مقاله انگلیسی رایگان در مورد تاثیر نقدینگی مالی بر کیفیت بازار – الزویر 2018

The financial crisis that resulted from the subprime mortgage crisis of 2007 was associated with several shocks that underscored the importance of funding liquidity for market quality. During the financial crisis, especially with specific bankruptcy events, the liquidating and hedging needs of short positions emerged because of concerns relating to unscheduled trading halts and uncertainties with clearinghouse integrity. Market professionals recognize their short strategies for reducing equity exposure, thereby exacerbating market fluctuations. The amplification of volatility therefore results in incomplete protection to meet the considerable needs of insurance and liquidation spirals, and this leads to increased capital and margin requirements of investors. As mentioned in Brunnermeier and Pedersen (2009), market liquidity and funding liquidity are mutually reinforcing, and further leading to liquidity spirals. This study analyzes changes in market quality during the 2007–2008 credit crunch by examining the impact of funding illiquidity on market liquidity and the price discovery of S&P 500 exchange-traded funds ([ETFs]; i.e., S&P 500 depositary receipts [SPYs]) and E-mini index futures (E-minis). As noted in O’Hara (2003), two of the most important functions of the financial markets are price discovery and liquidity. Much of the available empirical literature has examined funding liquidity during the 2008 financial crisis by focusing on equity liquidity, volatility, and resiliency. However, to date no relevant study has considered the impact of funding liquidity on price discovery and the influence of spillovers on market liquidity. To fill this gap, we examine the impact of funding liquidity on changes in market quality in the SPY and E-minis markets that have the characteristics of high liquidity, and discuss the liquidity linkage and illiquidity contagion between the two markets.