The investigation of the market disequilibrium in the stock market

Park, Jin Suk (2013) The investigation of the market disequilibrium in the stock market. PhD thesis, University of Nottingham.

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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.

Item Type: Thesis (University of Nottingham only) (PhD)
Supervisors: Young, R.J.
Skovoroda, R.
Keywords: market disequilibrium, market microstructure, market maker, duration dependence, survival analysis, structural break, stock price bubbles.
Subjects: H Social sciences > HG Finance
Faculties/Schools: UK Campuses > Faculty of Social Sciences, Law and Education > Nottingham University Business School
Item ID: 13166
Depositing User: EP, Services
Date Deposited: 14 Oct 2013 12:28
Last Modified: 17 Dec 2017 11:39

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