Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/147916
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dc.titleHOW MACRO-LIQUIDITY IMPACTS MICRO-LIQUIDITY IN THE US EQUITY MARKET
dc.contributor.authorTRAN THI NGOC VAN
dc.date.accessioned2018-10-01T04:32:27Z
dc.date.available2018-10-01T04:32:27Z
dc.date.issued2011
dc.identifier.citationTRAN THI NGOC VAN (2011). HOW MACRO-LIQUIDITY IMPACTS MICRO-LIQUIDITY IN THE US EQUITY MARKET. ScholarBank@NUS Repository.
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/147916
dc.description.abstractThe recent financial turmoil has seen severe liquidity dry-ups in the financial markets. This paper explores potential impact of macro-liquidity (i.e. the liquidity provided by investors and the central bank through money flows or monetary policy) on micro-liquidity (i.e. transaction costs) in the U.S. equity market in the last four decades from 1970 to 2009. We find that macro-liquidity has significant impact on micro-liquidity. We also determine that measures of financial institutions? capital constraints, proxies of interest rates, borrowed reserves and change in temporary open market operations are important drivers of stock liquidity. Our empirical evidence supports the conclusion that micro-liquidity is more sensitive to changes in macro-liquidity during recessions. Finally, macro-liquidity has more pronounced impact to less liquid stocks.
dc.typeThesis
dc.contributor.departmentNUS Business School
dc.description.degreeBachelor's
dc.description.degreeconferredBACHELOR OF BUSINESS ADMINISTRATION WITH HONOURS
Appears in Collections:Bachelor's Theses

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