| Dissertation |
Thesis (Ph.D.) --NUI, 2010 at Department of Economics, UCC. |
| Summary |
Using multiple datasets, this study investigates the relationship between equities, mutual funds and market liquidity in the UK. In tests of the relationship between equities and market liquidity, 2 distinct datasets are used. The first is a daily data sample covering the period November 1986 to December 2007 for 4,102 stocks. The second is a new tick dataset that covers January 1997 to December 2007 for 1,581 FTSE All Share stocks. For each of these datasets a number of liquidity measures are estimated, many for the first time for the UK. Using the Asymptotic Principal Component (APC) approach of Korajczyck and Sadka (2008), estimates of market liquidity are extracted both within and across the liquidity measures in each dataset. Tests on both datasets conclusively show that changes in stock and portfolio liquidity are affected by shocks to market liquidity. Tests are then carried out for the pricing of liquidity risk. Stocks whose returns are more sensitive to market liquidity shocks are found to have higher risk adjusted returns, particularly for the higher quality tick dataset. Market liquidity shocks and momentum are found to be negatively related. Weak evidence of a non-linear impact of liquidity on stock returns is also found for each dataset. The returns of 1,137 mutual funds are used to test for effects of liquidity on fund performance. Inclusion of factor mimicking portfolios greatly impacts the distribution and ranking of fund alphas. On accounting for liquidity risk and level, very few funds are estimated to have truly positive performance. Performance is evaluated using a non-parametric bootstrap and the False Discovery Rate procedure. Equity income funds are found to have most of their previously observed positive abnormal performance explained away by liquidity factor portfolios while small company funds experience an improvement in performance. |
| Subject |
Stocks -- Great Britain.
|
|
Mutual funds -- Great Britain.
|
|
Liquidity (Economics)
|
| Collection |
Theses Ph.D.
|
|
Theses Economics Department
|
| Description |
329 p. : ill. ; 30 cm. |
|
