Use this URL to cite or link to this record in EThOS:
Title: Essays on financial bubbles and stock liquidity on the London Stock Exchange
Author: Hsieh, Tsung-Han
ISNI:       0000 0004 6424 5840
Awarding Body: Queen's University Belfast
Current Institution: Queen's University Belfast
Date of Award: 2017
Availability of Full Text:
Full text unavailable from EThOS. Thesis embargoed until 01 Mar 2022
This thesis is a theoretical and empirical analysis of asset price movement including during periods characterised by financial bubbles. It can be argued that financial bubbles occur due to excessive optimism on the part of speculative investors. The positive expectations of investors encourage increases in both price and trading volume. When prices subsequently falter exodus from the market ensues resulting in both a price and trading volume crash. A key question is why do bubbles emerge and grow and subsequently burst? One answer to this question may be found through an analysis of how beliefs are formulated. In the theoretical component of this thesis (Chapter 2) by applying the feedback modelling approach with the coordination game of Ozcenoren and Yuan (2008) we model how investor beliefs are formulated. In Chapter 3 we use transaction-level data to investigate market illiquidity on the London Stock Exchange over the period 1996-2009. The time period under investigation encompasses the Internet (Dot-com) bubble (1997-2000) and house price bubble (2007-2008). Our dataset covers 1,600 stocks and more than 528 million trades. Chapter 4 present the second empirical investigation and considers whether spreads on the London Stock Exchange have become increasingly right skewed.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available