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Market microstructure is a relatively new area in finance which emerged as a result of inconsistency between actual and expected prices due to a variety of frictions (mainly trading frictions and asymmetric information) and the realisation that the trading process through which investors' demand is ultimately translated into orders and volumes is of greater importance in price formation than it was originally thought. Despite increased research in the area of liquidity, asset pricing, asymmetric information and trading systems, all subfields in the area of market microstructure, there are a number of questions that remain unanswered such as the effect of different trading systems on systematic liquidity, informational efficiency or components of the spread. This thesis aims at shedding light on those questions by providing a detailed empirical investigation of the effect of trading systems on systematic liquidity, pricing, informational efficiency, volatility and bid-ask spread decomposition mainly with respect to the UK market (FTSEIOO and FTSE250) and to a less extent with respect to the Greek market. Those two markets are at different levels of development/sophistication and are negatively correlated.The aims of this thesis are outlined in chapter one with chapter two providing a detailed review of the theoretical literature relevant to this study. Chapter three is the first empirical chapter and tests for the presence of a common underlying liquidity factor (systematic liquidity) and its effect on pricing for FTSE100 and FTSE250 stocks under different trading regimes. Results show the presence of commonality for FTSE100 and FTSE250 stocks although commonality is weaker for FTSE250 stocks and its role on pricing is reduced. Chapter four investigates the same issues with respect to the Greek market and we find that commonality appears to be stronger in some periods while it is reduced to zero for other periods. Chapter five focuses on the effect that changes in the trading systems can have on informational efficiency and volatility primarily with respect to FTSE100 and FTSE250. Different methodologies and data are employed for this purpose and produce similar results. We find that order driven markets are more responsive to incoming information when compared to quote driven markets. Volatility has a greater impact on the spread when the market is quote driven. We also examined if automated trading increased informational efficiency with respect to the Greek market. The results obtained indicated that the effect of automation was positive. Finally the last chapter focused on the effect of different trading systems on the components of the spread and their determinants. Our main finding is that the asymmetric component of the spread is higher under a quote driven market. Also stock volatility appears to affect the asymmetric component to a greater extent when the market is quote driven. We believe that the main justification for those findings is affirmative quotation.

The main themes of this thesis are abandonment options and their impact on accounting-based equity valuation in the UK security market. Extant and mostly USbased empirical and analytical research suggests that abandonment options (i. e. managerial flexibility in either keeping the company's operations in going concern or abandoning them for their salvage value) help explain two frequently observed empirical phenomena: (1) equity market value is a convex function of earnings and equity book value (or the "convexity" phenomenon), and (2) the equity valuation roles played by the profit & loss account and balance sheet are complementarily linked with the likelihood of abandonment options being exercised (or the "complementarity" phenomenon). The main subject of this empirical study is this latter form of the abandonment options hypothesis ("AOH"). In particular, the study seeks to investigate if the pricing multiples and incremental explanatory power of the balance sheet (profit and loss account) increase (decrease) as the likelihood of abandonment options being exercised increases. A re-examination of the AOH in the context of the UK security market is particularly warranted because of the contrasting differences in institutional factors between the UK and US. Using a dual sample groups approach (i. e. ex post insolvent and ex-ante financially distressed companies) and research design similar to that of Barth et al (1998) and Schnusenberg and Skantz (1998), the study finds that overall the AOH is only partially supported by empirical evidence in the UK. Although some supportive evidence is found and the results are robust to the controls for various potentially confounding factors, the overall conclusion is highly sensitive to the research design employed. Specifically, model specifications have a crucial bearing on whether or not the AOH is rejected. These contrasting results (to the US findings) may be attributable to (1) sampling variations, (2) the different ways in which scale effects have been controlled for and/or (3) the different institutional factors (e. g. insolvency codes) between the two security markets. The results also suggest that more research is needed in order to understand the real causes of the non-linear valuation characteristics of key accounting measures.

This thesis investigates market practices and builds on the insight that markets are shaped and performed through multiple calculative agencies. It studies how the introduction of category management as part of a socio-technical agencement contributes to shaping goods, market place, configuration of buyers and sellers and their encounter in the fuel retail industry. After offering a critical analysis of four research strands (a practice based approach to markets, the Foucauldian study of governmentality, the sociology of translation and the sociology of socio-technical agencements) that take a performative view to the study of the economy and markets, I develop an approach that proposes to study markets rather than marketing through the analyses of bundles of practices. The identification of socio-technical agencements (ST As), the exploration of calculative practices and the study of how calculation is linked to agency, frame the way we understand how particular calculative practices make operable the assemblage of ideas, artefacts, practices, people, etc. that form and shape mundane markets. The thesis uses empirical data derived from a longitudinal ethnography of the petrol retailing arm of a multinational oil company. My analysis highlights the role of category management, a fuzzy theory, that helps glue market constituents together. It argues that valuation necessarily combines metrological practices and practical judgement resulting from experience, experimentation and equilibration. I identify two types of contexts involved in calculative practices, heuristic and algorithmic situations, and four type of practices involved in creating desirable and intelligible futures: realisation, potentialisation, virtualisation and actualisation practices. KeyWords Market practices; socio-technical agencements; performation; calculation; valuation; metrological practices; practical judgement.

This thesis focuses on the forecasting of the volatility in financial returns. Our first main contribution is the introduction of two new approaches for combining volatility forecasts. One approach involves the use of discounted weighted least square. The second proposed approach is smooth transition (ST) combining, which allows the combining weights to change gradually and smoothly over time in response to changes in suitably chosen transition variables.

This thesis provides an in-depth account of how real option pricing theory can be applied to a large organisation, where day-to-day capital investment decisions are routinely undertaken using standard discounted cash flow analysis (DCF). The study shall define the theory and origin of option pricing from its early applications in the financial commodity markets (Black, and Scholes, 1973) and (Merton, 1973) to the seminal work of academics in developing risk neutral portfolio theory (Cox, Ross Rubinstein, 1979).

The present thesis deals with the economic determinants of commodity returns and their volatility. In the first essay of the thesis we empirically investigate the main predictions of the theory of storage regarding the impact of inventory on commodity returns and their volatility. Using a large cross-section of physical inventory data on 21 commodities, we find that inventory exhibits a strongly significant positive relationship with the adjusted futures basis. Second, price volatility is a decreasing function of inventory for the majority of commodities in our sample. This effect appears to be much more pronounced when the futures market is in backwardation (low inventory states). In the second essay, we study the links between economic uncertainty and commodity futures return volatility. Analyzing volatility for the aggregate commodity market and for various commodity portfolios we find that the volatility of several macroeconomic and financial variables explains the variation in commodity returns. Furthermore, based on the information contained in a unique dataset of forecasts made by professional economists, we construct forward looking economic uncertainty proxies that do not suffer from the known problems of historical macroeconomic data (e.g., data revisions and publication lags). These empirical proxies provide stronger evidence that fluctuations in the level of macroeconomic activity drive the volatility of commodity futures returns.