Search for dissertations about: "liquidity effect"

Showing result 1 - 5 of 32 swedish dissertations containing the words liquidity effect.

2. 1. Essays on Derivatives and Liquidity

   Author : Caihong Xu; Lars Nordén; Björn Hagströmer; Hans Byström; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Index options; volatility smile; liquidity; index futures; expiration-day effects; limit order book; trading patience; order flows; gold futures; hedging; företagsekonomi; Business Administration;

   Abstract : This dissertation contains four essays in which derivatives markets are studied in relation to three related topics in financial economics: asset pricing, market microstructure and risk management.Essay I studies the role of relative option liquidity in explaining the volatility smile. READ MORE

4. 2. Corporate Ownership and Liquidity in China’s Stock Markets

   Author : Mingfa Ding; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Political connections; QFII; Foreign institutional investor; Liquidity; Block ownership; Real friction; Informational friction; Information asymmetries; Trading activity;

   Abstract : This thesis consists of an introduction and three self-contained chapters that address liquidity issues related to corporate ownership in the Chinese stock markets. The first paper provides new insight into the relation between foreign institutional investors and stock liquidity by employing the Qualified Foreign Institutional Investor (QFII) scheme in the Chinese stock markets. READ MORE

5. 3. Essays on Balkan frontier stock markets

   Author : Goran Zafirov; Lars Nordén; Björn Hagströmer; Dejan Šoškić; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; frontier stock markets; privatisation; liquidity; liquidity premium; order book; transparency; price discovery; frontier aktiemarknad; privatisering; likviditet; likviditetspremie; orderbok; transparens; prisbildning; företagsekonomi; Business Administration;

   Abstract : This dissertation consists of four chapters dealing with Balkan frontier markets, their design and performance. Chapter I provides an introduction to these markets and presents additional information necessary for the reader to understand these markets. READ MORE

6. 4. Essays on Market Design and Market Quality

   Author : Dong Zhang; Lars Nordén; Björn Hagströmer; Dagfinn Rime; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; index futures market; underlying stock market; liquidity; volatility; gold futures market; price discovery; high frequency traders; aggressiveness; order submission; liquidity provider; adverse selection cost; företagsekonomi; Business Administration;

   Abstract : This dissertation contains four studies on different market structures and their impact on market quality.Article I studies the effect of introducing stock index futures contracts on the underlying stocks. The results indicate a lower liquidity level in the underlying stocks. READ MORE

7. 5. Insurances against job loss and disability : Private and public interventions and their effects on job search and labor supply

   Author : Josefine Andersson; Anders Forslund; Stefan Eriksson; Michael Rosholm; Uppsala universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Employment Security Agreements; job search assistance; job loss; notification; lump-sum severance grant; liquidity effect; disability insurance; financial incentives; continuous deduction; regression discontinuity design; propensity score matching; nearest neighbor matching; Economics; Nationalekonomi;

   Abstract : Essay I: Employment Security Agreements, which are elements of Swedish collective agreements, offer a unique opportunity to study very early job search counselling of displaced workers. These agreements provide individual job search assistance to workers who are dismissed due to redundancy, often as early as during the period of notice. READ MORE