دانلود رایگان مقاله انگلیسی تاثیر نقدینگی مالی بر کیفیت بازار - الزویر 2018

ABSTRACT

This study analyzes market quality during the 2007–2008 credit crunch, by examining the impact of funding liquidity on market liquidity and price discovery of S&P 500 exchange-traded funds (i.e., S&P 500 depositary receipts [SPYs]) and index futures (E-minis). The empirical results show that funding liquidity affects market liquidity, and that the impact of illiquidity contagion between SPYs and E-minis was significant during the subprime mortgage crisis. In particular, the contagion effects between the two markets mediate the impact of funding illiquidity on market liquidity during the credit crunch. Considering the influences of other market factors on price discovery, we suggest that E-mini index futures made less contributions to price discovery during the credit crunch compared to normal periods. The empirical finding emphasizes the importance of the contagion effect between ETF and E-mini futures markets, when they suffer from external shocks.

4. Conclusion

This study analyzes changes in market quality before and after the 2007 credit crunch by examining the impact of funding liquidity on market liquidity and the price discovery of S&P 500 ETFs and E-mini index futures. The dynamics of market liquidity and price discovery between the S&P 500 index, ETFs, and E-mini index futures are examined. The empirical results show that funding illiquidity affects the market liquidity of SPYs and E-minis. With an increase in funding illiquidity during the subprime mortgage crisis, a significant illiquidity contagion occurs between SPYs and E-minis. This result is consistent with the argument presented by Cespa and Foucault (2014), who suggest liquidity providers in one asset class often learn information from other asset price In addition, we find that funding illiquidity has a greater influence on the contribution of E-mini index futures to price discovery compared with SPYs. Considering the effects of other market factors on the contribution to price discovery, we suggest that E-mini index futures made less contributions to price discovery during the credit crunch compared to normal periods The contagion effects between the two markets mediated the impact of funding illiquidity on market liquidity during the credit crunch, showing the important influence of spillovers on market liquidity and price discovery for SPYs and E-mini index futures. Overall, the empirical finding emphasizes that the liquidity spillover mediate the importance of funding illiquidity in affecting market liquidity, implying that the influence of contagion effect between ETF and E-mini index futures markets is higher than external shocks.