Illiquidity Contagion and Liquidity Crashes

被引：103
|
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
收藏
页码：1615 / 1660
页数：46
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