick Size Reductions effect on provisions of Liquidity : Research on the Stockholm Stock Exchange.
Degree: Business Administration, 2015, Jönköping University
URL: http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-26545
► The tick size of a security has acted as powerful tool for regulators to improve market quality, encourage trade, and create fair competition in…
(more)
▼ The tick size of a security has acted as powerful tool for regulators to improve market quality, encourage trade, and create fair competition in trading venues. As a result, The Federation of European Securities Exchange (FESE) has long been concerned with finding an optimal tick size regime to implement across exchanges in Europe. From 2009-2010, The FESE and the Stockholm Stock Exchange (SSE) implemented the FESE tick size table 2 for 81 Large Cap stocks in a collaborative effort to enhance the overall market quality for all of its participants. This study investigates the FESE tick size table 2 that was implemented in October 2009 and June 2010 on the SSE and its impact on Large Cap stocks in term of liquidity. Through the measurement and analysis of the three commonly used features of liquidity (bid-ask spread, depth, and trade volume), the study suggests that the provisions of liquidity increased due to the implementation of the FESE tick size table 2 overall, improving market quality and encouraging trade amongst its participants.
Subjects/Keywords: Tick size; Public limit order book; bid-ask spread; depth; trade volume; liquidity; Economics; Nationalekonomi
…consequence of this is a larger bid-ask spread which increases participant transaction costs when… …provisions of liquidity on capital markets.
Width can also be referred to as the bid-ask spread… …The bid-ask spread is an important feature
in financial markets as a whole, however for the… …perspectives, the bid-ask spread represents the reward for providing
immediacy on the PLB (… …Harris 2003). An immediacy demanding trader therefore values a
smaller bid-ask spread to a…
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Kjell, F. (2015). Tick Size Reductions effect on provisions of Liquidity : Research on the Stockholm Stock Exchange. (Thesis). Jönköping University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-26545
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Chicago Manual of Style (16th Edition):
Kjell, Fritjof. “Tick Size Reductions effect on provisions of Liquidity : Research on the Stockholm Stock Exchange.” 2015. Thesis, Jönköping University. Accessed December 06, 2019.
http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-26545.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
MLA Handbook (7th Edition):
Kjell, Fritjof. “Tick Size Reductions effect on provisions of Liquidity : Research on the Stockholm Stock Exchange.” 2015. Web. 06 Dec 2019.
Vancouver:
Kjell F. Tick Size Reductions effect on provisions of Liquidity : Research on the Stockholm Stock Exchange. [Internet] [Thesis]. Jönköping University; 2015. [cited 2019 Dec 06].
Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-26545.
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
Council of Science Editors:
Kjell F. Tick Size Reductions effect on provisions of Liquidity : Research on the Stockholm Stock Exchange. [Thesis]. Jönköping University; 2015. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-26545
Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
29.
Jottreau, Benoît.
Financial models and price formation : applications to sport betting : Modèles financiers et formation des prix : applications aux paris sportifs.
