Market liquidity and institutional trading during the 2007 - 8 financial crisis

Arbeitspapier

During the financial crisis in 2007-8, the quoted spread for the average S&P 1500 firm increased by 50%, while the systematic liquidity risk increased by 34%. We find that the trading of a firm's equity by institutional investors increased the firms' quoted spreads, and led to a higher liquidity commonality during the crisis. Institutional sell-side herding contributed strongly to both effects. Our results are robust to different specifications and consistent with theoretical and anecdotal evidence regarding the role of herding during a crisis.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Manchester Business School Working Paper ; No. 623

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Crises ; Information and Market Efficiency; Event Studies; Insider Trading ; Financial Institutions and Services: General
• Thema: Institutional Herding ; Institutional Count ; Institutional Holdings ; Market Liquidity ; Financial Crises ; Betriebliche Liquidität ; Marktliquidität ; Institutioneller Investor ; Herdenverhalten

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Poon, Ser-Huang ; Rockinger, Michael ; Stathopoulos, Konstantinos
• Ereignis: Veröffentlichung
• (wer): The University of Manchester, Manchester Business School
• (wo): Manchester
• (wann): 2011

Weitere Informationen

• Handle: http://hdl.handle.net/10419/102380
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