This thesis contains four chapters. Chapter 1 entitled "Literature Review on Stock Liquidity" reviews the previous and current researches on stock liquidity. Definition, incentives, and measures of liquidity are also discussed in the chapter. Chapter 2 entitled "A cross sectional study of stock liquidity in Asian Pacific and US markets" explores the factors that affect stock liquidity and investigates whether the influence of these factors would be different in different stock markets. Using trade day percentage, trading volume, and volume variance as measures of stock liquidity, I find that stock liquidity is positively related to firm size, the number of analysts following the firm, return volatility, winner stock, and negatively related to stock price level, earnings surprise, debt...[ Read more ]

This thesis contains four chapters. Chapter 1 entitled "Literature Review on Stock Liquidity" reviews the previous and current researches on stock liquidity. Definition, incentives, and measures of liquidity are also discussed in the chapter. Chapter 2 entitled "A cross sectional study of stock liquidity in Asian Pacific and US markets" explores the factors that affect stock liquidity and investigates whether the influence of these factors would be different in different stock markets. Using trade day percentage, trading volume, and volume variance as measures of stock liquidity, I find that stock liquidity is positively related to firm size, the number of analysts following the firm, return volatility, winner stock, and negatively related to stock price level, earnings surprise, debt ratio and loser stock. The results are generally consistent in all five countries except for firm size, stock price level, and the number of analysts following. The findings suggest that stock liquidity is affected by common factors across the markets and also depends on social practices and institutions.

Chapter 3 entitled "Normal Volume and Abnormal volume" studies the normal and abnormal components in trading volume. As price only reflects changes in the expectation as a whole, while trading volume can reveal changes in expectations of individual investors. Volume tests have growing importance in academic researches. There is an urging need to decompose the normal and abnormal components from the total trading volume. Chapter 3 suggests a new way to measure the normal trading volume. By controlling the divergence of investors' belief, the economic information, the information environment, I find that normal volume is a function of firm size, leverage ratio, liquidity ratio, return on asset, and cash flow. The behavior of the abnormal volume is also investigated in the chapter.Lastly, I conclude the thesis in Chapter 4.