This thesis consists of three empirical essays in financial economics, with particular focus on the European Union and the Eurozone. The thesis investigates topics related to market liquidity and integration. In particular, it covers the transmission of liquidity shocks across Eurozone markets, the role of market liquidity in the repurchase programme and integration of Eurozone economies in terms of welfare gains from trade. Liquidity and integration have received considerable attention in recent years, particularly within the context of global financial and macroeconomic uncertainty over the last decade. In the first empirical essay, we investigate static and dynamic liquidity spillovers across the Eurozone stock markets. Using a generalised vector autoregressive (VAR) model, we introduce a new measure of liquidity spillovers. We find strong evidence of interconnection across countries. We also test the existence of liquidity contagion using a dynamic version of our static spillover index. Our results indicate that the transmission of shocks increases during periods of higher financial turbulence. Moreover, we find that core economies tend to be dominant transmitters of shocks, rather than absorber. The second essay investigates the role played by market liquidity in the execution of open-market share repurchases in the UK which is the most active market within the EU for this payout method. Using a unique hand collected data set from Bloomberg Professionals, we find that the execution of share repurchases does not depend on the long-term underlying motive, but it rather relies on market liquidity and other macroeconomic variables. We also provide a methodological contribution using censored quantile regression (CQR), which overcomes most of the econometric limitations of the Tobit models, widely employed previously within this literature. The third essay quantifies the welfare gains from trade for the Eurozone countries. We apply a trade model that allows us to estimate the increase in real consumption as a result of trade between countries. We estimate welfare gains using two sufficient aggregate statistics. These are the share of expenditure on domestic goods and the elasticity of exports with respect to trade cost. We offer a methodological contribution for the estimation of elasticities by applying the Poisson pseudo-maximum likelihood (PPML) using a gravity model. PPML allows the estimation of gravity models in their exponential form, allowing the inclusion of zero trade flows and controlling for heteroskedasticity. Previous studies present several econometric limitations as a result of estimating gravity models in their log-linearised form. Our results indicate that joining the euro did not significantly increase trade gains for member countries. Nevertheless, differences across countries are significant and Northern economies experience a higher increase in welfare gains trade as compared to Southern economies.

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 individuelles, et l'impact de la crise sur la liquidité. Nous étendons en outre notre analyse à la liquidité des financements, mesurée par l'écart de la rémunération entre les "commercial papers" et le taux de base de la banque centrale, pour estimer l'effet de la baisse du marché lorsque les spéculateurs sont confrontés à une contrainte de financement. Dans la deuxième partie de notre recherche nous nous intéressons aux facteurs de la liquidité. Nous estimons l'effet de la liquidité du marché sur liquidité idiosyncrasique, et examinons si cet effet est amplifié dans le contexte de baisse importante des marchés. Dans la troisième partie de la thèse, nous répartissons les actions en trois portefeuilles equi-pondérés en fonction des pratiques de gouvernance d'entreprise différentielles. Nous effectuons l'analyse mentionnée ci-dessus pour estimer si la liquidité des entreprises ayant des pratiques de gouvernance d'entreprise différentes réagit différemment en présence de baisse importante des marchés et de spirales de liquidité. / In this study we try to bridge the gap between two strands of literature, first we conduct a thorough investigation about relation between, Market liquidity, funding liquidity and market declines in an emerging market i.e. Brazil. Then we conduct the analysis in the context of differential corporate governance practices and try to find if higher corporate governance practices have an effect on liquidity and how it affects stock liquidity in market declines. We closely follow the methodology used by Hameed et al (2010) and Adrian et al (2011). In the first part of the paper, using the High-Low spread estimator proposed by Corwin et Schultz (2012) as our liquidity proxy, we conduct a time series analysis to estimate the effect of individual returns market returns, and large market declines on liquidity. We further extend our analysis to include funding liquidity, measured by the spread between the commercial paper and the central bank rate, to estimate the effect of market declines when speculators face a funding constraint. In the second part of our analysis we move towards liquidity commonality. We estimate the effect of market wide liquidity movements on individual stock liquidity, and whether this effect is amplified in the context of large market downturns. In the third part of the paper we sort the stocks into three equally weighted portfolios based on differential corporate governance practices. We conduct the above mentioned liquidity analysis to estimate if liquidity of firms with differential corporate governance practices react differently in the times of large market downturns and liquidity spirals.

The thesis analyses high frequency trading, specifically its main characteristics, which make it different from algorithmic trading. Furthermore, the thesis looks closer into major risks, which are new to market, and their impact on market quality and other investors. The next chapter is dedicated to trading strategies, which are typical for high frequency trading. In conclusion, there is discussed the impact on the market quality caused by high frequency trading, namely in terms of liquidity, volatility and price discovery.

Diploma thesis focuses on liquidity risk management of commercial banks in the Czech banking market in 2002-2015. This main goal is achieved through a comprehensive analysis within a framework that uses several different methods. A theoretical framework for bank liquidity management is drawn up for a theoretical evaluation, summary of the current literature and a summary of the regulatory framework including the newly introduced Basel III requirements and indicators is put together. The research part is focused on assessing the development and current state of liquidity of Czech banks by analyzing of liquidity ratios and regression analysis of panel data. The level of liquidity and the size of the liquid pillow is judged to be sufficient and stable from the results of the individual analyses. The net position of Czech banks on the interbank market on an international scale also reflects a good level of liquidity. The major determinants of Czech bank liquidity in the period under review were mainly capital adequacy, bank size, loan portfolio quality, growth rate of GDP and interest rates.

