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Emerging market liquidity and crises (Английский)

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.

Подробная Информация

  • Автор

    Schmukler,Sergio L., Van Horen,Neeltje, Levy-Yeyati,Eduardo

  • Дата подготовки документа

    2007/12/01

  • Тип документа

    Рабочий документ в рамках исследования вопросов политики

  • Номер отчета

    WPS4445

  • Том

    1

  • Total Volume(s)

    1

  • Страна

    Весь мир,

  • Регион

    Регионы мира,

  • Дата раскрытия информации

    2010/07/01

  • Disclosure Status

    Disclosed

  • Название документа

    Emerging market liquidity and crises

  • Ключевые слова

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