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University of Bradford

1. Alrabadi, Dima Waleed Hanna. Systematic liquidity risk and stock price reaction to large one-day price changes : evidence from London Stock Exchange.

Degree: PhD, 2009, University of Bradford

This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of Pastor and Stambaugh (2003) and Liu (2006) is not country-specific. Particularly, systematic liquidity risk is priced in the London Stock Exchange when Amihud's (2002) illiquidity ratio is used as a liquidity proxy. Given the importance of systematic liquidity risk in the asset pricing literature, we are interested in testing whether the different levels of systematic liquidity risk across stocks can explain the anomaly following large one-day price changes. Specifically, we expect that the stocks with high sensitivity to the fluctuations in aggregate market liquidity to be more affected by price shocks. We find that most liquid stocks react efficiently to price shocks, while the reactions of the least liquid stocks support the uncertain information hypothesis. However, we show that time-varying risk is more important than systematic liquidity risk in explaining the price reaction of stocks in different liquidity portfolios. Indeed, the time varying risk explains nearly all of the documented overreaction and underreaction following large one-day price changes. Our evidence suggests that the observed anomalies following large one-day price shocks are caused by the pricing errors arising from the use of static asset pricing models. In particular, the conditional asset pricing model of Harris et al. (2007), which allow both risk and return to vary systematically over time, explain most of the observed anomalies. This evidence supports the Brown et al. (1988) findings that both risk and return increase in a systematic fashion following price shocks.

Subjects/Keywords: 332; Systematic liquidity risk; Asset pricing; Large one-day price changes; Time-varying risk; S-GARCH; Efficient market hypothesis; Underreaction; Overreaction; London Stock Exchange; Stock prices

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APA (6th Edition):

Alrabadi, D. W. H. (2009). Systematic liquidity risk and stock price reaction to large one-day price changes : evidence from London Stock Exchange. (Doctoral Dissertation). University of Bradford. Retrieved from http://hdl.handle.net/10454/4323

Chicago Manual of Style (16th Edition):

Alrabadi, Dima Waleed Hanna. “Systematic liquidity risk and stock price reaction to large one-day price changes : evidence from London Stock Exchange.” 2009. Doctoral Dissertation, University of Bradford. Accessed January 29, 2020. http://hdl.handle.net/10454/4323.

MLA Handbook (7th Edition):

Alrabadi, Dima Waleed Hanna. “Systematic liquidity risk and stock price reaction to large one-day price changes : evidence from London Stock Exchange.” 2009. Web. 29 Jan 2020.

Vancouver:

Alrabadi DWH. Systematic liquidity risk and stock price reaction to large one-day price changes : evidence from London Stock Exchange. [Internet] [Doctoral dissertation]. University of Bradford; 2009. [cited 2020 Jan 29]. Available from: http://hdl.handle.net/10454/4323.

Council of Science Editors:

Alrabadi DWH. Systematic liquidity risk and stock price reaction to large one-day price changes : evidence from London Stock Exchange. [Doctoral Dissertation]. University of Bradford; 2009. Available from: http://hdl.handle.net/10454/4323

2. Hua, Wei. International Financial Markets.

Degree: PhD, Economics and Finance, 2012, University of New Orleans

This dissertation consists of two essays: one looks at the cross-country variations in volume-price variability relationship and cultural and other country factors, and the other looks at cause and effects of large one-day price changes in commodity futures. The first essay presented in Chapter 1 investigates the effect of cultural and other country factors on the dynamic relation between market-wide trading activity and price variability in 20 countries. The results show that individualism and masculinity are positively related to volume-variability relation; other country factors including information asymmetry, financial development, short sale and age distribution are also closely related to the volume-variability relation. Specifically, the return-variability relation is stronger in less financially-developed countries with short-sale constraints and high information asymmetry. The second essay presented in Chapter 2 examines the causes and effects of large price changes in 26 commodity futures. The results indicate that announcements of macroeconomic news, the maturity effect, and the seasonal effect can explain the futures price movements of food (non-grains), grain, and livestock better than those of energy and metal. Without controlling for other factors, I find some support for the overreaction theory, especially following negative large price changes in closing. However, controlling for macro factors or market conditions, there is no support for overreactions. Advisors/Committee Members: Wei Peihwang P..

Subjects/Keywords: Cultural factors; trading volume; absolute price; large price changes; overreaction; maturity effect

Large Stock Price Changes on the Tokyo Stock Exchange." Journal of Financial and… …x28;1) the correlation between volume and price changes and (2) the correlation… …between volume and absolute value of price changes. 2.1.1 Volume-Price Changes Relation… …x29; finds a contemporaneous positive correlation between price changes and volume, but no… …price changes and volume. For example, Chan and Tse (1993) show a positive… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Hua, W. (2012). International Financial Markets. (Doctoral Dissertation). University of New Orleans. Retrieved from https://scholarworks.uno.edu/td/1443

Chicago Manual of Style (16th Edition):

Hua, Wei. “International Financial Markets.” 2012. Doctoral Dissertation, University of New Orleans. Accessed January 29, 2020. https://scholarworks.uno.edu/td/1443.

MLA Handbook (7th Edition):

Hua, Wei. “International Financial Markets.” 2012. Web. 29 Jan 2020.

Vancouver:

Hua W. International Financial Markets. [Internet] [Doctoral dissertation]. University of New Orleans; 2012. [cited 2020 Jan 29]. Available from: https://scholarworks.uno.edu/td/1443.

Council of Science Editors:

Hua W. International Financial Markets. [Doctoral Dissertation]. University of New Orleans; 2012. Available from: https://scholarworks.uno.edu/td/1443

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