PhD Defence: Dominik Rösch
In his dissertation ‘Market Efficiency and Liquidity’ ERIM’s Dominik Rösch investigates the interaction between market efficiency and liquidity. In particular to document time- and cross-sectional variation in market efficiency, and whether individual stock efficiency co-moves with aggregate market efficiency; to investigate why inefficiencies arise and how trading against these inefficiencies affects market liquidity.
Dominik defended his dissertation in the Senate Hall at Erasmus University Rotterdam on Friday, 18 December 2015 at 11:30. His supervisor was Prof.dr. M.A. van Dijk. Other members of the Doctoral Committee were Dr. D.G.J. Bongaerts (RSM), Prof.dr. J.J.A.G. Driessen (Tilburg University), and Prof.dr. A.J. Menkveld (VU Amsterdam).
About Dominik Rösch
Dominik Rösch is currently an Assistant Professor of Finance at the State University of New York at Buffalo. Before starting his PhD at the Rotterdam School of Management he received a Master's degree (or its German equivalent) in Mathematics from the University of Bonn and in Finance from the University of London. He worked several years as a programmer and as a quantitative analyst, of which four years he worked as the Head of Quants for the Regentmarkets Group.
His research interests are in empirical asset pricing and market microstructure. In particular, he is interested in market efficiency, liquidity, and arbitrage. He also has a passion for programming and database management: During his PhD he developed a framework that allows to conveniently analyze terabytes of worldwide tick-by-tick data.
Dominik presented his research in several international conferences, such as the annual meetings of the European Finance Association, and received an outstanding paper award at the 50th Eastern Finance Association meeting. He also spend a semester at Cornell and served as a referee for the Review of Financial Studies.
Thesis Abstract
The main theme of this thesis is to investigate the interaction between market efficiency and liquidity. In particular to document time- and cross-sectional variation in market efficiency, and whether individual stock efficiency co-moves with aggregate market efficiency; to investigate why inefficiencies arise and how trading against these inefficiencies affects market liquidity. Theory predicts that arbitrage improves financial market liquidity when arbitrage opportunities arise as a result of temporary demand shocks and worsens liquidity when arbitrage opportunities arise as a result of differences in information. My analysis suggests that around 70% of the arbitrage opportunities arise as a result of demand shocks. Consistent with theory, I then show that an increase in arbitrage activity is associated with a reduction in market order imbalance and an improvement in liquidity.
· View and download Dominik's dissertation
Photos: Chris Gorzeman / Capital Images
