Is Liquidity Self‐Fulfilling?*
Is Liquidity Self‐Fulfilling?*
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流动性会自我实现吗？*
DOI：
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发表时间：
2004
期刊：
影响因子：
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通讯作者：
James Dow
中科院分区：
文献类型：
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作者：
James Dow
知情交易和不知情交易的相对发生率决定了流动性可能存在不止一个均衡。具有高流动性的均衡具有低的买卖价差。这增加了希望对冲风险敞口的交易员的参与度，而不是利用私人信息进行交易，并证明了交易对价格影响较小的合理性。流动性较低的均衡市场具有较高的买卖价差。这让一些套期保值者望而却步，增加了知情交易的相对发生率，这为更大的利差提供了理由。这一分析对现有文献中依赖于外生流动性交易者的比较静力学结果的相关性提出了质疑。
A security market where the relative incidence of informed and uninformed trading determines liquidity may have more than one equilibrium. Equilibrium with high liquidity has a low bid-ask spread. This increases participation by traders who want to hedge risk exposure, as opposed to trading on private information, and justifies the small price impact of trades. Equilibrium with low liquidity has a high bid-ask spread. This deters some hedgers, increasing the relative incidence of informed trading, which justifies the larger spread. This analysis casts doubt on the relevance of comparative statics results in the existing literature relying on exogenous liquidity traders.