標題: | Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market |
作者: | 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 Department of Information Management and Finance |
關鍵字: | Funding liquidity;Equity liquidity;Collateral market;Interbank market;Subprime crisis |
公開日期: | 1-九月-2012 |
摘要: | "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." |
URI: | http://hdl.handle.net/11536/16777 |
ISSN: | 0378-4266 |
期刊: | JOURNAL OF BANKING & FINANCE |
Volume: | 36 |
Issue: | 9 |
結束頁: | 2660 |
顯示於類別: | 期刊論文 |