دانلود مقاله ISI انگلیسی شماره 97418
ترجمه فارسی عنوان مقاله

تأثیر نقدینگی مالی بر کیفیت بازار

عنوان انگلیسی
The impact of funding liquidity on market quality
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
97418 2018 14 صفحه PDF
منبع

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

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

پیش نمایش مقاله
پیش نمایش مقاله  تأثیر نقدینگی مالی بر کیفیت بازار

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.