Money and liquidity in financial markets

• 成果类型: Article
• 署名作者: Nyborg, Kjell G.; Oestberg, Per
• 署名单位: University of Zurich; University of Geneva; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.12.003
• 发表日期: 2014
• 页码: 30-52
• 关键词: money; Liquidity pull-back; stock returns; volume; Order imbalance

摘要

We argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the market for liquidity leads banks to engage in what we term liquidity pull-back, which involves selling financial assets either by banks directly or by levered investors. Empirical tests on the stock market are supportive. Tighter interbank markets are associated with relatively more volume in more liquid stocks; selling pressure, especially in more liquid stocks; and transitory negative returns. We control for market-wide uncertainty and in the process also contribute to the literature on portfolio rebalancing. Our general point is that money matters in financial markets. (C) 2013 Elsevier B.V. All rights reserved.