FUNDAMENTACIÓN CIENTÍFICA 2 Marco teórico
2.2. Comprensión lectora 1 La Comprensión.
2.2.9. Los niveles compresión lectora.
The first essay of this thesis discusses empirical evidence on liquidity issues in international markets, and highlights areas for future liquidity research. However, the essay focuses on liquidity of stocks, and it does not consider liquidity in international bond, derivatives, or foreign exchange markets (e.g. Mayordomo, Rodriguez-Moreno, Pena, 2014). Moreover, there has been increased research attention on the liquidity link between asset classes (e.g. Syamala, Reddy, and Goyal, 2014). A comprehensive review of existing studies on liquidity in international non-equity asset classes and liquidity dynamics across asset classes in international markets can offer a promising route toward a better understanding of liquidity issues.
The second essay uses the VIX index to proxy for risk perceptions internationally. Section 3.2.3 discusses alternative risk perception indicators and show these measures are
highly correlated. Despite VIX being widely used as a proxy for global risk perception (e.g. Sari, Soytas, and Hacihasanoglu, 2011; Mayordomo, Rodriguez-Moreno, and Pena, 2014), future research can use alternative risk measures and investigate whether the documented results depend on the choice of VIX as the risk perception measure. Future studies may also examine the relative importance of global and local risk perceptions.
The third essay provides evidence that market-specific characteristics are important in determining the impact of liquidity channel through which market volatility affects stock returns. However, the list of market characteristics is not exhaustive. As the trading environments and techniques are evolving in a rapid pace, the investigation of other determinants of the role of the liquidity channel is an important field for further research.
The final essay of this thesis investigates market liquidity and trading activity in China. The essay shows gradually increased market liquidity and trading activity over time and documents the increased impact of global factors in China, which echoes with China’s recent reforms and policy changes aiming at improving the market’s integration
and liquidity (e.g. the Shanghai/Shenzhen-Hong Kong Connect Programme). Future studies may further investigate to what extent the improvements in China differ from the global mean, and/or the average of its emerging market counterparts. Another possible avenue for future research is to investigate whether and to what extent the influence of market integration/fragmentation on liquidity depends on market-specific characteristics, provided the evidence of a positive impact of market fragmentation on liquidity in more developed markets (e.g. Aitken, Chen, and Foley, 2017).
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