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Liquidity, Price Behavior and Market-related Events

Lu, Ran
http://rave.ohiolink.edu/etdc/view?acc_num=ucin1311691770

Abstract Details

2011, PhD, University of Cincinnati, Business: Business Administration.
In this research, I investigate price behavior of stock market portfolios sorted by liquidity and/or size surrounding market-related events. Three liquidity measures are used (Amihud illiquidity measure, turnover and adjusted ILLIQ). Amihud illiquidity measure is the ratio between the absolute value of the daily stock return and the daily dollar trading volume. Turnover is measured by the ratio between the daily trading volume and the shares outstanding. Adjusted ILLIQ is based on Amihud illiquidity measure, considering the non-trading effect on stock liquidity. I also sort the portfolios by size (measured by market capitalization). The outcomes suggest that large, liquid stocks react in a stronger manner and faster to market-related shocks—they also experience a faster reversal following the shocks than do illiquid and small stocks. My hypothesis is that large liquid stocks are more market related (with betas closer to or larger than one) while small illiquid firms tend to not be strongly market related (betas of less than one). The findings support this view. Additionally, I find that small illiquid stocks have more idiosyncratic risk (as measured by the variance of the error term) than liquid and large stocks. Overall, the results suggest that size and liquidity seem to identify the market relatedness of firms.
John Glascock, PhD (Committee Chair)
Michael Walker, PhD (Committee Member)
Yan Yu, PhD (Committee Member)
330 p.
Liquidity; Extreme Market Events; Beta; Return Reversal; Market Efficiency

Recommended Citations

Citations

  • Lu, R. (2011). Liquidity, Price Behavior and Market-related Events [Doctoral dissertation, University of Cincinnati]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1311691770

    APA Style (7th edition)

  • Lu, Ran. Liquidity, Price Behavior and Market-related Events. 2011. University of Cincinnati, Doctoral dissertation. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=ucin1311691770.

    MLA Style (8th edition)

  • Lu, Ran. "Liquidity, Price Behavior and Market-related Events." Doctoral dissertation, University of Cincinnati, 2011. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1311691770

    Chicago Manual of Style (17th edition)

ucin1311691770
1,062
© 2011, all rights reserved.
This open access ETD is published by University of Cincinnati and OhioLINK.