Degree: Docteur es, Mathématiques, 2009, Université Paris-Est
URL: http://www.theses.fr/2009PEST1031
► Cette thèse est composée de quatre chapitres. Le premier chapitre traite de l'évaluation de produits financiers dans un modèle comportant un saut pour l'actif risque.…
(more)
▼ Cette thèse est composée de quatre chapitres. Le premier chapitre traite de l'évaluation de produits financiers dans un modèle comportant un saut pour l'actif risque. Ce saut représente la faillite de l'entreprise correspondante. On étudie alors l'évaluation des prix d'options par indifférence d'utilité dans un cadre d'utilité exponentielle. Par des techniques de programmation dynamique on montre que le prix d'un Bond est solution d'une équation différentielle et le prix d'options dépendantes de l'actif est solution d'une équation aux dérives partielles d'Hamilton-Jacobi-Bellman. Le saut dans la dynamique de l'actif risque induit des différences avec le modèle de Merton que nous tentons de quantifier. Le second chapitre traite d'un marché comportant des sauts : les paris sur le football. Nous rappelons les différentes familles de modèles pour un match de football et introduisons un modèle complet permettant d'évaluer les prix des différents produits apparus sur ce marché ces dix dernières années. La complexité de ce modèle nous amène à étudier un modèle simplifié dont nous étudions les implications et calculons les prix obtenus que l'on compare à la réalité. On remarque que la calibration implicite obtenue génère de très bons résultats en produisant des prix très proches de la réalité. Le troisième chapitre développe le problème de fixation des prix par un teneur de marche monopolistique dans le marché des paris binaires. Ce travail est un prolongement direct au problème introduit par Levitt [Lev04]. Nous généralisons en effet son travail aux cas des paris européens et proposons une méthode pour estimer la méthode de cotation utilisée par le book-maker. Nous montrons que deux hypothèses inextricables peuvent expliquer cette fixation des prix. D'une part, l'incertitude du public sur la vraie valeur ainsi que le caractère extrêmement risque-averse du bookmaker. Le quatrième chapitre prolonge quant à lui cette approche au cas de produits financiers non binaires. Nous examinons différents modèles d'offre et de demande et en déduisons, par des techniques de programmation dynamique, des équations aux dérivées partielles dictant la formation des prix d'achat et de vente. Nous montrons finalement que l'écart entre prix d'achat et prix de vente ne dépend pas de la position du teneur de marche dans l'actif considère. Cependant le prix moyen dépend lui fortement de la quantité détenue par le teneur de marche. Une approche simplifiée est finalement proposée dans le cas multidimensionnel
This thesis is composed of four chapters. The first one deals with the pricing of financial products in a single jump model for the risky asset. This jump represents the bankrupcy of the quoted firm. We study the pricing of derivatives in the context of indifference of utility with an exponential utility. By means of dynamic programming we show that the bond price is solution of an ordinary differential equation and that stock price dependent options are solutions of an equation with partial derivatives of Hamilton-Jacobi-Bellman type…
Advisors/Committee Members: Quenez, Marie-Claire (thesis director).
Subjects/Keywords: Finance; Programmation dynamique; Optimisation; Instruments financiers; Sport; Pari sportif; Options binaires; Football; Hamilton Jacobi Bellman; Prix; Teneur de marché; Offre et demande; Finance; Dynamic Programming; Utility; Optimization; Sport; Betting; Binary options; Soccer; Football; Hamilton Jacobi Bellman; Price; Market-maker; Bid-ask spread
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Jottreau, B. (2009). Financial models and price formation : applications to sport betting : Modèles financiers et formation des prix : applications aux paris sportifs. (Doctoral Dissertation). Université Paris-Est. Retrieved from http://www.theses.fr/2009PEST1031
Chicago Manual of Style (16th Edition):
Jottreau, Benoît. “Financial models and price formation : applications to sport betting : Modèles financiers et formation des prix : applications aux paris sportifs.” 2009. Doctoral Dissertation, Université Paris-Est. Accessed December 06, 2019.
http://www.theses.fr/2009PEST1031.
MLA Handbook (7th Edition):
Jottreau, Benoît. “Financial models and price formation : applications to sport betting : Modèles financiers et formation des prix : applications aux paris sportifs.” 2009. Web. 06 Dec 2019.
Vancouver:
Jottreau B. Financial models and price formation : applications to sport betting : Modèles financiers et formation des prix : applications aux paris sportifs. [Internet] [Doctoral dissertation]. Université Paris-Est; 2009. [cited 2019 Dec 06].
Available from: http://www.theses.fr/2009PEST1031.
Council of Science Editors:
Jottreau B. Financial models and price formation : applications to sport betting : Modèles financiers et formation des prix : applications aux paris sportifs. [Doctoral Dissertation]. Université Paris-Est; 2009. Available from: http://www.theses.fr/2009PEST1031
University of New South Wales
30.
Rai, Alan.
Essays on market liquidity and monetary policy.
