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Dissertations / Theses on the topic 'Liquidity'

Author: Grafiati
Published: 4 June 2021
Last updated: 25 July 2025

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1

Bawazir, Hana Saeed. "Liquidity, liquidity risk and liquidity regulation in banking." Thesis, University of Southampton, 2018. https://eprints.soton.ac.uk/421043/.

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This thesis focuses on the importance of bank liquidity in the overall banking system during various liquidity shocks. To this end, three different empirical research are conducted in this thesis. We start with an investigation of the impact of bank market power on liquidity creation during the global financial crisis (GFC) in European banking. Second, we extend our analysis and examine how the liquidity ratio requirements under Basel III affects their risk and return. Following this, we consider the banking system in the Gulf Cooperation Council (GCC) and investigate whether the effect of the
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2

Nowak, Arkadiusz. "Liquidity levels, liquidity risk, and market fragmentation." Access to citation, abstract and download form provided by ProQuest Information and Learning Company; downloadable PDF file, 89 p, 2008. http://proquest.umi.com/pqdweb?did=1601516561&sid=2&Fmt=2&clientId=8331&RQT=309&VName=PQD.

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3

Von, Trotta-Treyden Michael, and Rickard Strand. "Momentum & Liquidity : Do Liquidity Strategies Add Return?" Thesis, Stockholm University, School of Business, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-6043.

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<p>Momentum can be explained as a passive strategy which is rebalanced continually over time. It can be divided into a long position in observed “winners”, and a short position in observed “losers”. This study tries to find out if some kind of liquidity strategy can increase any abnormal return generated by a conventional momentum strategy. Our data is based on monthly returns from all listed companies at Stockholm Stock Exchange between January 1997 and June 2005. We have, in addition to a plain momentum strategy, composed four different liquidity strategies, based on four different observing
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4

Salé, Laurent. "Liquidity in the banking sector." Thesis, Paris 1, 2016. http://www.theses.fr/2016PA01E002/document.

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Comme un déterminant de la survie d'une banque durant la crise financière de 2007/2008, la liquidité dans le secteur bancaire a depuis récemment représenté un défi pour les communautés financières et universitaires. Les trois articles présentés dans cette thèse portent sur les deux principales facettes de la liquidité dans le secteur bancaire: la détention d'actifs liquides (à savoir, la trésorerie et les ressources assimilées) et le processus de création de la liquidité dans les banques utilisé pour financer des prêts. Comme on le verra dans les articles, ces deux aspects de la liquidité peuv
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5

Tian, Shu. "Essays on Stock Market Liquidity and Liquidity Risk Premium." ScholarWorks@UNO, 2010. http://scholarworks.uno.edu/td/1153.

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This dissertation addresses issues concerning liquidity and its volatility. It consists of two essays. The first essay, "Liquidity, Macro Factors and the U.S. Equity Flows to Emerging Markets", examines the role of liquidity on equity flows from the U.S. to fifteen emerging markets around the world. Since liquidity has many dimensions, an emphasis is placed on utilizing various measures of liquidity. Moreover, both static and dynamic analyses, as well as short and long-horizon regressions, are performed to investigate the research questions. The results suggest that a liquid market attra
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6

Bhyat, Aneez. "An examination of liquidity risk and liquidity risk measures." Master's thesis, University of Cape Town, 2010. http://hdl.handle.net/11427/10113.

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Includes bibliographical references (leaves 199-205).<br>Liquidity risk represents a vacuum of rigour in the otherwise well-researched area of risk management. In both practice and theory most of finance is silent regarding its scope and effect. This is principally due to a lack of consensus regarding its definition and measurement. Current liquidity risk measures differ fairly widely in both respects. This thesis attempts at addressing this by consolidating and examining the principle liquidity risk measures used in financial literature.
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7

Holovka, Martin. "New challenges in managing Liquidity risk - Liquidity Black Holes." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-76182.

