Emerging market liquidity and crises

• 成果类型: Article; Proceedings Paper
• 署名作者: Yeyati, Eduardo Levy; Schmukler, Sergio L.; Van Horen, Neeltje
• 署名单位: The World Bank; University of Amsterdam
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1162/JEEA.2008.6.2-3.668
• 发表日期: 2008
• 页码: 668-682
• 关键词: stock trading volume; panel-data models; cross-section; time-series; estimators; returns; price

摘要

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, although 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.