Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality
Market Liquidity in the Financial Crisis: The Role of Liquidity Commonality and Flight-to-Quality
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DOI：
10.2139/ssrn.1978801
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发表时间：
2012-01
期刊：
影响因子：
--
通讯作者：
C. Rösch;C. Kaserer
中科院分区：
文献类型：
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作者：
C. Rösch;C. Kaserer
我们研究动态和驱动因素的市场流动性在金融危机期间，使用独特的量加权价差措施。根据文献，我们发现当股市下跌时，市场流动性受损，这意味着市场与流动性风险呈正相关。而且，在订单簿中挖掘得越深，这种关系就越强。更有趣的是，本文进一步阐明了迄今为止令人困惑的市场流动性特征：流动性共性和向优质资产外逃。我们发现流动性共性随着时间的推移而变化，在市场低迷时增加，在重大危机事件时达到峰值，并且随着我们对限价订单的深入研究而变得更弱。与最近的理论模型一致，认为金融部门的资金流动性和资产的市场流动性之间存在螺旋效应，我们发现资金流动性紧缩会导致流动性共性的增加，从而导致市场范围内的流动性枯竭。因此，我们的研究结果证实了市场流动性可以成为金融传染的驱动力的观点。最后，我们证明了信用风险与流动性风险之间存在正相关关系，即高信用质量股票和低信用质量股票的流动性成本之间存在价差，并且在市场不确定性增加时，信用风险对流动性风险的影响会加剧。这证实了股票市场上也存在逃向优质资产或逃向流动性资产的现象。
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.