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Following the financial turmoil in 2007/2008 liquidity black holes (LBH) has become arising topic often discussed among academics as well as portfolio managers all around the world. More recent view on liquidity risk covers those liquidity black holes which occur when the liquidity completely dries up in a particular market and the market becomes one-sided. There are basically 2 channels through which liquidity can be affected - Demand and Supply. In first case, the portfolios of investors lose the value and consequently the investors lose confidence in financial system. In the second case, ba
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8

Azzouzi, Idrissi Youssef. "La liquidité bancaire : risques, thésaurisation et dimension systémique." Thesis, Grenoble, 2014. http://www.theses.fr/2014GRENG010.

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Cette thèse s'inscrit dans le contexte d'après crises des subprimes et des dettes souveraines européennes. Il s'agit de périodes durant lesquelles les banques, en particulier dans la zone Euro et aux Etats-Unis, ont fait face à un assèchement de liquidité sans précédent ayant paralysé le système bancaire et conduit à la faillite de banques dont certaines solvables. La thèse cherche à répondre à la problématique suivante : Quelles sont les raisons du dysfonctionnement de deux canaux importants d'approvisionnement en liquidité par les banques, à savoir, le marché des actifs et surtout le marché
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9

Killeen, William P. "Essays on liquidity." Thesis, Queen's University Belfast, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.269060.

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10

Junaid, Ahmad. "Liquidity spirals, commonality, corporate governance and crisis : a case of an emerging market." Thesis, Aix-Marseille, 2014. http://www.theses.fr/2014AIXM1038.

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Dans cette étude, nous essayons de combler le fossé entre deux courants de la littérature. Tout d'abord, nous menons une enquête approfondie sur les relations entre la liquidité et la baisse du marché dans un pays émergent (Brésil). Dans notre recherche, nous suivons la méthodologie utilisée par Hameed et al (2010) et Adrian et al (2011). Dans la première partie de l'étude, en utilisant la variable d'estimation de la mesure de liquidité proposée par Corwin et Schultz (2012), nous effectuons une analyse des séries temporelles pour estimer l'effet des rendements sur le marché des rentabilités in
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11

SILVA, RAFAEL RIBEIRO MADEIRA DA. "THE IMPACT OF BASEL III LIQUIDITY REQUIREMENTS ON BANK LIQUIDITY MANAGEMENT." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2018. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33568@1.

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Este trabalho analisa o impacto dos requerimentos de liquidez da Basiléia III na gestão de liquidez dos bancos. A partir de uma base de dados que engloba bancos de todos os países signatários do Comitê de Basiléia III, foram definidos indicadores de liquidez bancária com base nas práticas utilizadas na literatura econômica e que busquem servir de proxies aos indicadores propostos pelo Comitê. Foram então verificados os cronogramas de implementação dos novos requerimentos de liquidez estabelecido por cada país. Acompanhou-se, então, a evolução dos indicadores de liquidez antes e depois do novo
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12

Soula, Jean-Loup. "Essais sur la liquidité bancaire : contributions à la mesure du risque de liquidité et à la gestion de la production de liquidité bancaire." Thesis, Strasbourg, 2017. http://www.theses.fr/2017STRAB012/document.

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Le risque de liquidité des banques reflète leur fonction de création de liquidité. Ces institutions sont fragiles par nature, exposées à la menace de ruées des créanciers de court terme. La thèse contribue par plusieurs aspects à une meilleure compréhension du risque de liquidité. Le deuxième chapitre propose une mesure de la fragilité bancaire basée sur la valeur des actifs détenus. Les résultats confirment de manière originale le caractère fragile des banques. La fonction de production de liquidité bancaire est toutefois bénéfique pour l’économie. Le troisième chapitre propose une analyse de
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13

Eross, Andrea. "Analysing liquidity crashes and liquidity risk contagion in short-term interbank rates." Thesis, University of Southampton, 2015. https://eprints.soton.ac.uk/381501/.

