کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
959468 929283 2014 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Uncertainty, market structure, and liquidity
ترجمه فارسی عنوان
عدم قطعیت، ساختار بازار و نقدینگی
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 113, Issue 3, September 2014, Pages 476–499
نویسندگان
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