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An examination of liquidity and investor sentiment in financial markets

Drummond, Philip


This thesis is comprised of three main chapters. The first chapter, "Asymmetric Liquidity Persistence", is based on a working paper co-authored with Jianxin Wang. In this paper, we identify a new autoregressive property of daily liquidity that contributes to sudden liquidity dry-ups. While liquidity is generally highly persistent, this persistence is conditional on past market states. Large negative returns cause liquidity persistence to initially decrease and then increase in the longer-run....[Show more]

CollectionsOpen Access Theses
Date published: 2019
Type: Thesis (PhD)
DOI: 10.25911/5d5149a066147


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