The purposes of this research project are two-folds; to investigate effects of risk factors on asset prices, and to analyze relationship between liquidity and market microstructure. The research reports that liquidity squeeze and counterparty risk from financial guarantees had enormous impacts on asset prices during the global financial crisis. As for the second research purpose, it has been also found that return reversal are likely to be prominent for illiquid markets or markets in stagnated economic conditions. Furthermore it infers that the new quarterly disclosure reporting requirements helped reduce the degree of private information-based trades, leading to price stability.
