This thesis studies the importance and implications of information asymmetry in decentralized markets with search frictions. The first chapter provides an introduction and literature review. In the next chapter, I propose a model of the housing market using a search framework in which sellers are unable to commit to asking prices announced ex ante. Relaxing the commitment assumption prevents sellers from using price posting as a signalling device to direct buyers' search. Adverse selection and inefficient entry on the demand side then contribute to housing market illiquidity. Real estate agents that can facilitate the search process can segment the market and alleviate information frictions. In Chapter 3, I further study the importance and implications of the commitment assumptions embedded in directed search models. I eliminate commitment to take-it-or-leave-it trading mechanisms in a model of the labour market with worker heterogeneity and a matching process that allows for multiple firms to match with a single worker. When workers and firms cannot commit to ex ante offers, to an allocation rule, or to an ex post bargaining strategy, the equilibrium is necessarily inefficient. This is true for a broad class of protocols for wage determination, of which bilateral bargaining and Bertrand competition are special cases. Finally, Chapter 4 presents a theory of land market activity for settings where there is uncertainty and private information about the security of land tenure. Land sellers match with buyers in a competitive search environment, and an illiquid land market emerges as a screening mechanism. The implications of the theory are tested using household level data from Indonesia. As predicted, formally titled land is more liquid than untitled land in the sense that ownership rights are more readily transferable. / Thesis (Ph.D, Economics) -- Queen's University, 2012-10-09 22:03:23.045

Darbe yra analizuojamos Nasdaq OMX Baltijos ir Nasdaq OMX Šiaurės rinkos, siekiant nustatyti, kurios rinkos likvidumas yra atsparesnis globaliam finansiniam nuosmukiui ir kokie įmonių lygio veiksniai nulemia didesnį likvidumo atsparumą. Teorinėje dalyje apžvelgiamos rinkos likvidumo sąsajos su rinkos, įmonių lygio ir makroekonominiais veiksniais. Antroje darbo dalyje pateikiama tyrimo metodologija, susidedanti iš dviejų tyrimo etapų. Pirmame etape rinkų likvidumo kitimas skaičiuojamas 2005 – 2010 m. ir lyginamas jo vidurkis prieš ir po globalaus finansinio nuosmukio, įvertinant finansinio nuosmukio mastą rinkas sudarančiose šalyse. Antrame tyrimo etape nustatoma, kurie įmonių lygio veiksniai turi įtakos likvidumui ir kaip jie paveikia likvidumo atsparumą globaliam finansiniam nuosmukiui. Trečioje dalyje pateikiami empirinio tyrimo rezultatai, jog Nasdaq OMX Šiaurės rinka, pagal prašomos-siūlomos kainos skirtumo likvidumo rodiklį, yra atsparesnė globaliam finansiniam nuosmukiui, o tai nulemia didesnis listinguojamų įmonių dydis rinkoje, didesnis skaičius įmonių vykdančių mokslinius tyrimus ir plėtrą, bei nuosmukio laikotarpiu žymiai mažiau kritęs įmonių pelnas, kapitalo išlaidos, akcijų rinkos ir balansinės vertės santykis, lyginant su Nasdaq OMX Baltijos rinka. / In this paper are analyzing Nasdaq OMX Baltic and Nasdaq OMX Nordic markets on purpose to find out, which market has bigger resistance of liquidity to the global financial crisis and which factors weighted it. In the theoretic part is analyzing interface between liquidity and factors of the markets, firms and macroeconomic. In the second part of paper is represented research methodology. First of all, is calculating resistance of liquidity through 2005 – 2010 years and compare resistance of market liquidity before and after global financial crisis, evaluating the extent of crisis in the countries, of which consisted the Baltic and Nordic markets. Next it is find out which firm’s level indicators influence firm’s liquidity and how these indicators influence the resistance of market liquidity to global financial crisis. In the third part are represented results of empirical research. It is find out that by the bid-ask spread indicator the Nasdaq OMX Nordic market’s liquidity is more resistance to global financial crises, because the firms are bigger, more firms engage in research and development activity and had considerably higher profit, capital expenditures and market-balance value of stocks through crisis, compare with Nasdaq OMX Baltic market.

