Search for dissertations about: "liquidity"

Showing result 1 - 5 of 50 swedish dissertations containing the word liquidity.

  1. 1. Liquidity and Portfolio Optimisation

    Author : Björn Hagströmer; Jane M. Binner; Aston University Aston Business School; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; stock market; liquidity; systematic liquidity; portfolio optimisation; high-frequency data; Economics; Nationalekonomi;

    Abstract : This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock markets. The discussion on liquidity is focussed on measurement issues, including TAQ data processing and measurement of systematic liquidity factors. READ MORE

  2. 2. Essays on Derivatives and Liquidity

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

    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

  3. 3. (Il)liquidity on the Scandinavian Stock Exchange

    Author : Jonas Söderberg; Ghazi Shukur; Ken Bechmann; Växjö universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finance; Liquidity; Order-driven stock exchanges; Economics; Nationalekonomi; Economics; Nationalekonomi;

    Abstract : The time-series dynamics of liquidity on the Scandinavian stock exchanges between January 1993 and June 2005 are studied with an (il)liquidity index, based on the measures in Amihud (2002) and Lesmond, Ogden and Trzcinka (1999). The relationships between return, volatility, trading activity, and liquidity are examined in a VAR framework within these purely order-driven stock exchanges. READ MORE

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

    Author : Mingfa Ding; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; 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. 5. Essays on the Scandinavian Stock Markets

    Author : Jonas Söderberg; Ghazi Shukur; Carsten Tanggaard; Växjö universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Scandinavian stock markets; Liquidity; Market microstructure theory; Liquidity spillover; Vector autoregression analysis; Forecasting; Out-of-sample tests; Copulas; Risk management; Economics; Nationalekonomi; Economics; Nationalekonomi;

    Abstract : This thesis consists of three self-contained empirical essays related to the stock markets in Denmark, Norway, and Sweden.In Essay I, the time-series dynamics of liquidity on the Scandinavian stock exchanges between January 1993 and June 2005 are studied with liquidity indices. READ MORE