دانلود مقاله ISI انگلیسی شماره 43336
عنوان فارسی مقاله

چاپ تازه: نقدینگی بازار در بحران مالی: نقش مشترک نقدینگی و پرواز به کیفیت

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
43336 2014 19 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality ☆
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Banking & Finance, Volume 45, August 2014, Pages 152–170

کلمات کلیدی
بحران مالی - هزینه های نقدینگی - نقدینگی مشترک - نقدینگی بازار - پرواز به نقدینگی - پرواز به کیفیت - اندازه گیری نقدینگی
پیش نمایش مقاله
پیش نمایش مقاله چاپ تازه: نقدینگی بازار در بحران مالی: نقش مشترک نقدینگی و پرواز به کیفیت

چکیده انگلیسی

We examine the dynamics and the drivers of market liquidity during the financial crisis, using a unique volume-weighted spread measure. According to the literature we find that market liquidity is impaired when stock markets decline, implying a positive relation between market and liquidity risk. Moreover, this relationship is the stronger the deeper one digs into the order book. Even more interestingly, this paper sheds further light on so far puzzling features of market liquidity: liquidity commonality and flight-to-quality. We show that liquidity commonality varies over time, increases during market downturns, peaks at major crisis events and becomes weaker the deeper we look into the limit order book. Consistent with recent theoretical models that argue for a spiral effect between the financial sector’s funding liquidity and an asset’s market liquidity, we find that funding liquidity tightness induces an increase in liquidity commonality which then leads to market-wide liquidity dry-ups. Therefore our findings corroborate the view that market liquidity can be a driving force for financial contagion. Finally, we show that there is a positive relationship between credit risk and liquidity risk, i.e., there is a spread between liquidity costs of high and low credit quality stocks, and that in times of increased market uncertainty the impact of credit risk on liquidity risk intensifies. This corroborates the existence of a flight-to-quality or flight-to-liquidity phenomenon also on the stock markets.

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