Browsing by Author "Ho, Keng-Yu"

Now showing 1 - 2 of 2

Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market
(2012-09-01)
Chiu, Junmao
;
Chung, Huimin
;
Ho, Keng-Yu
;
Wang, George H. K.
;
資訊管理與財務金融系註：原資管所+財金所
"Using index and financial exchange-traded funds (ETFs), this study explores the relation between funding liquidity and equity liquidity during the subprime crisis period. Our empirical results show that a higher degree of funding illiquidity leads to an increase in bid-ask spread and a reduction in both market depth and net buying imbalance. Such findings indicate that an increase in funding liquidity can improve equity liquidity, with a stronger effect for the financial ETFs than for the index ETFs. Our study provides a better overall understanding of the effect of the liquidity-supplier funding constraint during the subprime crisis period. (C) 2012 Elsevier B.V. All rights reserved."
Investor sentiment and evaporating liquidity during the financial crisis
(2018-05-01)
Chiu, Junmao
;
Chung, Huimin
;
Ho, Keng-Yu
;
Wu, Chih-Chiang
;
資訊管理與財務金融系註：原資管所+財金所
This study examines how investor sentiment affected equity liquidity and trading behavior during the financial crisis of 2007-2008. Using intraday data on equity index and financial ETFs, we show significant asymmetric response to investor sentiment on quoted spread, market depth, asymmetric depth, and net buying pressure. We also document that funding constraints can further increase the asymmetric impact of investor sentiment on liquidity and trading behavior. Our results can be explained by the psychological bias of negativity and help investors and risk management practitioners comprehensively understand why and how the evaporation of liquidity accelerates during the financial crisis.