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The financial crisis of 2007-08 is recognised to be the worst crisis since the Great Depression of the 1930s. As a result, liquidity risk and contagion perceived in the interbank market has gained increased attention. In this thesis, the LIBOR-OIS spread, the German-US bond spread, the Euro- dollar currency swap and the EONIA rate are studied to reveal causalities, interdependencies and regime changes in the short-term interbank market. Interbank markets are channels of contagion due to the overlapping claims banks have on one another. If liquidity dries up in the overnight market, as happened
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14

Junaid, Ahmad. "Liquidity spirals, commonality, corporate governance and crisis : a case of an emerging market." Electronic Thesis or Diss., Aix-Marseille, 2014. http://www.theses.fr/2014AIXM1038.

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Dans cette étude, nous essayons de combler le fossé entre deux courants de la littérature. Tout d'abord, nous menons une enquête approfondie sur les relations entre la liquidité et la baisse du marché dans un pays émergent (Brésil). Dans notre recherche, nous suivons la méthodologie utilisée par Hameed et al (2010) et Adrian et al (2011). Dans la première partie de l'étude, en utilisant la variable d'estimation de la mesure de liquidité proposée par Corwin et Schultz (2012), nous effectuons une analyse des séries temporelles pour estimer l'effet des rendements sur le marché des rentabilités in
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15

Zhang, Qingjing. "Liquidity in stock markets." Thesis, Durham University, 2014. http://etheses.dur.ac.uk/10926/.

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This thesis uses liquidity to examine some stock market phenomena. It begins by researching the role of liquidity in explaining the “disappearing dividend puzzle” across several financial markets. Then, it examines the cash/stock dividend payouts and their determinants in China. Finally, this paper investigates the interplay among illiquidity, variance risk premium and stock market returns. The research studies the disappearing dividend puzzle with a large sample of firms representing eighteen countries over the sample period from 1989 to 2011. Our investigation finds that risk is an important
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16

Hanke, Bernd. "Asset prices and liquidity." Thesis, London Business School (University of London), 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.408224.

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17

Żurawski, Piotr Marcin. "Essays on market liquidity." Thesis, London School of Economics and Political Science (University of London), 2011. http://etheses.lse.ac.uk/351/.

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In the first chapter of my Thesis I propose a model of front-running in noisy market environment. I demonstrate that even if the front-runner/predator has no initial knowledge about the position of a distressed trader he will be still able to front-run his orders in a linear Bayesian-Nash equilibrium. This is possible because initial orders of the distressed trader tend to reveal his initial position. The contribution of this chapter is also in the analysis of long-term dynamics of predatory trading under Gaussian uncertainty. Second chapter treats about the dark-pools of liquidity which are h
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18

Haykir, Ozkan. "Essays on stock liquidity." Thesis, University of Exeter, 2017. http://hdl.handle.net/10871/29656.

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This thesis consists of three main empirical chapters on the effect of stock liquidity on exchange markets. The first (Chapter 2) investigates the pricing ability of an illiquidity measure, namely the Amihud measure (Amihud, 2002), in different sample periods. The second (Chapter 3) determines the causal link between two well-known market quality factors liquidity and idiosyncratic volatility adopting two-stage least squares methodology (2SLS). The last empirical chapter (Chapter 4) revisits the limits to arbitrage theory and studies the link between stock liquidity and momentum anomaly profit
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19

Arregui, Nicolás. "Liquidity facilities and signaling." Thesis, Massachusetts Institute of Technology, 2010. http://hdl.handle.net/1721.1/62396.

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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2010.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references.<br>This dissertation studies the role of signaling concerns in discouraging access to liquidity facilities like the IMF contingent credit lines (CCL) and the Discount Window (DW). In Chapter 1, I analyze the introduction of IMF CCL in an economy with asymmetric information and financial frictions. Countries have private information about the probability of a being hit by a negative aggregate shock. IMF insurance provides outside liqu
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20

Su, Youjin. "Liquidity and asset pricing." Thesis, University of Aberdeen, 2013. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=211117.

