Essays about: "liquidity dimension"

Found 4 essays containing the words liquidity dimension.

  1. 1. Predicting Liquidity In The Cryptocurrency Market: Testing The Invariance Theory On A New Market Structure And Asset Class

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Charles Gyllhamn; Jacob Winberg; [2022]
    Keywords : Market microstructure; invariance; bid-ask spread; liquidity; Cryptocurrencies;

    Abstract : By integrating dimensional analysis and principles of market microstructure invariance, this study documents a nearly invariant relationship between relative bid-ask spreads and illiquidity for the cryptocurrency market. The relationship is found by studying cryptocurrency trading data in two dimensions; Along a time series dimension, where data is aggregated on a daily level, and along an intraday dimension, where variables are aggregated at five-minute intervals across all trading days. READ MORE

  2. 2. Examining the Existence of the Characteristic Liquidity Premium: A Study of the U.S. Stock Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Joel Ejdesjö; Maxime Karl Marcel Rundström; [2022]
    Keywords : Characteristic liquidity premium; liquidity dimension; low-frequency effective spread; transaction cost mitigation; net returns alpha;

    Abstract : This paper examines the existence of a characteristic liquidity premium among U.S. stock returns between January 1964 and December 2021 after adjusting for transaction costs. Liquidity is estimated using four different measures in order to capture different dimensions of liquidity (price impact, trading cost, trading speed, and trading quantity). READ MORE

  3. 3. Illiquid oceans : the risk of liquidity shortages for the expansion of offshore wind energy in Germany

    University essay from Lunds universitet/LUCSUS

    Author : Lisa Ziehm; [2017]
    Keywords : offshore wind energy; renewable energie; Energiewende; financialization; sustainability science; Minsky; Social Sciences;

    Abstract : The German transition to renewable energies has so far been an example of a successful energy transition of a major economy. Even though this transition is criticized for being only a half-hearted solution, it is an important example of the attempt of a major economy to transit towards renewable energies and is therefore worth studying in its own rights. READ MORE

  4. 4. Trade fragmentation and its impact on pre-trade liquidity

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Josefin Bergholtz; Tommy Chen; [2011]
    Keywords : Market fragmentation; Market microstructure; MiFID; Liquidity; Bid-Offer Spreads;

    Abstract : The MiFID was introduced in November 2007 to enhance market quality and consumer protection. One dimension of the directive was the abolishment of the former concentration rule, which allowed for the emergence of competition between stock exchanges. As a result, trade flow has fragmented over several trading venues. READ MORE