Emerging Market Liquidity And Crises:
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...
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| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
The World Bank
2008
|
| Schlagworte: | |
| Online-Zugang: | BSB01 EUV01 HTW01 FHI01 IOS01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 Online-Ressource (23 Seiten)) |
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| 520 | 3 | |a 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 | |
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| spelling | Yeyati, Eduardo Levy Verfasser aut Emerging Market Liquidity And Crises Yeyati, Eduardo Levy Washington, D.C The World Bank 2008 1 Online-Ressource (23 Seiten)) txt rdacontent c rdamedia cr rdacarrier 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 Online-Ausg Bid Debt Markets Emerging Economies Emerging Market Emerging Markets Finance and Financial Sector Development Illiquidity Levy Macroeconomics and Economic Growth Market Liquidity Markets and Market Access Mutual Funds Portfolio Private Sector Development Securities Trading Trading Costs Yeyati, Eduardo Levy Sonstige oth Van Horen, Neeltje Sonstige oth Schmukler, Sergio L. Sonstige oth Yeyati, Eduardo Levy Emerging Market Liquidity And Crises http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-4445 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Yeyati, Eduardo Levy Emerging Market Liquidity And Crises Bid Debt Markets Emerging Economies Emerging Market Emerging Markets Finance and Financial Sector Development Illiquidity Levy Macroeconomics and Economic Growth Market Liquidity Markets and Market Access Mutual Funds Portfolio Private Sector Development Securities Trading Trading Costs |
| title | Emerging Market Liquidity And Crises |
| title_auth | Emerging Market Liquidity And Crises |
| title_exact_search | Emerging Market Liquidity And Crises |
| title_exact_search_txtP | Emerging Market Liquidity And Crises |
| title_full | Emerging Market Liquidity And Crises Yeyati, Eduardo Levy |
| title_fullStr | Emerging Market Liquidity And Crises Yeyati, Eduardo Levy |
| title_full_unstemmed | Emerging Market Liquidity And Crises Yeyati, Eduardo Levy |
| title_short | Emerging Market Liquidity And Crises |
| title_sort | emerging market liquidity and crises |
| topic | Bid Debt Markets Emerging Economies Emerging Market Emerging Markets Finance and Financial Sector Development Illiquidity Levy Macroeconomics and Economic Growth Market Liquidity Markets and Market Access Mutual Funds Portfolio Private Sector Development Securities Trading Trading Costs |
| topic_facet | Bid Debt Markets Emerging Economies Emerging Market Emerging Markets Finance and Financial Sector Development Illiquidity Levy Macroeconomics and Economic Growth Market Liquidity Markets and Market Access Mutual Funds Portfolio Private Sector Development Securities Trading Trading Costs |
| url | http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-4445 |
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