We show that the endogenous stochastic process of the liquidity of securities is as important to investment and valuation as the exogenous stochastic process of their cash ‡ows. We develop a general-equilibrium model with heterogeneous investors who have an every-day motive to trade and pay transactions fees. Our model delivers the optimal, market-clearing moves of each investor and the resulti...

Abstract We investigate the growth effects of financial globalization, giving particular consideration to potential conditionality of these growth effects on the level of a country’s institutional and financial market development. To capture such conditionality, we extend recently developed heterogeneous dynamic panel data models to account for bivariate long-run conditional parameter homogenei...

We model a run on a financial market, in which each risk-neutral investor fears having to liquidate shares after a run, but before prices can recover back to fundamental values. To avoid having to possibly liquidate shares at the marginal post-run price—in which case the risk-averse market-making sector will already hold a lot of share inventory and thus be more reluctant to absorb additional s...

This dissertation consists of three chapters on financial market imperfections, in particular, information imperfections. Chapter 1 studies how the existence of a fixed cost per transaction faced by uninformed investors hampers information revelation through price and exacerbates adverse selection. The exacerbated adverse selection explains one long-standing puzzle in finance the momentum anoma...

In recent years, researchers analyzed the historical data from the financial markets. They found that the statistical result is different from the classical financial theories, models, and methods. The difference is challenging the three hypotheses which are rational people hypothesis, efficient market hypothesis and random walk hypothesis. We need new perspective and tools to re-study the fina...

this paper investigates the key factors affecting the foreign direct investment (fdi) inflow to deve­­loping countries during the period (1995-2010) with emphasis on the financial development. financial development, as an important factor in fdi absorption and a prerequisite for utilizing the benefits of fdi, not only increases the fdi inflow in developing countries, but also improve the absorp...

The efficient market hypothesis (EMH) fails as a valid model of financial markets. The fractal market hypothesis (FMH) is a more general alternative way to the EMH. The FMH is formed on the following parameter space: agents’ investment horizons. A financial market is more stable when a fractal character in the structures of agent’s investment horizons is adopted. For computer simulations, the c...

financial markets are considered because of their role in acquiring small and large savings of national economy, optimizing the flow of financial resources and distributing these resources to consumption and investment needs of economic sectors. the aim of this study was investigating the influence of financial market extension on agriculturalsector’s development of kohgilouye and boyer ahmad p...

this paper uses a multivariate garch model to simultaneously estimate the mean and conditional variance using daily returns among different tehran sector indexes from tir 1386 to tir 1391. since different financial assets are traded based on these sector indexes, it is important for financial market participants to understand the volatility transmission mechanism over time and across sectors in...

We consider a ...nancial market driven by a continuous time homogeneous Markov chain. Conditions for absence of arbitrage and for completeness are spelled out, non-arbitrage pricing of derivatives is discussed, and details are worked out for a number of cases. Closed form expressions are obtained for interest rate derivatives. Computations typically amount to solving a set of ...rst order parti...