Existe uma extensa literatura teórica e empírica que procura determinar quais são os fatores que determinam a estrutura de capital das empresas, no entanto pouco se concluiu a respeito dessas teorias. Buscando identificar quais são os fatores que a literatura aponta como determinantes para as decisões de financiamento das firmas, nota-se uma escassez de estudos internacionais e nacionais que tratam a liquidez no mercado de ações como um fator significante nas decisões da estrutura de capital das empresas. Neste sentindo este trabalho tem como objetivo principal investigar a relação entre liquidez no mercado de ações e estrutura de capital das empresas brasileiras de capital aberto. Os dados foram coletados por meio do sistema Economática, aplicado a um conjunto de 587 firmas não financeiras durante o período de 1998 a 2009. A técnica estatística utilizada neste estudo foi a metodologia do modelo de dados em painel, devido a necessidade de se combinar características de séries temporais com dados em corte transversal. O estudo considera uma regressão em que as medidas representativas da estrutura de capital são índices de endividamento da firma e atuam como variável dependente, e as variáveis de controle são representativas das características específicas das empresas, já para liquidez no mercado de ações, foram utilizadas três medidas diferentes. Como resultado principal percebe-se que a liquidez das ações é significativa para a política de endividamento das firmas. Os resultados da análise obtidos mostraram que empresas com maior liquidez de ação apresentam maior nível de endividamento em longo prazo. / There is an extensive theoretical and empirical literature that seeks to determine what are the factors that determine the capital structure of companies. However little concluded about these theories. Seeking to identify what are the factors that the literature points as determinants to the financing decisions of firms, furthermore liquidity is notably absent in international and national empirical studies about capital structure. Accordingly, the aim of this paper is to examine the relationship between equity market liquidity and and capital structure of Brazilian publicly traded companies. We collected the data using the system Economática, using a sample of 587 Brazilian firms from 1998 - 2009. The statistical technique used in this study was the methodology of panel data model. The proxies of capital structure are levels of leverage and are used as dependent variables in the model, and control variables are representative of the specific characteristics of firms, to liquidity there were four different measures. As main result, it was found that equity liquidity is significant for the debt policy of firms. The analysis results showed that firms with more liquid equity have greater leverage.

This study examines the effects of delisting on firm value, risk and market liquidity. In a world where markets are becoming increasingly integrated, delistings may prove counter productive. We use the unique event, free from company specifics, that occurred on January 2, 1990 in the stock exchanges of Singapore and Malaysia to test for the above effects. On that day, dual listed companies were required to delist from the foreign stock exchange. We also use this event to test if the Singapore and Malaysia markets are globally integrated. Since financial data is found to show persistence in volatility, we model the return generating process in a generalized autoregressive conditionally heteroskedastic (GARCH) framework that takes into consideration changing volatility. For comparison purposes, OLS and Time-Deformation models are included. The study found delistings to decrease firm value, the size of which is related to how actively the stocks were previously traded on the foreign stock exchange. Risk levels increased following delistings. Nevertheless, thinly traded stocks showed significant changes in neither firm value nor riskiness. Further evidence of new listings to increase firm value was noted. Consistent with the political motive hypothesis, delisted stocks showed an increase in post-event volume, but however, lost relative liquidity compared with other stocks. While all portfolios considered show evidence for existence of conditional heteroskedasticity, comparison with standard OLS event-study results yields similar conclusions, although the return generating models with GARCH errors result in lower abnormal return variances. As for the time-deformation model, trading volume was found to be a good proxy for rate of information flow only for smaller capitalized stocks. Correlation and regression analyses showed that the Singapore and Malaysia markets are integrated to some degree with the international markets, such that a major delistings event between both markets did not change the pricing of risk in these markets.

