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The effects of uncertainty on market liquidity : evidence from hurricane Sandy
Rehse, Dominik; Riordan, Ryan; Rottke, Nico; Zietz, Joachim - 2018
We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the …
Persistent link: https://www.econbiz.de/10011844658
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Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
Beber, Alessandro; Pagano, Marco - 2010
liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …
Persistent link: https://www.econbiz.de/10010325910
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Flights to Safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...
Persistent link: https://www.econbiz.de/10011506750
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Flights to safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...
Persistent link: https://www.econbiz.de/10011590578
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Sovereign credit risk, liquidity, and ECB intervention : deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015 - First draft: September 2013, This draft: March 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …
Persistent link: https://www.econbiz.de/10010503289
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The sovereign debt crisis : rebalancing or freezes?
Östberg, Peter; Richter, Thomas - 2018
Using high-frequency data we document that episodes of market turmoil in the European sovereign bond market are on average associated with large decreases in trading volume. The response of trading volume to market stress is conditional on transaction costs. Low transaction cost turmoil episodes...
Persistent link: https://www.econbiz.de/10011865537
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Short-selling bans around the world : evidence from the 2007 - 09 crisis
Beber, Alessandro; Pagano, Marco - 2010
liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …
Persistent link: https://www.econbiz.de/10011382070
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ECB monetary operations and the interbank repo market
Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - 2013
We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...
Persistent link: https://www.econbiz.de/10010222894
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Liquidity Provision : Normal Times vs Crashes
Jagannathan, Ravi - 2019
We study the role of various trader types in providing liquidity in spot and futures markets based on data from the … overnight are the primary liquidity providers in both spot and futures markets. We have two crashes in our sample, both … in both markets. Market stability may require the presence of well-capitalized standby liquidity providers for recovery …
Persistent link: https://www.econbiz.de/10012860256
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Notes on Bonds : Illiquidity Feedback During the Financial Crisis
Musto, David K. - 2017
appeal to these investors. The effect of the widened liquidity gap on transactions costs is further amplified by a surge in … the price liquidity providers charge for access to their balance sheets in the crisis …
Persistent link: https://www.econbiz.de/10012971490