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This thesis is an empirical analysis which is focussed on the potential relationship between liquidity and asset pricing; where its key objective is to provide an assessment about the role for liquidity in asset pricing models. The data sample covers the United Kingdom from 1987 to 2009 and the methodological approaches include; Fama and MacBeth (1973) cross section regressions; time series regression analysis; factor analysis; and, non-nested testing. Several liquidity measures are compared, including the Amivest, the Hui-Heubel and the Amihud measures of liquidity. The role of unexpected liq
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21

Marra, Miriam. "Credit markets and liquidity." Thesis, University of Warwick, 2012. http://wrap.warwick.ac.uk/55106/.

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In the light of the events of the recent financial crisis and of the increased importance of liquidity for the functionality of firms and financial markets, this thesis studies how a lack of liquidity (illiquidity) can affect the prices of credit derivatives and how illiquidity can propagate across credit and equity markets. The thesis incorporates three self-contained research papers. The first paper (Chapter 2) examines the effect of liquidity on the pricing of senior structured and unstructured credit indices (Senior Tranche of CDX.NA.IG Index and AAA Corporate Bond Index) over the period 2
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22

Hagströmer, Björn. "Liquidity and portfolio optimisation." Thesis, Aston University, 2009. http://publications.aston.ac.uk/15679/.

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This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock market. The discussion on liquidity is focused on measurement issues, including TAQ data processing and measurement of systematic liquidity factors (FSO). Furthermore, a framework for treatment of the two topics in combination is provided. The liquidity part of the thesis gives a conceptual background to liquidity and discusses several different approaches to liquidity measurement. It contributes to liquidity measurement by providing detailed guidelines on the data
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23

Huang, Yuping. "Liquidity in equity markets." Thesis, University of Glasgow, 2015. http://theses.gla.ac.uk/7036/.

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This thesis aims to explore stock liquidity, a crucial attribute of financial assets, in US market. In particular, this research attempts to address a number of issues in the theoretical study of liquidity, some of which even still matters for debate. The empirical results in Chapter 3 suggest that the significance of liquidity on asset returns is time specific, in other words, the heterogeneity between liquidity components exhibits a Business Cycle effect. In particular, the liquidity risk premium is strengthened during downturns of the market conditions, as the association between the asset
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24

Goyenko, Ruslan. "Liquidity and asset pricing." [Bloomington, Ind.] : Indiana University, 2006. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3243782.

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Thesis (Ph.D.)--Indiana University, Kelley School of Business, 2006.<br>Title from PDF t.p. (viewed Nov. 17, 2008). Source: Dissertation Abstracts International, Volume: 67-12, Section: A, page: 4608. Adviser: Charles Trzcinka.
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25

Stahel, Christof W. "International stock market liquidity." Connect to this title online, 2004. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1091726658.

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Thesis (Ph. D.)--Ohio State University, 2004.<br>Title from first page of PDF file. Document formatted into pages; contains xi, 110 p.; also includes graphics. Includes bibliographical references (p. 70-76).
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26

Balkanli, Aysegul. "Liquidity Risk Situation Of Turkish Insurance Industry And Firm Specific Factors Affecting Liquidity." Master's thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/2/12611774/index.pdf.

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Recent changes in the insurance regulations and laws in Turkey lead insurance industry to gain further importance and turn the insurance industry one of the rising sectors in financial markets. However, while these favorable events for the insurance industry takes place in Turkish markets, on the global markets the economic crisis initiated with the collapse of US sub-prime mortgage markets deepened and the credit crunch arose in the aftermath. In the times of credit stress having good liquidity base is important for the firms. In recent economic crisis, liquidity related troubles resulted in
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27

Umlauft, Roland. "Essays on liquidity and risk." Doctoral thesis, Universitat Pompeu Fabra, 2013. http://hdl.handle.net/10803/119822.

