In this thesis, I explore various aspects of market liquidity and analyze its effect on asset prices. First, in a model of a limit order market I explain how to define liquidity and derive a price impact function. Second, I show how agents who have price impact generate a liquidity component in...

Human nature does not like change, and unfortunately, in some areas, changes must be made. From an economic standpoint, firms have to adapt to new technologies, the size of markets change constantly as a result of globalization, and customers' needs are never-ending and wide-ranging. In a word,...

Along with the increasing computing power, growing availability of various data streams, introduction of the electronic exchanges, decreasing trading costs and heating-up competition in financial investment industry, quantitative trading strategies or quantitative trading rules have been...

This paper examines the stock prices of Chinese companies dual-listed in the A and H share markets between January 2006 and March 2008. While most previous studies have concluded that the A share market does not have significant exposure to the Hong Kong market, I find that following the...

In Chapter 1, I investigate trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases by more than 15% prior to scheduled announcements. The decline in trading volume is largest...

Ticks, the second-to-second trades and quotes of a market, might be considered the atoms of finance. They represent the basic, defining transactions that represent an asset in the market. Almost all financial concepts, such as returns or risk, are essentially abstractions from tick data. Like...

This thesis consists of three essays on asset pricing. Chapter 1 presents an equilibrium model to study the convergence trading of large hedge funds in segmented markets. The model provides an alternative explanation for the anomaly of a price gap between two fundamentally identical securities....

Consolidation in the financial industry has progressed rapidly in many countries. In the United States, large financial corporations, such as Citigroup and JP Morgan Chase, formed complex financial groups and conglomerate structures composed of a commercial bank, a securities company, and an...