Degree: Economics, 2013, University of New South Wales
URL: http://handle.unsw.edu.au/1959.4/52432
;
https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11105/SOURCE01?view=true
► The first essay examines the ability of financial market illiquidity to predict key Australian and U.S. macroeconomic variables. I analyse whether illiquidity's predictive ability is…
(more)
▼ The first essay examines the ability of financial market illiquidity to predict key Australian and U.S. macroeconomic variables. I analyse whether illiquidity's predictive ability is state-contingent, drawing on recent theoretical work on the potential for a state-contingent relationship. Using a Markov regime switching model, I uncover strong evidence that the predictive power of illiquidity is state-contingent, with much higher predictability in states associated with historical periods of economic and financial stress. Furthermore, economic growth forecasts from Markov regime switching models that include market liquidity in the set of predictor variables are statistically better than forecasts from Markov switching models that exclude market liquidity.Gorton and Metrick (2010, 2011) argue that a run on the repo market played a key role in the collapse of shadow banks, while Krishnamurthy, Nagel and Orlov (2011) argue the collapse was chiefly due to a run on asset-backed commercial paper (ABCP). In order to assess the validity of these arguments, the second essay empirically examines the link between market liquidity and funding liquidity in various U.S corporate bond markets. Over the entire 2005-09 sample period, I find weak evidence of predictive ability among these variables. Where significant, repos are found to have higher predictive ability than ABCP. In addition, unsecured funding liquidity is found to have as much predictive ability as repos. These findings partially support Gorton and Metrick (2010, 2011), but do not support Krishnamurthy et al. (2011). I also find that the relationship between market liquidity and funding liquidity is state-contingent, a finding which supports the theoretical literature on the existence of nonlinear, regime-switching behaviour.The final essay assesses the impact, on credit market spreads, of the various unconventional policies introduced by the U.S. Federal Reserve, between mid-2007 and early 2009. I also examine the impact of fiscal policies announced during this period, as well as the stance of conventional monetary policy. I find that fiscal policy announcements exerted a significant and destabilising influence on market spreads. Furthermore, while the multitude of unconventional monetary policy initiatives were effective in reducing market spreads, the efficacy of these policies was undermined by the Federal Reserve's inability to achieve its macroeconomic objectives.
Advisors/Committee Members: Panchenko, Valentyn, Economics, Australian School of Business, UNSW.
Subjects/Keywords: Bond spreads; Asset-backed commercial paper; Bid-ask spread; Federal Funds rate; London interbank offered rate; Monetary policy; Regime switching; Sale and repurchase agreement; Trading volume; Vector autoregression; Fiscal policy; Taylor rule
Record Details
Similar Records
Cite
Share »
Record Details
Similar Records
Cite
« Share
❌
APA ·
Chicago ·
MLA ·
Vancouver ·
CSE |
Export
to Zotero / EndNote / Reference
Manager
APA (6th Edition):
Rai, A. (2013). Essays on market liquidity and monetary policy. (Doctoral Dissertation). University of New South Wales. Retrieved from http://handle.unsw.edu.au/1959.4/52432 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11105/SOURCE01?view=true
Chicago Manual of Style (16th Edition):
Rai, Alan. “Essays on market liquidity and monetary policy.” 2013. Doctoral Dissertation, University of New South Wales. Accessed December 06, 2019.
http://handle.unsw.edu.au/1959.4/52432 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11105/SOURCE01?view=true.
MLA Handbook (7th Edition):
Rai, Alan. “Essays on market liquidity and monetary policy.” 2013. Web. 06 Dec 2019.
Vancouver:
Rai A. Essays on market liquidity and monetary policy. [Internet] [Doctoral dissertation]. University of New South Wales; 2013. [cited 2019 Dec 06].
Available from: http://handle.unsw.edu.au/1959.4/52432 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11105/SOURCE01?view=true.
Council of Science Editors:
Rai A. Essays on market liquidity and monetary policy. [Doctoral Dissertation]. University of New South Wales; 2013. Available from: http://handle.unsw.edu.au/1959.4/52432 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:11105/SOURCE01?view=true
◁ [1] [2] [3] [4] [5] … [106] ▶
. 
Open Access Theses and Dissertations