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In Chapter 1 I investigate the economic importance of correlation in mutual fund flows for funds with overlapping portfolio positions. I illustrate theoretically that commonality in trading by funds due to flow correlation influences the optimal portfolio. Furthermore, I show that the expected return from an asset for a specific agent is conditional on correlation of this particular asset holder’s flows with his peers. Finally, I derive a theoretical upper bound of optimal flow correlation and hypothesize the existence of at least one optimal equilibrium outcome for any combination of pairwise
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28

Lee, Kuan-Hui. "Liquidity risk and asset pricing." Columbus, Ohio : Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1155146069.

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29

Russo, Agostino. "Asset allocation under liquidity constraints." Thesis, Imperial College London, 2003. http://hdl.handle.net/10044/1/8477.

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30

Dai, Kai. "Liquidity shocks and SEO underpricing." Thesis, University of Nottingham, 2012. http://eprints.nottingham.ac.uk/12627/.

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We hypothesise that certain market conditions could lead to liquidity shocks that will consequently increase SEO underpricing (defined as the close-to-offer return). We propose three scenarios of market conditions, namely aggregate issues with large volume, large market declines and market volatility. Using a sample of about 5,000 seasoned equity offerings from 1987 to 2009, we found that market volatility is significantly and positively related to SEO underpricing after controlling for other factors. We employed an estimation method proposed by Chambers and Dimson (2009) to examine the behavi
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31

Panyanukul, Sakkapop. "Liquidity and international bond pricing." Thesis, University of Warwick, 2010. http://wrap.warwick.ac.uk/35533/.

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This thesis focuses on the liquidity risk and its impact on bond prices of the international markets and comprises three self-contained research papers. In the first research paper, we examine the role of the liquidity in the pricing of sovereign U.S. dollar bonds in emerging markets. We extend Acharya and Pedersen’s (2005) liquidity-adjusted capital asset pricing model to the bond market and find that both liquidity level and multiple liquidity risks are priced factors for the expected excess return of U.S. dollar bonds issued by developing countries. The combined effects of liquidity risk an
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32

Weber, Guglielmo. "Consumption, liquidity constraints and aggregation." Thesis, London School of Economics and Political Science (University of London), 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.262094.

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33

Lorenzoni, Guido. "Essays on liquidity in macroeconomics." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/8650.

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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2001.<br>Includes bibliographical references.<br>This thesis includes four essays on the macroeconomic effects of financial market imperfections. The first essay studies the incentives for banks that participate in an interbank market to keep a sufficient level of reserves. It presents a model where, in presence of imperfect insurance against bank-specific shocks, banks keep an inefficiently low ratio of reserves to deposits. A consequence of this is that the interest rate on the money market will fluctuate too much fr
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Kurlat, Pablo (Pablo Daniel). "Essays on liquidity and information." Thesis, Massachusetts Institute of Technology, 2010. http://hdl.handle.net/1721.1/57999.

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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2010.<br>"June 2010." Cataloged from PDF version of thesis.<br>Includes bibliographical references (p. 126-131).<br>This dissertation studies the interaction of liquidity and incomplete or asymmetric information. In Chapter 1, I study a dynamic economy with illiquidity due to adverse selection in financial markets. Investment is undertaken by borrowing-constrained entrepreneurs. They sell their past projects to finance new ones, but asymmetric information about project quality creates a lemons problem. The magnitude of
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35

Chu, Ka Yin Kevin. "Mutual fund trading and liquidity." Thesis, Massachusetts Institute of Technology, 2010. http://hdl.handle.net/1721.1/57771.

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Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2010.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (p. 52-56).<br>This thesis uses equities holdings snapshots of mutual funds to study their trading patterns. Using quarter and semi-annual holdings of mutual funds, I am able to extract a main trading component with the application of the asymptotic principle component method. This component demonstrates short term predictability of returns over three months, suggesting overall mutual fund trades contain a liquidity trading comp
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El, Ghandour Laila. "Liquidity risk and no arbitrage." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/79975.

