The Evolution of Market Liquidity During the Recent Financial Crisis
Bachelor Thesis
Name: Student: ANR: Supervisor: Department: Nicholas Calder Bedrijfseconomie S234854 Zorka Simon Finance
2013
The evolution of market liquidity during the financial crisis
In this paper I will examine the dynamics of financial liquidity during the crisis of 2007 using different market liquidity measures. I will also try to explain the characteristics, the role of banking and Basel III that are encountered with market liquidity.
1
Bachelor Thesis
1. Table of contents
2013
1. 2. 3. 4. 5. 6. 7. 8. 9. 10.
Table of contents ..................................................................... 2 Foreword ................................................................................ 3 Introduction ............................................................................ 4 Literature review ...................................................................... 6 Data overview ........................................................................ 16 Empirical methodology ............................................................ 17 Empirical results .................................................................... 18 Discussion and conclusion ....................................................... 20 References ............................................................................ 21 Appendix .............................................................................. 23
2
Bachelor Thesis
2. Foreword
2013
Normally a thesis marks the e nding of a j ourney through study. However, for me, this thesis can be seen a start. During my study of business economics at the Tilburg University the path to wards graduation has been set with great structure for all students to pursue their Bachelor’s degree. Many take the shortest route or the fastest highway; I chose to take a different path. This will be my fifth year at which I am a national athlete of the Dutch rowing team, whereby I hope to qualify for the
Name: Student: ANR: Supervisor: Department: Nicholas Calder Bedrijfseconomie S234854 Zorka Simon Finance
2013
The evolution of market liquidity during the financial crisis
In this paper I will examine the dynamics of financial liquidity during the crisis of 2007 using different market liquidity measures. I will also try to explain the characteristics, the role of banking and Basel III that are encountered with market liquidity.
1
Bachelor Thesis
1. Table of contents
2013
1. 2. 3. 4. 5. 6. 7. 8. 9. 10.
Table of contents ..................................................................... 2 Foreword ................................................................................ 3 Introduction ............................................................................ 4 Literature review ...................................................................... 6 Data overview ........................................................................ 16 Empirical methodology ............................................................ 17 Empirical results .................................................................... 18 Discussion and conclusion ....................................................... 20 References ............................................................................ 21 Appendix .............................................................................. 23
2
Bachelor Thesis
2. Foreword
2013
Normally a thesis marks the e nding of a j ourney through study. However, for me, this thesis can be seen a start. During my study of business economics at the Tilburg University the path to wards graduation has been set with great structure for all students to pursue their Bachelor’s degree. Many take the shortest route or the fastest highway; I chose to take a different path. This will be my fifth year at which I am a national athlete of the Dutch rowing team, whereby I hope to qualify for the
References: 2013 Figure 5: AVERAGE OF THE 4 COMPANIES (SIC6021) bid-ask spread and ILLIQ spread from 2004 - 2012