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Title: Four essays on return behaviour and market microstructures: Evidence from the Saudi stock market
Authors: Alzahrani, Ahmed A
Advisors: Gregoriou, A
Keywords: Market efficiency;Market microstructure;Post-earnings announcement drift (PEAD);Block trades;Saudi stock market
Issue Date: 2009
Publisher: School of Social Sciences Theses
Abstract: This dissertation is divided into an introductory chapter and four essays. Chapter one discusses the importance of the study and describes the development and growth of the market as well. The first part (Chapters 2 & 3) examines stock returns behaviour and trading activity around earnings announcements. The second part (Chapters 4 & 5) examines price impact asymmetry and the price effects of block trades in the market microstructure context. Each essay addresses some aspects of market microstructure and stock returns behaviour in order to aid researchers, investors and regulators to understand a market which lacks research coverage. The research provides empirical evidence on issues such as the efficiency of the market, information asymmetry, liquidity and price impact of block trades. In first part of the thesis, event study and regression analysis were used to measure the price reaction around earnings announcements and to examine trading activity, information asymmetry and liquidity. In second part the determinants of the price impact of block trades were examined with regard to trade size, market condition and time of the day effects using transaction data. Liquidity and information asymmetry issues of block trades were also studied in this part.
Description: This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.
Appears in Collections:Economics and Finance
Dept of Economics and Finance Theses

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