How Does Deleveraging Affect Funding Market Liquidity?

被引：1
|
作者：
Qiu, Buhui [1 ]
Tian, Gary Gang [2 ]
Zang, Haijian [3 ]
机构：
[1] Univ Sydney, Business Sch, Discipline Finance, Sydney, NSW 2006, Australia
[2] Macquarie Univ, Macquarie Business Sch, Dept Appl Finance, Sydney, NSW 2109, Australia
[3] Guangxi Univ, Sch Business, Dept Finance & Insurance, Nanning 530004, Guangxi, Peoples R China
来源：
MANAGEMENT SCIENCE | 2022年 / 68卷 / 06期
基金：
中国国家自然科学基金;
关键词：
deleveraging; funding market liquidity; funding liquidity crisis; STOCK LIQUIDITY; PERFORMANCE; LEVERAGE;
D O I：
10.1287/mnsc.2021.4070
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
How does deleveraging affect the market liquidity of high-embedded-leverage securities issued by financial institutions and the funding constraints of these institutions? We use the forced deleveraging of structured mutual funds during the 2015 Chinese stock market crash to study the effects of deleveraging. Our regression-discontinuity analysis shows that deleveraging significantly reduces the market liquidity of the deleveraging funds' equity units. Moreover, our difference-in-differences analysis shows that deleveraging results in large decreases in subsequent fund flows, stock and cash holdings, and performance, with the impact channeled through the deterioration of the market liquidity of the fund's equity units.
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页码：4568 / 4601
页数：35
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