We study some aspects of liquidity of stocks traded through the National Stock Exchange (NSE) of India. Initially we examine the multi-dimensional nature of liquidity by conducting day-wise factor analysis of eleven liquidity proxies across a cross-section of stocks, using data from two periods reflecting different market conditions. Five factors emerge consistently, interpretable as depth, spread, volume, price elasticity and relative activity. Subsequently, we study execution of limit orders in the NSE from three angles. First we consider order execution probability, using 106 stock-specific logistic models. Important predictors of order execution probability are price premium followed by volatility, relative activity, bid ask spread and order imbalance. Some differences are noted when comparing companies of different sizes and between buy and sell orders. Second, we study order execution times using survival analysis. Several diagnostic tests indicate that parametric Accelerated Failure Time models using the log-logistic distribution for the survival time S(t) are suitable for current data. 100 stock-specific models are built; results are consistent with the logistic models. Additionally depth is also found to be important. Finally we build 4 combined models across stocks for both execution probabilities as well as times. These models perform well on out of sample data, suggesting their predictive utility.

The aim of this thesis is to evaluate the possibility of household investment in the money market in the Czech Republic. In the theoretical section we can find details of the cash market and its segments. Followed by financial institutions and relevant indicators influencing investor decisions. The practical part is focused on specific financial products. They are mutually compared and evaluated in terms of availability and suitability for the small investor. Return, risk and liquidity are also taken into account.

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Die Arbeit befasst sich mit ökonomischen Effekten der rechtlichen Durchsetzung von Staatsschulden. Die Literatur nimmt weitgehend an, dass diese größtenteils irrelevant sind. Die Dissertation präsentiert neu erstellte Datensätze über Anlegerklagen in den USA und UK, und verbindet diese mit Finanzmarktdaten. Die zentralen Ergebnisse sind: (1) Staatsschuldenkrisen sind zunehmend begleitet von Anlegerklagen, wenn auch die Zahl gering ist. Klagen sind wahrscheinlicher wenn Regierungen hohe Verluste auf ihre Gläubiger abwälzen. Sie können zudem signifikante Kosten durch die Versperrung des Finanzmarktzugangs mit sich bringen. Insbesondere spezialisierte Investoren führen Klagen, und die vertragliche Gestaltung der Anleihen bedingt Teilnahme- und Klageraten. (2) Marktpreise spiegeln diese Entwicklungen wider. Die Marktliquidität nimmt während Schuldenkrisen signifikant ab und Staatsanleihen, die bessere rechtliche Durchsetzungsmöglichkeiten versprechen, werden zu höheren Preisen gehandelt. / This thesis studies the economic impact of legal enforcement of sovereign debt. The literature assumes that legal enforcement mechanisms are largely irrelevant. The thesis presents newly assembled datasets on lawsuits filed by private investors against governments in the US and the UK, and connects them with financial market data. The main findings are: (1) Sovereign defaults are increasingly subject to investor lawsuits, although the numbers are still small. Lawsuits are more likely if governments impose large losses on their creditors. Litigation can create significant costs by affecting governments'' financial market access. Distressed investors are especially likely to file suit, and contract design is a significant predictor of participation and litigation. (2) Sovereign bond pricing reflects these developments. Market liquidity decreases significantly during debt crises. Furthermore, sovereign bonds with stronger legal protection trade at higher prices during financial crises.

<p>Dividend policy has significant impact on the company's capital market, in particular the dynamics of the price of its shares. Dividends represent cash income of shareholders and to some extent, signal them about success of the firm they have invested. From that point of view dividend policy has crucial impact on investment decisions.</p><p>Numbers of valuation models based on dividend payouts exist in the financial theory and they imply importance of dividends in making investment decisions. Alternatively some authors argue that role of the dividends is overestimated, as investors do not separate dividends and capital earnings. I believe that dividend policy has broad influence not only on share valuation, but also on capital structure of the company and its stock market liquidity.</p><p>Study intended to discover if dividend payouts and future earnings can be predicted based on stock market liquidity and capital structure. I have analysed 72 companies associated with Nordic information technologies market and tried to find main characteristics of dividend policy adopted in those companies. I have divided my research question into three parts and studied hypotheses which are associated with the research question.</p><p>I found relationship of dividend policies with future earnings growth power, firm capital structure and market liquidity. As a result of my study I have observed financial statements data and obtained the following outcome: (1) with stable dividend policy, payout ratio is positively related to the future earnings growth rate (2) companies that have less liquid stock markets are more likely to pay dividends (3) companies with low leverage ratios have more probability of paying dividends. Also I have found that historically low payout ratio is harbinger of low or even negative earnings growth rates.</p><p>I believe that based on findings mentioned above, effective investment policy could be created. For the investor who favours to invest in company with high earnings growth perspectives and receive high dividends in the future, results of the study could be interesting. According to the results of the research, for “dividend preferring” investor, funds should be invested in the company with constantly high payout ratio, low stock market liquidity and debt-to-equity ratio below 1. In that case the probability of meeting investment expectations would be much higher.</p>