Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity

2021 ◽  
Author(s):  
Doojin Ryu ◽  
Jinyoung Yu
Keyword(s):  
Futures Market ◽  
Market Liquidity ◽  
Liquidity Shocks ◽  
Funding Liquidity

scholarly journals The Impact of Underlying Market Closure on Futures Market Liquidity: Evidence from China

2012 ◽  
Author(s):  
Wang Chun Wei ◽  
Alex Frino
Keyword(s):  
Futures Market ◽  
Market Liquidity ◽  
Stock Index ◽  
Stock Index Futures ◽  
Contagion Effect ◽  
Index Futures ◽  
Empirical Results ◽  
Open Session ◽  
The Impact ◽  
Closure Theory

This study investigates the trading activity of Chinese stock index futures, recently introduced at the open and close of the underlying trading. We document the impact of the underlying spot on the futures market liquidity as well as volatility as discussed in earlier works on market closure theory. Our empirical results support previous literature on the impact of the underlying, particularly during the open session, as a contagion effect, which is clearly at play. We find significant U-shaped patterns in liquidity factors and intraday volatility during open and close trades in the morning.  

scholarly journals Market Liquidity and Funding Liquidity＊

2012 ◽  
pp. 199-244 ◽  
Author(s):  
Markus K. Brunnermeier ◽  
Lasse Heje Pedersen ◽  
Yakov Amihud ◽  
Haim Mendelson ◽  
Lasse Heje Pedersen
Keyword(s):  
Market Liquidity ◽  
Funding Liquidity

scholarly journals Highly Liquid Mortgage Bonds Using the Match Funding Principle

2019 ◽  
Vol 10 (01) ◽  
pp. 2050001
Author(s):  
Jens Dick-Nielsen ◽  
Jacob Gyntelberg
Keyword(s):  
Trading Volume ◽  
House Prices ◽  
Capital Requirements ◽  
Market Liquidity ◽  
Main Concern ◽  
Government Bonds ◽  
Creditor Rights ◽  
Funding Liquidity ◽  
Pass Through ◽  
Bid Ask Spreads

We show that pass-through funding of mortgages with covered bonds supported by strong creditor rights is one way of providing highly liquid mortgage bonds. Despite a 30% drop in house prices during the 2008 crisis, these mortgage bonds remained as liquid as comparable government bonds with high trading volume and low bid-ask spreads. Market liquidity of these covered bonds is primarily driven by the availability of funding liquidity. Funding liquidity is the main concern because the pass-through funding approach effectively eliminates other types of risks from the investor’s perspective. Banking regulators should take into account the implications of these findings, particularly when it comes to the interplay between liquidity and capital requirements.

scholarly journals Liquidity Mismatch Index and Bank Performance

2021 ◽  
Vol 12 (5) ◽  
pp. 277
Author(s):  
Godfrey Marozva
Keyword(s):  
South African ◽  
Portfolio Management ◽  
Market Liquidity ◽  
Management Theory ◽  
Bank Performance ◽  
Unit Of Analysis ◽  
Funding Liquidity ◽  
Empirical Issue ◽  
Liquidity Measures ◽  
The Relationship

The relationship between liquidity and bank performance in finance literature remains an unresolved empirical issue. The main objective of this article was to investigate the relationship between liquidity mismatch index (LMI) initially developed by Brunnermeier, Gorton and Krishnamurthy (2012) and further developed by Bai, Krishnamurthy, and Weymuller (2018) and South African bank performance empirically. Different from other prior studies, the study undertook to determine the relationship employing the liquidity measure that integrates both market liquidity and funding liquidity within a context of asset liability mismatches. The unit of analysis was a panel of 12 South African banks over the period 2008–2018. Specifically, two liquidity measures – the bank liquidity mismatch index (BLMI) and the aggregate liquidity mismatch index (ALMI) were regressed against bank performance matrices. The newly developed liquidity measures are based on portfolio management theory and they account for the significance of liquidity spirals. Results revealed that, bank performance is negatively and significantly related with BLMI. While the bank performance is positively related to ALMI, the relationship is not significant. Also, the nature of relationship is dependent on the measure of profitability employed.

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