Emerging Market Liquidity and Crises

Levy Yeyati, Eduardo ; Schmukler, Sergio L. ; Van Horen, Neeltje

World Bank, Washington, DC

关键词: ASSET MARKETS;    ASSET PRICES;    ASYMMETRIC INFORMATION;    AVERAGE PRICE;    BID;   

DOI  :  10.1596/1813-9450-4445
RP-ID  :  WPS4445

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

Whereas conventional wisdom argues thatmarkets shut down during crises, with sellers struggling tofind buyers, we find that markets continue to operate duringfinancial turmoil, even in narrow and volatile emergingeconomies. Simple event studies indicate that both tradingvolume and trading costs increase in crisis times. Priceschange more with each dollar transacted (pushing the Amihudilliquidity measure up) and bid-ask spreads widen. Moregenerally, econometric estimates show that large pricedownturns, typical of crises, are associated with highertrading activity and increased trading costs, with tradingactivity declining only later as crises progress. Thus,while trading activity tends to be negatively related totrading costs during tranquil times (and across securities),this relation appears to break down during crises. Theseresults are consistent with the analytical literature onportfolio rebalancing by heterogeneous agents in times of crises.