Electronic Theses and Dissertations Archive

Date

2026

Document Type

Dissertation

Degree Name

Doctor of Philosophy

Department

Business Administration

Committee Chair

Mark Sunderman

Committee Member

Albert Okunade

Committee Member

Mark Sunderman

Committee Member

Pankaj K Jain

Committee Member

Velma Zahirovic-Herbert

Abstract

This dissertation consists of three essays examining how liquidity and economic shocks shape price dynamics across housing and financial markets. The first essay studies whether the rapid rise in house prices during the COVID-19 period reflects speculative behavior or fundamental demand forces. Using local data on mortgage rates, inflation, unemployment, construction costs, and measures of speculation, the analysis identifies the main drivers of price changes. The results show that price growth was largely driven by fundamental demand factors, particularly low mortgage rates, increased household liquidity, and shifting housing preferences, while speculation played a limited role. Unlike more speculative markets, Shelby County’s price dynamics remained closely tied to local economic conditions. These findings highlight the importance of localized analysis in understanding housing price dynamics. The second essay examines how macro-financial conditions affect housing price adjustment through a measure of market tightness based on days on market (DOM). Using MLS data, the analysis shows that macroeconomic shocks first affect liquidity, which in turn predicts subsequent price growth. Tighter markets, reflected in shorter selling times, lead to faster price growth, and this relationship remains stable across the Great Recession and COVID-19 periods. The findings support a liquidity-first adjustment process and show that DOM-based tightness serves as an early indicator of near-term price changes. The third essay examines how trading-hour alignment between home and host markets affects the liquidity of cross-listed stocks in the United States. Using ADRs from Canada and Asia matched to comparable U.S. firms, the analysis compares liquidity under overlapping and non-overlapping trading environments. Overlapping markets are associated with lower realized spreads and greater depth, consistent with stronger competition among liquidity providers, while non-overlapping markets exhibit higher effective spreads and greater price impact, reflecting more information-intensive trading. These results show that trading-hour alignment shapes the composition of liquidity across markets.

Comments

Data is provided by the student.

Library Comment

Dissertation or thesis originally submitted to ProQuest/Clarivate.

Notes

Open Access

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