دانلود مقاله ISI انگلیسی شماره 97418
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
97418 2018 14 صفحه PDF سفارش دهید 10491 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
The impact of funding liquidity on market quality
منبع

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

Journal : The North American Journal of Economics and Finance, Volume 44, April 2018, Pages 153-166

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پیش نمایش مقاله

چکیده انگلیسی

This study analyzes market quality during the 2007–2008 credit crunch, by examining the impact of funding liquidity on market liquidity and price discovery of S&P 500 exchange-traded funds (i.e., S&P 500 depositary receipts [SPYs]) and index futures (E-minis). The empirical results show that funding liquidity affects market liquidity, and that the impact of illiquidity contagion between SPYs and E-minis was significant during the subprime mortgage crisis. In particular, the contagion effects between the two markets mediate the impact of funding illiquidity on market liquidity during the credit crunch. Considering the influences of other market factors on price discovery, we suggest that E-mini index futures made less contributions to price discovery during the credit crunch compared to normal periods. The empirical finding emphasizes the importance of the contagion effect between ETF and E-mini futures markets, when they suffer from external shocks.

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پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.