Illiquidity Contagion and Liquidity Crashes

被引：110

作者：

Cespa, Giovanni ^{[1
]}

Foucault, Thierry ^{[2
]}

机构：

[1] City Univ London, Cass Business Sch, CSEF, London, England

[2] HEC, Paris, France

来源：

REVIEW OF FINANCIAL STUDIES | 2014年 / 27卷 / 06期

关键词：

BOND MARKET LIQUIDITY; FINANCIAL CONTAGION; EMPIRICAL-ANALYSIS; STOCK MARKETS; COMMONALITY; INFORMATION; ARBITRAGE; MICROSTRUCTURE; EQUILIBRIUM; RETURNS;

D O I：

10.1093/rfs/hhu016

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Liquidity providers often learn information about an asset from prices of other assets. We show that this generates a self-reinforcing positive relationship between price informativeness and liquidity. This relationship causes liquidity spillovers and is a source of fragility: a small drop in the liquidity of one asset can, through a feedback loop, result in a very large drop in market liquidity and price informativeness (a liquidity crash). This feedback loop provides a new explanation for comovements in liquidity and liquidity dry-ups. It also generates multiple equilibria.

引用

页码：1615 / 1660

页数：46

共 52 条

[1] Asset pricing with liquidity risk [J].

Acharya, VV ;

Pedersen, LH .

JOURNAL OF FINANCIAL ECONOMICS, 2005, 77 (02) :375-410

[2] HIGH FREQUENCY MARKET MICROSTRUCTURE NOISE ESTIMATES AND LIQUIDITY MEASURES [J].

Ait-Sahalia, Yacine ;

Yu, Jialin .

ANNALS OF APPLIED STATISTICS, 2009, 3 (01) :422-457

[3] FINANCIAL FRAGILITY, LIQUIDITY, AND ASSET PRICES [J].

Allen, Franklin ;

Gale, Douglas .

JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION, 2004, 2 (06) :1015-1048

[4] Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange [J].

Amihud, Y ;

Mendelson, H ;

Lauterbach, B .

JOURNAL OF FINANCIAL ECONOMICS, 1997, 45 (03) :365-390

[5]

Amihud Y., 2006, FOUND TRENDS FINAN, V1, P269, DOI [DOI 10.1561/0500000003, 10.1561/0500000003]

[6] Trading imbalances, predictable reversals, and cross-stock price pressure [J].

Andrade, Sandro C. ;

Chang, Charles ;

Seasholes, Mark S. .

JOURNAL OF FINANCIAL ECONOMICS, 2008, 88 (02) :406-423

[7] Rational panics and stock market crashes [J].

Barlevy, G ;

Veronesi, P .

JOURNAL OF ECONOMIC THEORY, 2003, 110 (02) :234-263

[8] Cross-asset speculation in stock markets [J].

Bernhardt, Dan ;

Taub, Bart .

JOURNAL OF FINANCE, 2008, 63 (05) :2385-2427

[9] Market transparency, liquidity externalities, and institutional trading costs in corporate bonds [J].

Bessembinder, Hendrik ;

Maxwell, William ;

Venkataraman, Kumar .

JOURNAL OF FINANCIAL ECONOMICS, 2006, 82 (02) :251-288

[10] Informed Trading and Portfolio Returns [J].

Boulatov, Alex ;

Hendershott, Terrence ;

Livdan, Dmitry .

REVIEW OF ECONOMIC STUDIES, 2013, 80 (01) :35-72

← 1 2 3 4 5 6 →