Article ID Journal Published Year Pages File Type
5089764 Journal of Banking & Finance 2012 12 Pages PDF
Abstract
► We study how funding liquidity affects equity liquidity in subprime crisis period. ► A higher degree of funding illiquidity leads to an increase in bid-ask spread. ► An increase in funding illiquidity reduces market depth and net buying imbalance.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market
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