Volume, liquidity, and liquidity risk

• 成果类型: Article
• 署名作者: Johnson, Timothy C.
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.03.006
• 发表日期: 2008
• 页码: 388-417
• 关键词: liquidity dynamics; Transaction volume

摘要

Many classes of microstructure models, as well as intuition, suggest that it should be easier to trade when markets are more active. In the data, however, volume and liquidity seem unrelated over time. This paper offers an explanation for this fact based on a simple frictionless model in which liquidity reflects the average risk-bearing capacity of the economy and volume reflects the changing contribution of individuals to that average. Volume and liquidity are unrelated in the model, but volume is positively related to the variance of liquidity, or liquidity risk. Empirical evidence from the U.S. government bond and stock markets supports this new prediction. (c) 2007 Elsevier B.V. All rights reserved.