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Essays on the Liquidity of Financial Markets.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays on the Liquidity of Financial Markets./
作者:	Zafeiridou, Christina.
面頁冊數:	1 online resource (143 pages)
附註:	Source: Dissertation Abstracts International, Volume: 78-07(E), Section: A.
標題:	Business administration. -
電子資源:	click for full text (PQDT)
ISBN:	9781369590562

Essays on the Liquidity of Financial Markets.
Zafeiridou, Christina.

Essays on the Liquidity of Financial Markets. - 1 online resource (143 pages)

Source: Dissertation Abstracts International, Volume: 78-07(E), Section: A.

Thesis (Ph.D.)--University of Michigan, 2016.

Includes bibliographical references

This dissertation examines the effects of political uncertainty surrounding the outcome of U.S. presidential elections on financial market quality - i.e., the ability of a market to price assets correctly - as well as the liquidity spillovers across four asset classes traded in U.S. futures markets.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781369590562Subjects--Topical Terms:

1148568
Business administration.
Index Terms--Genre/Form:

554714
Electronic books.

Essays on the Liquidity of Financial Markets.
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245 1 0 $a Essays on the Liquidity of Financial Markets.
264 0 $c 2016
300 $a 1 online resource (143 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 78-07(E), Section: A.
500 $a Advisers: Stefan Nagel; Paolo Pasquariello.
502 $a Thesis (Ph.D.)--University of Michigan, 2016.
504 $a Includes bibliographical references
520 $a This dissertation examines the effects of political uncertainty surrounding the outcome of U.S. presidential elections on financial market quality - i.e., the ability of a market to price assets correctly - as well as the liquidity spillovers across four asset classes traded in U.S. futures markets.
520 $a In the first chapter, entitled "Political Uncertainty, Liquidity, and Information Asymmetry" and co-authored with Paolo Pasquariello, we examine the effects of political uncertainty, as captured by the U.S. Presidential elections, on financial market liquidity, returns, and volatility. We find that liquidity deteriorates (trading volume decreases, fraction of zero returns increase) in the months leading up to the presidential elections (when political uncertainty is higher), but it improves (trading volume increases, price impact and fraction of zero returns decrease) in the months following the elections. We also find that average stock returns are higher both before and after the elections. The effects are more pronounced for more uncertain elections and more politically sensitive firms. We postulate that the effects of political uncertainty on financial markets depend on a positive relation between political uncertainty and information asymmetry among investors, ambiguity about the quality of their information, or dispersion of their beliefs. To test these hypotheses, we use direct proxies for market wide information asymmetry and disagreement, and find that the proxies only for the former are significantly affected by political uncertainty. These findings provide the strongest support for the predictions of the ambiguity hypothesis.
520 $a In the second chapter of the dissertation, entitled "Liquidity Spillovers Across Asset Classes", I argue that liquidity spillovers - i.e., the transmissions of liquidity shocks from one asset to another - are an important yet not fully understood feature of price formation in financial markets. Using a reduced-form VAR, I measure the liquidity spillovers across four assets in the U.S. futures market and find significant evidence of liquidity spillovers across these assets, especially during periods of financial and macroeconomic turmoil. My findings also suggest that these spillovers are driven by liquidity supply channels (as opposed to information channels): when liquidity providers face higher funding constraints, liquidity spillovers across assets increase.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Business administration. $3 1148568
655 7 $a Electronic books. $2 local $3 554714
690 $a 0310
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of Michigan. $b Business Administration. $3 1181140
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10391847 $z click for full text (PQDT)