The Impact of Macroeconomic Uncertainty on Individual Stock Liquidity

Student: Sosnina Mariia

Supervisor: Sergey Victorovich Gelman

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Final Grade: 9

Year of Graduation: 2017

My paper will focus on the asymmetry of information, which exist between informed and uninformed traders. Asymmetry of information in the market, which rises before Federal Open Market Committee Statements (FOMC), would be researched in my paper. As mentioned above the main theoretical model which is used in the my paper is Kyle model. Before the analysis of the new liquidity measures I demonstrate my work with the common liquidity measure, which is known as the quoted bid-ask spread. Secondly, I uses new liquidity measures as dependent variables. The results varies through year to year. In time of uncertainty before the FOMC announcement liquidity for some years liquidity deteriorates, whereas liquidity worsens much more after the announcement when uncertainty is resolved

Full text (added June 16, 2017)

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