Title: Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market
Authors: Chiu, Junmao
Chung, Huimin
Ho, Keng-Yu
Wang, George H. K.
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
Keywords: Funding liquidity;Equity liquidity;Collateral market;Interbank market;Subprime crisis
Issue Date: 1-Sep-2012
Abstract: "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."
URI: http://hdl.handle.net/11536/16777
ISSN: 0378-4266
Volume: 36
Issue: 9
End Page: 2660
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