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.
| Identifer | oai:union.ndltd.org:BRADFORD/oai:bradscholars.brad.ac.uk:10454/18756 |
| Date | January 2019 |
| Creators | Grillini, Stefano |
| Contributors | Sharma, Abhijit, Ozkan, Aydin |
| Publisher | University of Bradford, Department of Accounting, Finance and Economics. School of Management |
| Source Sets | Bradford Scholars |
| Language | English |
| Detected Language | English |
| Type | Thesis, doctoral, PhD |
| Rights | <a rel="license" href="http://creativecommons.org/licenses/by-nc-nd/3.0/"><img alt="Creative Commons License" style="border-width:0" src="http://i.creativecommons.org/l/by-nc-nd/3.0/88x31.png" /></a><br />The University of Bradford theses are licenced under a <a rel="license" href="http://creativecommons.org/licenses/by-nc-nd/3.0/">Creative Commons Licence</a>. |
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