Emerging Market Liquidity and Crises
Emerging Market Liquidity and Crises
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DOI：
10.2139/ssrn.1019028
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发表时间：
2007-09
期刊：
影响因子：
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通讯作者：
Eduardo Levy-Yeyati;S. Schmukler;Neeltje van Horen
中科院分区：
文献类型：
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作者：
Eduardo Levy-Yeyati;S. Schmukler;Neeltje van Horen
传统智慧认为，市场在危机期间关闭，卖家难以找到买家，而我们发现，市场在金融动荡期间继续运行，即使是在狭隘和动荡的新兴经济体。简单事件研究表明，在危机时期，交易量和交易成本都会增加。随着每一美元的交易，价格变化更大(推高了Amihud非流动性指标)，买卖价差扩大。更广泛地说，计量经济学估计表明，价格大幅下跌与交易活动增加和交易成本增加有关，这是危机的典型表现，交易活动只是在后来随着危机的进展而下降。因此，虽然交易活动往往在平静时期(以及跨证券)与交易成本负相关，但这种关系似乎在危机期间破裂。这些结果与关于在危机时期通过异质代理人进行投资组合再平衡的分析文献是一致的。
Whereas conventional wisdom argues that markets shut down during crises, with sellers struggling to find buyers, we find that markets continue to operate during financial turmoil, even in narrow and volatile emerging economies. Simple event studies indicate that both trading volume and trading costs increase in crisis times. Prices change more with each dollar transacted (pushing the Amihud illiquidity measure up) and bid-ask spreads widen. More generally, econometric estimates show that large price downturns, typical of crises, are associated with higher trading activity and increased trading costs, with trading activity declining only later as crises progress. Thus, while trading activity tends to be negatively related to trading costs during tranquil times (and across securities), this relation appears to break down during crises. These results are consistent with the analytical literature on portfolio rebalancing by heterogeneous agents in times of crises.