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Thesis (MSc)--Stellenbosch University, 2013.<br>ENGLISH ABSTRACT: In modern theory of finance, the so-called First and Second Fundamental Theorems of Asset Pricing play an important role in pricing options with no-arbitrage. These theorems gives a necessary and sufficient conditions for a market to have no-arbitrage and for a market to be complete. An early version of the First Fundamental Theorem of Asset Pricing was proven by Harrison and Kreps [30] in the case of a finite probability space. A more general version was proven by Harrison and Pliska [31] in the case of a finite probabilit
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Bibow, Jörg. "Essays on liquidity preference theory." Thesis, University of Cambridge, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.388765.

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Park, Jaepil. "Liquidity, government transfers and sunspots /." free to MU campus, to others for purchase, 2004. http://wwwlib.umi.com/cr/mo/fullcit?p3144449.

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39

BARADARANNIA, Mohammadreza. "Liquidity And Expected Stock Returns." Thesis, The University of Sydney, 2013. http://hdl.handle.net/2123/9367.

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Liquidity is among the primary attributes of many investment plans and financial instruments. In the Financial Services industry, portfolio managers tailor portfolios to fit their clients’ investment horizons and liquidity objectives and consider illiquidity costs in managing their portfolios. The impact of illiquidity on expected stock returns has been the centre of many studies over the past decade. This thesis employs a low-frequency proxy for the effective spreads, recently developed by Holden (2009) and examines three research problems in liquidity-equity pricing. In research problem 1,
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Rodrigues, Diego de Sousa. "Liquidity constraints and collateral crises." reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/23943.

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Submitted by Diego de Sousa Rodrigues (diego-2607@hotmail.com) on 2018-05-21T19:09:48Z No. of bitstreams: 1 Liquidity_constraints_and_collateral_crises.pdf: 724079 bytes, checksum: 3ad8ea76a1e94e45b794f4a0daa1ee3e (MD5)<br>Rejected by Pamela Beltran Tonsa (pamela.tonsa@fgv.br), reason: Bom dia Diego, Para que possamos dar andamento ao seu processo será necessário fazer apenas alguns ajustes. SÃO PAULO 2018 = DEVE SER LETRA MAIÚSCULA NAS CAPAS. A ficha catalográfica, deve ser inserida conforme lhe foi enviado pela biblioteca - Mudando apenas a quantidade de paginas. ( colocar ate
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41

Zheng, Chen. "Three Essays on Bank Liquidity." Thesis, Curtin University, 2017. http://hdl.handle.net/20.500.11937/66691.

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This thesis empirically examines three distinct but interrelated bank liquidity topics. In the first study, the impact of bank capital on the relationship between bank liquidity creation and bank failure risk is explored. The second study determines whether government bailout policy affects the liquidity holdings and liquidity creation of banks, whilst the third study investigates the effect of social capital on bank liquidity holdings.
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42

Atamanyuk, R. O. "Liquidity." Thesis, 2012. http://essuir.sumdu.edu.ua/handle/123456789/26087.

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43

Chen, Hsiao-Chuan, and 陳孝全. "Commonality in Liquidity & Liquidity Adjusted VaR." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/52183533106402438229.

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44

Chung, Hsin-Chieh, and 鍾欣潔. "Will Liquidity Creation Cause Higher Liquidity Risk?" Thesis, 2010. http://ndltd.ncl.edu.tw/handle/79588688632457014574.

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碩士<br>國立高雄大學<br>經營管理研究所<br>98<br>Generally liquidity risk is an existence in banks for different degree. However, liquidity risk had not been considered as an important risk until the subprime mortgage liquidity risk. Many large banks bankrupt for liquidity risk, thus people take more serious in manage liquidity risk. The liquidity creation is one of traditional functions of the bank. Berger & Bouwman (2009) proposed liquidity creation is positively to bank&apos;s value. The issue is deserved to discuss whether the relationship between liquidity risk and liquidity creation exists or not. We ta
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Hua-WunJheng and 鄭驊紋. "The Relation Between Asset Liquidity and Stock Liquidity." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/61733279749011950083.

