Electronic Theses and Dissertations


Lewen Guo



Document Type


Degree Name

Doctor of Philosophy


Business Administration

Committee Chair

Pankaj K. Jain

Committee Member

Velma Zahirovic-Herbert

Committee Member

Shawn McFarland

Committee Member

Steve Lin


This dissertation comprises three essays in the field of empirical market microstructure. Chapter 1 consists of Essay 1 which investigates the effects of market fragmentation on price impact. Using a newly launched exchange as a quasi-natural experiment, we find an increase in market fragmentation leads to a higher price impact of trading in U.S. equity exchanges. Our IV estimates suggest a 1.6% increase in market fragmentation level induces approximately 4.4 bps to 20.8 bps increases in exchange-based price impact. These effects are more pronounced for small stocks than large stocks. Our results suggest the introduction of a lit exchange changes the order book status in a multi-market setting, thereby leading to an increase in the price impact of trading. Chapter 2 consists of Essay 2 which tests the invariance-of-bet hypothesis from Kyle & Obizhaeva (2016) for the Tokyo Stock Exchange (TSE). The pooled regression coefficients of the logarithm of the number of trades on the logarithm of trading activities range from 0.665 to 0.669, close to the theoretical value of two-thirds predicted by the invariance-of-bet hypothesis. European markets data also confirms the two-thirds relations implied by market invariance. Our results suggest using alternative transaction data reduces the measurement errors in variables such as the number of trades and the trade sizes, explaining why the two-thirds relations might not hold using more recent U.S. data. Chapter 3 consists of Essay 3 which examines the impact of ordered position on stock liquidity, focusing on the Japanese language’s unique structure, which does not have a strict ordering system. The study documents a non-linear, two-dimensional ordered position effects of Japanese real estate investment trusts (J-REITs) names on stock liquidity. We also find weak evidence that the length of company names matters to stock liquidity but is of secondary importance and works only through the ordered position effect. Our results cannot be fully explained by the traditional factors of stock liquidity, such as firm size, age, leverage, and volatility. Nor can they be fully explained by the differences in ownership structure or the main bank (or Keiretsu) effect. Given the relative homogeneity of investment and regulatory constraints, our results are unlikely to be driven by cross-sectional heterogeneity of investment styles or payout policy. Our findings are consistent with the notion that investors are subject to cognitive biases.


Data is provided by the student.”

Library Comment

Dissertation or thesis originally submitted to ProQuest.


Embargoed unitl 3/22/2026

Available for download on Sunday, March 22, 2026