Thesis (Ph. D.)--University of Wisconsin--Madison, 1972. / Typescript. Vita. Description based on print version record. Includes bibliographical references.

Thesis (Ph.D.)--Hong Kong University of Science and Technology, 2006. / Includes bibliographical references. Also available in electronic version.

abstract: This paper examines dealers' inventory holding periods and the associated price markups on corporate bonds from 2003 to 2010. Changes in these measures explain a large part of the time series variation in aggregate corporate bond prices. In the cross-section, holding periods and markups overshadow extant liquidity measures and have significant explanatory power for individual bond prices. Both measures shed light on the credit spread puzzle: changes in credit spread are positively correlated with changes in holding periods and markups, and a large portion of credit spread changes is explained by them. The economic effects of holding periods and markups are particularly sharp during crisis periods. / Dissertation/Thesis / Ph.D. Business Administration 2012

En el trabajo encontraremos una breve descripción de la empresa, la Ley de Sistema de Pago de Obligaciones Tributarias (SPOT), detracciones, liquidez y de análisis financiero. Estas descripciones vinculan el problema principal, los objetivos, las hipótesis dando como resultado conclusiones acertadas y concretas lo cual me permitió elaborar recomendaciones que generarán mayor liquidez en la empresa. In the work we will find a brief description of the company, the System Law of Payment of Tax Obligations (SPOT), deductions, liquidity and financial analysis. These descriptions link the main problem, the objectives, the hypotheses giving As a result, correct and concrete conclusions allowed me to elaborate recommendations that will generate greater liquidity in the company.

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This study investigates the relationship between algorithmic trading and a change in market structure. Furthermore, the study aims to determine if there is a relationship between algorithmic trading and the liquidity of the JSE. The level of algorithmic trading is measured through an algorithmic trading proxy based on current academic theory. The results illustrate that there is a strong statistical relationship between the AT proxy and a change in market structure. The relationship between algorithmic trading and the liquidity of JSE is measured via four specific low-frequency measures: the stock turnover ratio, the proportional bid ask spread, the price impact ratio, and the zero return measure. Each liquidity measure is able to quantify a specific component of liquidity. Each liquidity measure was regressed against the algorithmic trading proxy. The results attained were mixed, with only two of the four measures producing statistically significant relationships. The results seem to indicate that the increase in algorithmic activity has resulted in a reduction of the price impact effect; however, a parallel increase in volatility was observed. An increase in the zero return measure was observed, which indicates that AT increases the efficiency of trading by reducing trading costs, and gathering information at a faster rate. The findings of this study may indicate that liquidity has improved, but has done so with a repercussion of an increase in volatility. Certain regulatory policy adjustments may be required to curb volatility while maintaining the heightened level of liquidity. / Dissertation (MBA)--University of Pretoria, 2013. / zkgibs2014 / Gordon Institute of Business Science (GIBS) / MBA / Unrestricted

Prior finance literature lacks a comprehensive analysis of microstructure characteristics of U.S. futures markets due to the lack of data availability. Utilizing a unique data set for five different futures contract this dissertation fills this gap in the finance literature. In three essays price discovery, resiliency and the components of bid-ask spreads in electronic futures markets are examined. In order to provide comprehensive and robust analysis, both moderately volatile pre-crisis and volatile crisis periods are included in the analysis. The first essay entitled “Price Discovery and Liquidity Characteristics for U.S. Electronic Futures and ETF Markets” explores the price discovery process in U.S. futures and ETF markets. Hasbrouck’s information share method is applied to futures and ETF instruments. The information share results show that futures markets dominate the price discovery process. The results on the factors that affect the price discovery process show that when volatility increases, the price leadership of futures markets declines. Furthermore, when the relative size of bid-ask spread in one market increases, its information share decreases. The second essay, entitled “The Resiliency of Large Trades for U.S. Electronic Futures Markets,“ examines the effects of large trades in futures markets. How quickly prices and liquidity recovers after large trades is an important characteristic of financial markets. The price effects of large trades are greater during the crisis period compared to the pre-crisis period. Furthermore, relative to the pre-crisis period, during the crisis period it takes more trades until liquidity returns to the pre-block trade levels. The third essay, entitled “Components of Quoted Bid-Ask Spreads in U.S. Electronic Futures Markets,” investigates the bid-ask spread components in futures market. The components of bid-ask spreads is one of the most important subjects of microstructure studies. Utilizing Huang and Stoll’s (1997) method the third essay of this dissertation provides the first analysis of the components of quoted bid-ask spreads in U.S. electronic futures markets. The results show that order processing cost is the largest component of bid-ask spreads, followed by inventory holding costs. During the crisis period market makers increase bid-ask spreads due to increasing inventory holding and adverse selection risks.

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