Liquidity and Asset Pricing under the Presence of Market Frictions; with an Analysis

Download

term-project-burcu-ozcan.pdf

Date

2022-9-05

Author

Özcan, Burcu

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

270
views

207
downloads

This paper provides a literature review on the models explaining the relationship between liquidity and asset prices with an emphesis on the Vayanos and Wang’s model (2012) which is one of the most significant contributions to this literature.

Subject Keywords

market liquidity, market frictions, illiquidity measures, asset pricing

URI

https://hdl.handle.net/11511/98662

Collections

Graduate School of Applied Mathematics, Term Project

Suggestions

OpenMETU
Core

Liquidity Performance Measures On Bond Markets Aktaş, Doğan; Danışoğlu, Seza; Department of Financial Mathematics (2023-1-24) Financial markets are very important because of the facility provides in trade. Hence, performance of a fi nancial market is important. Liquidity is a crucial indicator to evaluate a financial market's performance. In this paper, liquidity performance measures for bond markets are examined with real-life examples.
Pricing to market : an evaluation for Turkey Yönder, Erkan; Akbostancı Özkazanç, Elif; Department of Economics (2007) This thesis investigates pricing to market behavior in the exports of Turkey, which is a small economy. The investigated sectors are hazelnut, dried grape, dried apricot, dried fig and feldspar. The sectors are selected because Turkey is the leading producer and exporter for these products in the world. We apply pricing to market model for the exports from Turkey to each of the largest importer countries and the world in total for each product to check whether there is monopolistic behavior in the markets. ...
Additional tests of multi-index asset pricing models: evidence from an emerging market Danışoğlu, Seza (2017-01-01) This study provides comprehensive evidence on the performance of asset pricing models in an emerging market setting. Tests are conducted on portfolios formed based on Fama-MacBeth betas, Fama-French size and book-to-market (B/M) factors, Carhart's short-and long-term past returns and Pastor and Stambaugh's liquidity beta. This is one of the first studies to provide emerging market evidence on Pastor and Stambaugh's liquidity beta measuring a firm's sensitivity to changing levels of market-wide liquidity. Re...
Exchange Rate Regimes and Business Cycles: An Empirical Investigation Erdem, Fatma Pinar; Özmen, Erdal (2015-11-01) This paper empirically investigates the impacts of domestic and external factors along with exchange rate regimes (ERRs) on business cycles in a large panel of advanced and emerging market economies (EME). The results for classical business cycles suggest that EME tend to experience much deeper recessions and relatively steeper expansions during almost the same duration. The probability of expansions significantly increases with ERR flexibility. Our results strongly support floating ERR for both advanced an...
The Assessment of macroeconomic variability and monetary transmission mechanisms in Turkey with VAR esrimates Baştan, Emine Meltem; Gaygısız Lajunen, Esma; Department of Economics (2012) This thesis investigates the nature of macroeconomic changes by focussing on the monetary policy changes in Turkey between 1990Q1-2011Q4 and assesses the variability of the economy via impulse response functions obtained from VAR analyses. The period of the analyses is characterized with changes of the definitions of monetary aggregates in 2002 and 2007. In order to have consistent monetary series, the new and old series are constructed according to new and old definitions and then analyses are carried out ...

Citation Formats

B. Özcan, “Liquidity and Asset Pricing under the Presence of Market Frictions; with an Analysis,” M.S. - Master Of Science Without Thesis, Middle East Technical University, 2022.