Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.580218
Title: The investigation of the market disequilibrium in the stock market
Author: Park, Jin Suk
Awarding Body: University of Nottingham
Current Institution: University of Nottingham
Date of Award: 2013
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Abstract:
This thesis investigated stock market disequilibrium focusing on two topics: the impact of multiple market makers on the market disequilibrium at the market microstructure level, and the detection of the long-run market disequilibrium in the context of bubbles and the changes in transition probabilities. The multiple market makers increased the resilience of price rather than improving its efficiency when a multiple market maker system (the NASDAQ) was compared with a single market maker system (the NYSE) in terms of lowering non-stationarity and raising predictability. On the other hand, the volatility modelling of intraday data showed that market maker’s under-estimation (higher-than-estimated size of return) increased volatility while over-estimation decreased it. Also, intraday seasonality in mean and volatility was confirmed, but leverage effects were denied in the GJR-GARCH-type models. The evidence of price bubbles in the Indian markets (1987-2008) and positive duration dependence in negative runs in the Korean market (1990-2008) were revealed using the duration dependence tests. The unconditional transition probabilities that a positive or negative run continues or ends were mostly significantly different from 0.5. On the other hand, the structural break based duration dependence test was devised to detect the changes in the transition probabilities between the market (dis)equilibrium. The NASDAQ and the Indian market showed positive duration dependence in positive runs and the Korean market displayed it in negative runs. In other words, the transition probability in those markets increases as a price run between structural breaks lengthened.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.580218  DOI: Not available
Keywords: HG Finance
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