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碩士<br>國立成功大學<br>財務金融研究所<br>102<br>This paper studies the relationship between asset liquidity and stock liquidity in Taiwan-based publicly traded firms. I observe a positive relationship between asset liquidity and stock liquidity. This result implies that the influence of lower uncertainty regarding assets-in-place overwhelms the influence of higher uncertainty about future investment. Furthermore, this relationship can be more positive for firms with fewer growth opportunities or higher financial constraints. Firms with less growth opportunities or higher financial constraint will increase t
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46

Mirza, Baber. "Liquidity planning." Master's thesis, 2017. http://hdl.handle.net/10400.8/2796.

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This report is based on the internship activities I performed at Robert Bosch Benelux (RBBN), from 26th September 2016 to 31st March 2017. This firm is one of the regional organization of Robert Bosch GmbH. Robert Bosch GmbH is a private multinational company engaged in the development of engineering and electronics product. The Bosch Group is composed of four major business sectors, named mobility solutions, industrial technology, consumer goods and energy and building technology. Bosch Group desires to enrich the quality of life with solutions that are both innovative and beneficial. T
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47

"Mutual Fund Liquidity Management, Stock Liquidity, and Corporate Disclosure." Doctoral diss., 2020. http://hdl.handle.net/2286/R.I.57267.

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abstract: This study presents the first evidence that mutual fund liquidity management affects both stock liquidity and information disclosure of portfolio firms. Using a difference-in-differences approach that exploits a proposal by the U.S. Securities and Exchange Commission (SEC) as an exogenous shock to mutual fund liquidity management, I find causal evidence that mutual fund liquidity management improves liquidity of underlying stocks. The liquidity improvement is more pronounced when mutual funds have stronger incentives to improve portfolio liquidity and more resources to influence firm
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48

Chen, Chien-Nan, and 陳建男. "Extreme Downside Liquidity Risk、Linear Liquidity Risk and Asset Pricing." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/76227377077944149746.

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碩士<br>國立中山大學<br>財務管理學系研究所<br>101<br>Many serious financial crises have hit the global financial market over the past decades. In those crises, liquidity could suddenly dries up and liquidity commonality between stocks and market becomes more significant. Liquidity risk is not an easily diversifiable systematic risk, and investor’s wealth and capital also depend on assets’ liquidity when market crashes. This research focuses on the issues of whether liquidity risk is a significant factor in Taiwan capital market. Do investors get liquidity risk premium if they hold the stock which is highly sen
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Galy, Sébastien. "Essays in liquidity." Thesis, 2003. http://spectrum.library.concordia.ca/2000/1/NQ78622.pdf.

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Derivatives markets can quickly become illiquid in periods of high uncertainty. Neither the source of this illiquidity nor its implications are well understood. First, this thesis shows that hedgers' trades have an adverse impact on the futures price creating effectively an endogenous transaction cost increasing in times of uncertainty and acting as the source of illiquidity in these markets. Second, illiquidity is shown to strengthen the wealth effect, which has been proven to be too weak empirically to explain the behavior of prices. The wealth effect is the mechanism through which changes i
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Huang, Yu-chen, and 黃于珍. "Measuring Liquidity Risk." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/38224446990171041380.

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碩士<br>中國文化大學<br>會計研究所<br>90<br>In a much more complicated and volatile financial market, the issue of risk management becomes increasingly important. Whether a financial institution can continue its operation is highly related to its quality of risk control. Value at Risk as and emerging tool of risk management. Value at risk (VaR) provides risk managers feasibility to estimate the maximum loss of investment portfolios through computa-tion of certain numbers. However, conventional value at risk models lack a treatment of liquidity risk. Neglecting liquidity risk leads to an underest
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