Market liquidity and institutional trading during the 2007-8 financial crisis

被引：14

作者：

Poon, Ser-Huang ^{[1
]}

Rockinger, Michael ^{[2
]}

Stathopoulos, Konstantinos ^{[1
]}

机构：

[1] Manchester Business Sch, Manchester M15 6PB, Lancs, England

[2] HEC Lausanne, Lausanne, Switzerland

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2013年 / 30卷

关键词：

Institutional herding; Institutional count; Institutional holdings; Market liquidity; Financial crises; CORPORATE GOVERNANCE; DEALER SERVICES; CROSS-SECTION; RISK; COMMONALITY; IMPACT; OWNERSHIP; INVESTORS; PRICES; COST;

D O I：

10.1016/j.irfa.2013.06.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper shows that institutional sell-side herding increased bid-ask spreads and liquidity risk during the 2007-8 financial crisis. Such an impact on liquidity is most pronounced in firms with large numbers of institutions that sold the same stocks, that is, have correlated trades. For the same reason, we find institutional investors with a dedicated, buy-and-hold, investment style to be the least likely to herd; their trading activity did not affect stock market liquidity during the crisis. Our results are robust to alternative explanations, different test specifications and consistent with recent theories highlighting the negative impact of institutional trading activity on market liquidity during a crisis. (C) 2013 Elsevier Inc. All rights reserved.

引用

页码：86 / 97

页数：12

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