|標題:||Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market|
Wang, George H. K.
Department of Information Management and Finance
|關鍵字:||Funding liquidity;Equity liquidity;Collateral market;Interbank market;Subprime crisis|
|摘要:||"Using index and financial exchange-traded funds (ETFs), this study explores the relation between funding liquidity and equity liquidity during the subprime crisis period. Our empirical results show that a higher degree of funding illiquidity leads to an increase in bid-ask spread and a reduction in both market depth and net buying imbalance. Such findings indicate that an increase in funding liquidity can improve equity liquidity, with a stronger effect for the financial ETFs than for the index ETFs. Our study provides a better overall understanding of the effect of the liquidity-supplier funding constraint during the subprime crisis period. (C) 2012 Elsevier B.V. All rights reserved."|
|期刊:||JOURNAL OF BANKING & FINANCE|