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.

引用

下载

页码：4568 / 4601

页数：35

共 50 条

[31] Does the Euro affect the dynamic relation between stock market liquidity and the business cycle?
Smimou, K.
Khallouli, W.
EMERGING MARKETS REVIEW, 2015, 25 : 125 - 153
[32] Does the Stock Market Affect the Real Economy? An Empirical Analysis Based on China's Stock Market Liquidity
Wang, Chao
Hao, Jia
DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2022, 2022
[33] Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market
Chiu, Junmao
Chung, Huimin
Ho, Keng-Yu
Wang, George H. K.
JOURNAL OF BANKING & FINANCE, 2012, 36 (09) : 2660 - 2671
[34] An Empirical Investigation on Funding Liquidity and Market Liquidity (vol 22, pg 1213, 2018)
Chung, Ji-Yeong
Ahn, Dong-Hyun
Baek, In-Seok
Kang, Kyu Ho
REVIEW OF FINANCE, 2018, 22 (03) : 1249 - 1249
[35] How does the cryptocurrency market affect the stock market performance in the MENA region?
Sami, Mina
Abdallah, Wael
JOURNAL OF ECONOMIC AND ADMINISTRATIVE SCIENCES, 2021, 37 (04) : 741 - 753
[36] How Does Split Announcement Affect Stock Liquidity? Evidence from Bursa Malaysia
Tabibian, S. Amir
Zhang, Zhaoyong
Jafarian, Mohsen
RISKS, 2020, 8 (03) : 1 - 14
[37] How does corporate ESG performance affect stock liquidity? Evidence from China
Wang, Kai
Li, Tingting
San, Ziyao
Gao, Hao
PACIFIC-BASIN FINANCE JOURNAL, 2023, 80
[38] How does stock liquidity affect corporate tax noncompliance? Evidence from China
Kim, E. Han
Lu, Yao
Shi, Xinzheng
Zheng, Dengjin
JOURNAL OF COMPARATIVE ECONOMICS, 2022, 50 (03) : 688 - 712
[39] How does economic policy uncertainty affect the bitcoin market?
Wang, Pengfei
Li, Xiao
Shen, Dehua
Zhang, Wei
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2020, 53
[40] How Does Access to the Unsecured Debt Market Affect Investment?
Biguri, Kizkitza
JOURNAL OF BANKING & FINANCE, 2023, 152

← 1 2 3 4 5 →