Liquidity and market crashes:
"In this paper, we develop an equilibrium model for stock market liquidity and its impact on asset prices when constant market presence is costly. We show that even when agents' trading needs are perfectly matched, costly market presence prevents them from synchronizing their trades and he...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2008
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
14013 |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "In this paper, we develop an equilibrium model for stock market liquidity and its impact on asset prices when constant market presence is costly. We show that even when agents' trading needs are perfectly matched, costly market presence prevents them from synchronizing their trades and hence gives rise to endogenous order imbalances and the need for liquidity. Moreover, the endogenous liquidity need, when it occurs, is characterized by excessive selling of significant magnitudes. Such liquidity-driven selling leads to market crashes in the absence of any aggregate shocks. Finally, we show that illiquidity in the market leads to high expected returns, negative and asymmetric return serial correlation, and a positive relation between trading volume and future returns. We also propose new measures of liquidity based on its asymmetric impact on prices and demonstrate a negative relation between these measures and expected stock returns"--National Bureau of Economic Research web site |
| Beschreibung: | 42 S. graph. Darst. 22 cm |
Internformat
MARC
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| 245 | 1 | 0 | |a Liquidity and market crashes |c Jennifer Huang ; Jiang Wang |
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 14013 | |
| 520 | 8 | |a "In this paper, we develop an equilibrium model for stock market liquidity and its impact on asset prices when constant market presence is costly. We show that even when agents' trading needs are perfectly matched, costly market presence prevents them from synchronizing their trades and hence gives rise to endogenous order imbalances and the need for liquidity. Moreover, the endogenous liquidity need, when it occurs, is characterized by excessive selling of significant magnitudes. Such liquidity-driven selling leads to market crashes in the absence of any aggregate shocks. Finally, we show that illiquidity in the market leads to high expected returns, negative and asymmetric return serial correlation, and a positive relation between trading volume and future returns. We also propose new measures of liquidity based on its asymmetric impact on prices and demonstrate a negative relation between these measures and expected stock returns"--National Bureau of Economic Research web site | |
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Datensatz im Suchindex
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| author | Huang, Jennifer 1973- Wang, Jiang 1959- |
| author_GND | (DE-588)132419009 (DE-588)128650338 |
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| id | DE-604.BV023593898 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:32Z |
| indexdate | 2024-07-09T21:25:15Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016909228 |
| oclc_num | 254550289 |
| open_access_boolean | 1 |
| owner | DE-521 |
| owner_facet | DE-521 |
| physical | 42 S. graph. Darst. 22 cm |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Huang, Jennifer 1973- Verfasser (DE-588)132419009 aut Liquidity and market crashes Jennifer Huang ; Jiang Wang Cambridge, Mass. National Bureau of Economic Research 2008 42 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 14013 "In this paper, we develop an equilibrium model for stock market liquidity and its impact on asset prices when constant market presence is costly. We show that even when agents' trading needs are perfectly matched, costly market presence prevents them from synchronizing their trades and hence gives rise to endogenous order imbalances and the need for liquidity. Moreover, the endogenous liquidity need, when it occurs, is characterized by excessive selling of significant magnitudes. Such liquidity-driven selling leads to market crashes in the absence of any aggregate shocks. Finally, we show that illiquidity in the market leads to high expected returns, negative and asymmetric return serial correlation, and a positive relation between trading volume and future returns. We also propose new measures of liquidity based on its asymmetric impact on prices and demonstrate a negative relation between these measures and expected stock returns"--National Bureau of Economic Research web site Wang, Jiang 1959- Verfasser (DE-588)128650338 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 14013 (DE-604)BV002801238 14013 http://papers.nber.org/papers/w14013.pdf kostenfrei Volltext |
| spellingShingle | Huang, Jennifer 1973- Wang, Jiang 1959- Liquidity and market crashes |
| title | Liquidity and market crashes |
| title_auth | Liquidity and market crashes |
| title_exact_search | Liquidity and market crashes |
| title_exact_search_txtP | Liquidity and market crashes |
| title_full | Liquidity and market crashes Jennifer Huang ; Jiang Wang |
| title_fullStr | Liquidity and market crashes Jennifer Huang ; Jiang Wang |
| title_full_unstemmed | Liquidity and market crashes Jennifer Huang ; Jiang Wang |
| title_short | Liquidity and market crashes |
| title_sort | liquidity and market crashes |
| url | http://papers.nber.org/papers/w14013.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT huangjennifer liquidityandmarketcrashes AT wangjiang liquidityandmarketcrashes |