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Graduate Theses & Dissertations

: Capital Ratios and Liquidity Creation; Using quarterly data from the six largest Canadian banks, we investigate the relationship between regulatory capital ratio and on-balance sheet liquidity created in the Canadian economy by “Big Six”. We find a significant positive relationship between Tier 1 capital ratio and on-balance sheet liquidity creation for Canadian big six banks, implying that large banks in Canada favor risks and rely on capital to fund illiquid assets. In contrast, for smaller banks, the relationship is significantly negative. Our results are robust to dynamic panel regression using 2-Step GMM, two exogenous shocks - COVID-19 crisis and the Global Financial Crisis (2007-2009), mergers & acquisitions activities in the banking industry, and core deposits financing. The COVID-19 pandemic and core deposits adversely impact the Tier 1 capital ratio’s relationship with on-balance-sheet liquidity creation, while the global financial crisis (2007-2009) effect on the association is insignificant. Author Keywords: Big Six, COVID -19, Deposits, Liquidity Creation, Tier 1 Capital Ratio,

: Effect of Listing a Stock on the S&P 500 Index on the Stock’s Volatility; This paper investigates the effect of listing a stock on the S&P 500 Index on the stock’s volatility, using various econometrics models: GARCH and EGARCH. The study mainly addresses three issues; firstly, it analyzes stock volatility in two sub-periods, secondly, it determines whether the announcement can account for the fluctuations in the price of the stock, and finally, it investigates the change in the stock’s variance. After isolating the effects of external and industry shock by using the returns on the S&P 500 Index as a proxy, the author finds evidence of structural change in the volatility of stocks after that stock is added to the index. Additionally, the existence of a dominant symmetric effect, which captures the response of volatility to news, indicate that following the onset of including the stock on the index, information flowing into the market increased. However, the rate at which old news is captured in price falls. The empirical evidence also suggests that on average a stocks variance falls and that the announcement to list a stock on the index has little effect on the stock’s price. Author Keywords: EGARCH, GARCH, S&P 500 Index, Symmetric Effect, Volatility

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