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

[41] How does generic drug policy affect market prices?
Bird, Eleanor
GABI JOURNAL-GENERICS AND BIOSIMILARS INITIATIVE JOURNAL, 2018, 7 (03): : 136 - 136
[42] Market conditions and worker training: How does it affect and whom?
Majumdar, Sumon
LABOUR ECONOMICS, 2007, 14 (01) : 1 - 23
[43] How does the spirit of capitalism affect stock market prices?
Smith, WT
REVIEW OF FINANCIAL STUDIES, 2001, 14 (04): : 1215 - 1232
[44] How does climate policy uncertainty affect the carbon market?
Su, Chi Wei
Wei, Shenkai
Wang, Yan
Tao, Ran
TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE, 2024, 200
[45] How does research and development investment affect market value?
Lin, Ying-Li
Liang, Chiung-Ju
JOURNAL OF STATISTICS & MANAGEMENT SYSTEMS, 2010, 13 (06): : 1165 - 1185
[46] How does market power affect the resilience of food supply?
Merkle, Magnus
Moran, Dominic
Warren, Frances
Alexander, Peter
GLOBAL FOOD SECURITY-AGRICULTURE POLICY ECONOMICS AND ENVIRONMENT, 2021, 30
[47] How Does Market Network Structure Affect Participants' Benefits?
Li, Yongli
Wu, Chong
MATHEMATICAL PROBLEMS IN ENGINEERING, 2014, 2014
[48] Does religiosity affect liquidity in financial markets?
Blau, Benjamin M.
JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE, 2018, 19 : 72 - 83
[49] HOW MARKET CONCENTRATION AND LIQUIDITY AFFECT NON-PERFORMING LOANS: EVIDENCE FROM VIETNAM
Tran, O. K. T.
Nguyen, D., V
Duong, K. D.
POLISH JOURNAL OF MANAGEMENT STUDIES, 2022, 26 (01): : 325 - 337
[50] How Does Deleveraging Affect Outreach Productivity of Mfis in China? New Evidence from Dynamic Threshold Role of Green Finance
Li, Yue
Ashhari, Zariyawati Mohd
Ni Soh, Wei
Ab Razak, Nazrul Hisyam
CUADERNOS DE ECONOMIA, 2023, 46 (132):

← 1 2 3 4 5 →