The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy

• 成果类型: Article
• 署名作者: Rehse, Dominik; Riordan, Ryan; Rottke, Nico; Zietz, Joachim
• 署名单位: Leibniz Association; Zentrum fur Europaische Wirtschaftsforschung (ZEW); Queens University - Canada; European Business School (EBS) University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.04.006
• 发表日期: 2019
• 页码: 318-332
• 关键词: uncertainty; liquidity; Financial crisis; natural experiment

摘要

We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the unprecedented strength, scale, and nature of the storm, the potential damages of a landfall near the Greater New York area were unpredictable and therefore uncertain. Using a difference-in-differences setting, we compare the market reactions of Real Estate Investment Trusts (REITs) with and without properties in the widely published evacuation zone of New York City prior to landfall. We find relatively less trading and wider bid-ask spreads in affected REITs. The results confirm theory on the detrimental effects of uncertainty on market functioning. (C) 2019 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license. (http://creativecommons.orgilicenses/by/4.0/)