The investigation of the market disequilibrium in the stock market
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 probabili...
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| Format: | Thesis (University of Nottingham only) |
| Language: | English |
| Published: |
2013
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| Online Access: | https://eprints.nottingham.ac.uk/13166/ |
| _version_ | 1848791668181958656 |
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| author | Park, Jin Suk |
| author_facet | Park, Jin Suk |
| author_sort | Park, Jin Suk |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T18:32:10Z |
| format | Thesis (University of Nottingham only) |
| id | nottingham-13166 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:32:10Z |
| publishDate | 2013 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-131662025-02-28T11:23:32Z https://eprints.nottingham.ac.uk/13166/ The investigation of the market disequilibrium in the stock market Park, Jin Suk 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. 2013-07-18 Thesis (University of Nottingham only) NonPeerReviewed application/pdf en arr https://eprints.nottingham.ac.uk/13166/1/PhD_Thesis_2013_Jin_Suk_PARK_FINAL.pdf Park, Jin Suk (2013) The investigation of the market disequilibrium in the stock market. PhD thesis, University of Nottingham. market disequilibrium market microstructure market maker duration dependence survival analysis structural break stock price bubbles. |
| spellingShingle | market disequilibrium market microstructure market maker duration dependence survival analysis structural break stock price bubbles. Park, Jin Suk The investigation of the market disequilibrium in the stock market |
| title | The investigation of the market disequilibrium in the stock market |
| title_full | The investigation of the market disequilibrium in the stock market |
| title_fullStr | The investigation of the market disequilibrium in the stock market |
| title_full_unstemmed | The investigation of the market disequilibrium in the stock market |
| title_short | The investigation of the market disequilibrium in the stock market |
| title_sort | investigation of the market disequilibrium in the stock market |
| topic | market disequilibrium market microstructure market maker duration dependence survival analysis structural break stock price bubbles. |
| url | https://eprints.nottingham.ac.uk/13166/ |