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Illiquidity Contagion and Liquidity Crashes
16 references·16 citing·37 second hopsampled
Illiquidity Contagion and Liquidity Crashes (2012)Illiquidity Contagion and Liquidity Crash…Understanding commonality in liquidity around the world (2011)Understanding commonality in …Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Liquidity and Asset Prices (2006)Liquidity and Asset PricesAsset pricing with liquidity risk (2005)Asset pricing with liquidity …An Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…A Rational Expectations Model of Financial Contagion (2002)A Rational Expectations Model…Contagion as a Wealth Effect (2001)Contagion as a Wealth EffectCommon factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Commonality in liquidity (2000)Commonality in liquidityTransmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Estimating the components of the bid/ask spread (1988)Estimating the components of …Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Rational and Self-Fulfilling Balance-of-Payments Crises (1984)Rational and Self-Fulfilling …On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…More Risk, More Information: How Passive Ownership Can Improve Informational Efficiency (2023)More Risk, More Information: …Liquidity risk and exchange-traded fund returns, variances, and tracking errors (2020)Liquidity risk and exchange-t…Measuring and Allocating Systemic Risk (2019)Measuring and Allocating Syst…High frequency trading and comovement in financial markets (2019)High frequency trading and co…Chasing Private Information (2019)Chasing Private InformationThe Flash Crash: A Cautionary Tale About Highly Fragmented Markets (2018)The Flash Crash: A Cautionary…Financial distress and competitors' investment (2018)Financial distress and compet…Exchange-Traded Funds (2017)Exchange-Traded FundsCan ETFs Increase Market Fragility? Effect of Information Linkages in ETF Markets (2017)Can ETFs Increase Market Frag…Liquidity, style investing and excess comovement of exchange-traded fund returns (2016)Liquidity, style investing an…Does High-Frequency Trading Increase Systemic Risk? (2016)Does High-Frequency Trading I…Understanding FX Liquidity (2015)Understanding FX LiquidityAlphanomics: The Informational Underpinnings of Market Efficiency (2015)Alphanomics: The Informationa…The Empirical Analysis of Liquidity (2014)The Empirical Analysis of Liq…Information Diversity and Complementarities in Trading and Information Acquisition (2014)Information Diversity and Com…Speculation and Hedging in Segmented Markets (2013)Speculation and Hedging in Se…Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)The Limits of Arbitrage (1995)Credit Cycles (1997)Deciphering the Liquidity and Credit Crunch 2007-08 (2008)A Macroprudential Approach to Financial Regulation (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)On the Impossibility of Informationally Efficient Markets (1980)The separation of ownership and control in East Asian Corporations (2000)Competition and Financial Stability (2004)Contagion in financial networks (2010)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Liquidity and leverage (2008)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)Market Liquidity and Trading Activity (2001)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2000Commonality in liquidity1,748 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2002A Rational Expectations Model of Financial Contagion1,080 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 1984Rational and Self-Fulfilling Balance-of-Payments Crises960 cited
  • 2001Contagion as a Wealth Effect926 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 2006Liquidity and Asset Prices821 cited
  • 2011Understanding commonality in liquidity around the world723 cited

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Cited by

  • 2014Information Diversity and Complementarities in Trading and Information Acquisition264 cited
  • 2015Understanding FX Liquidity182 cited
  • 2017Exchange-Traded Funds181 cited
  • 2014The Empirical Analysis of Liquidity144 cited
  • 2017Can ETFs Increase Market Fragility? Effect of Information Linkages in ETF Markets126 cited
  • 2013Speculation and Hedging in Segmented Markets124 cited
  • 2018The Flash Crash: A Cautionary Tale About Highly Fragmented Markets123 cited
  • 2019Chasing Private Information122 cited
  • 2019High frequency trading and comovement in financial markets115 cited
  • 2016Liquidity, style investing and excess comovement of exchange-traded fund returns73 cited
  • 2019Measuring and Allocating Systemic Risk61 cited
  • 2016Does High-Frequency Trading Increase Systemic Risk?61 cited
  • 2020Liquidity risk and exchange-traded fund returns, variances, and tracking errors60 cited
  • 2015Alphanomics: The Informational Underpinnings of Market Efficiency55 cited
  • 2018Financial distress and competitors' investment50 cited
  • 2023More Risk, More Information: How Passive Ownership Can Improve Informational Efficiency47 cited