Uncertainty, market structure, and liquidity

• 成果类型: Article
• 署名作者: Chung, Kee H.; Chuwonganant, Chairat
• 署名单位: State University of New York (SUNY) System; University at Buffalo, SUNY; Chung Ang University; Kansas State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.05.008
• 发表日期: 2014
• 页码: 476-499
• 关键词: Liquidity commonality; VIX; volatility; Market makers; uncertainty; Bid-ask spread; market structure

摘要

In this study we show that market uncertainty [measured by the Chicago Board Options Exchange Market Volatility Index (VIX)] exerts a large market-wide impact on liquidity, which gives rise to co-movements in individual asset liquidity. The effect of VIX on stock liquidity is greater than the combined effects of all other common determinants of stock liquidity. We show that the uncertainty elasticity of liquidity (UEL: percent change in liquidity given a 1% change in VIX) has increased around regulatory changes in the US markets that increased the role of public traders in liquidity provision, reduced the minimum allowable price variation, weakened the affirmative obligation of NASDAQ dealers, and abolished the specialist system on the NYSE. (C) 2014 Elsevier B.V. All rights reserved.