The purpose of this thesis is to identify the factors playing a key role in the determination of the Turkish stock market liquidity in aggregate terms in a time series context and discuss the joint dynamics of the market-wide liquidity with its selected determinants and the trade volume. The main determinants tested are the level of return, the return volatility and the monetary stance of the Central Bank of the Republic of Turkey. The expected positive relationship between the liquidity and the return is confirmed, while the negative effect of the volatility on liquidity appears one-week later. The behavior of various liquidity variables are also examined around the macroeconomic data announcement dates, during the 2008 financial crisis, and after the tick size change in the Istanbul Stock Exchange (ISE). The time series dynamics between the trade volume, return, volatility and the liquidity are put forward within the Vector Autoregression analysis framework. The GARCH modeling of the return series, which is an input to the liquidity model estimations, is a byproduct of this thesis. It is observed that the return series exhibits volatility clustering, persistence, leverage effects and mean reversion. In addition, while the level of the ISE market return decreased, the volatility of the return increased during the 2008 crisis. Accordingly, EGARCH model assuming normally distributed error terms and allowing a shift in the variance during the crisis period is chosen as the best model.

本研究以2003至 2008年間國內上市櫃公司為研究對象，探討公司治理與股票市場流動性之關聯性。公司治理機制包括董事長兼任總經理、外部董監事持股、管理當局持股、機構投資者持股、家族型態以及控制權與盈餘分配權偏離程度，並以買賣價差作為衡量市場流動性之變數。 由過去的相關文獻推論，公司治理機制之良窳的確會影響財務報表揭露的透明度，同時產生資訊不對稱的問題，並對市場流動性產生衝擊。實證結果指出，外部董監事持股比率及外資法人持股比率愈高，其買賣價差愈小，市場流動性愈佳；管理當局持股比例愈高、企業為家族企業者以及控制權與盈餘分配權偏離程度愈大者，其買賣價差愈大，市場流動性愈差。 / This thesis attempts to examine the influence of corporate governance on stock market liquidity by observing the publicly listed and OTC companies in Taiwan in the period from 2003 to 2008. The governance mechanisms used in this thesis include CEO duality, outside director ownership, management ownership, institutional ownership, family ownership and deviation between ultimate control and ownership. And we use bid-ask spreads to measure market liquidity. The empirical findings of this study are as follows. Firms with greater outside director seats or foreign institutional ownership are negatively associated with bid-ask spreads and positively associated with market liquidity. While firms with greater management ownership, family ownership, and deviation between voting rights and cash-flow rights, are positively related with bid-ask spreads and negatively related with market liquidity.

Thesis (Ph. D.)--University of Chicago, Graduate School of Business, December 2002. / Includes bibliographical references. Also available on the Internet.

This study examined the determinants of commercial bank liquidity in South Africa. The panel regression approach was used, applying panel data from twelve commercial banks over the period 2006 to 2016. A quantitative research method was used to investigate the relationship between bank liquidity and some microeconomic and bank-specific factors and between bank liquidity and selected macro-economic factors. The regression analysis for four liquidity ratios was conducted using the pooled ordinary least squares regression, fixed effects, random effects and the generalised methods of moments. However, the system generalised methods of moments approach was preferred over the other methods because it eliminated the problem of endogeneity. Results show that capital adequacy, size and gross domestic product have a positive and significant effect on liquidity. Loan growth and non-performing loans had a negative and significant effect on liquidity. Inflation had both a positive and a negative but an insignificant effect on liquidity. The study concluded that South African banks could enhance their liquidity positions by tightening their loan-underwriting criteria and credit policies. Banks should improve their credit risk management frameworks to be more prudent in their lending practices to improve the quality of the loan book to enhance liquidity. They also need to grow their capital levels by embarking on efficient revenue enhancements activities. Banks may also to look at their clients on an overall basis and not on transaction bases, and they need to improve non-interest revenue by introducing innovated products. The South African Reserve Bank could push for policies that might enhance capitalisation by ensuring that the sector is consolidated and thus merging smaller banks to create banks with stronger balance sheets and stronger capital base. This study contributes to the empirical research repository on the determinants of liquidity and more specifically, it identified the significant factors that affect South African commercial bank liquidity. Identifying the determinants of South African commercial bank liquidity will provide the South African Reserve Bank with insight into ways of enhancing liquidity management reforms, to improve the sector’s liquidity management practices and help to maintain a sound and liquid banking sector. / Business Management / M. Com. (Business Management)

Existe uma extensa literatura teórica e empírica que procura determinar quais são os fatores que determinam a estrutura de capital das empresas, no entanto pouco se concluiu a respeito dessas teorias. Buscando identificar quais são os fatores que a literatura aponta como determinantes para as decisões de financiamento das firmas, nota-se uma escassez de estudos internacionais e nacionais que tratam a liquidez no mercado de ações como um fator significante nas decisões da estrutura de capital das empresas. Neste sentindo este trabalho tem como objetivo principal investigar a relação entre liquidez no mercado de ações e estrutura de capital das empresas brasileiras de capital aberto. Os dados foram coletados por meio do sistema Economática, aplicado a um conjunto de 587 firmas não financeiras durante o período de 1998 a 2009. A técnica estatística utilizada neste estudo foi a metodologia do modelo de dados em painel, devido a necessidade de se combinar características de séries temporais com dados em corte transversal. O estudo considera uma regressão em que as medidas representativas da estrutura de capital são índices de endividamento da firma e atuam como variável dependente, e as variáveis de controle são representativas das características específicas das empresas, já para liquidez no mercado de ações, foram utilizadas três medidas diferentes. Como resultado principal percebe-se que a liquidez das ações é significativa para a política de endividamento das firmas. Os resultados da análise obtidos mostraram que empresas com maior liquidez de ação apresentam maior nível de endividamento em longo prazo. / There is an extensive theoretical and empirical literature that seeks to determine what are the factors that determine the capital structure of companies. However little concluded about these theories. Seeking to identify what are the factors that the literature points as determinants to the financing decisions of firms, furthermore liquidity is notably absent in international and national empirical studies about capital structure. Accordingly, the aim of this paper is to examine the relationship between equity market liquidity and and capital structure of Brazilian publicly traded companies. We collected the data using the system Economática, using a sample of 587 Brazilian firms from 1998 - 2009. The statistical technique used in this study was the methodology of panel data model. The proxies of capital structure are levels of leverage and are used as dependent variables in the model, and control variables are representative of the specific characteristics of firms, to liquidity there were four different measures. As main result, it was found that equity liquidity is significant for the debt policy of firms. The analysis results showed that firms with more liquid equity have greater leverage.

Ce travail de thèse s'intéresse à la contribution des investisseurs sophistiqués de type hedge funds à la dynamique des marchés financiers. Considérant qu'ils sont les acteurs fondamentaux de la révélation des prix et de la liquidité des marchés, tant du point de vue du modèle standard que des critiques comportementalistes, on propose une évaluation des interdépendances dynamiques entre stratégies de gestion alternative et marchés financiers. Les trois premiers chapitres proposent, aumoyen d'approches économétriques originales, la mise en perspective des stratégies de hedge funds avec la dynamique des marchés à travers l'étude des rendements, de la volatilité et des co-volatilités. S'appuyant sur un large panel de résultats, l'étude révèle les nombreuses causalités croisées entre fonds et marchés, offrant à la finance comportementale des éléments de preuves empiriques des interactions qu'elle envisage au regard des excès de volatilité ou de la contagion financière. Riche de ces enseignements, le dernier chapitre propose enfin un retour aux modèles théoriques d'équilibres de marché pour proposer un portrait contrasté de la spéculation rationnelle dans sa relation à l'efficience des marchés. / This PH.D thesis focuses on the contribution of sophisticated investors, i.e. hedge funds, in the dynamics of financial markets. Considering that they are key players in the price discovery and market liquidity, regarding the standard model or the behavioral critics, it provides an assessment of dynamic interdependencies between alternative management strategies and financial markets.The first three chapters put into perspective, through original econometric approaches, hedge funds strategies with market dynamics through the study of returns , volatility and co-volatilities. Based on a wide range of results, the study reveals the many causalities between funds and markets offering to the behavioral finance elements of empirical evidence of the interactions described interms of excess volatility or financial contagion. Rich in these teachings, the last chapter finally proposes a return to theoretical models of market equilibria in order to provide a mixed picture of rational speculation in its relation to market efficency.