scholarly journals Market Liquidity and Institutional Trading During the 2007-8 Financial Crisis

2011 ◽  
Author(s):  
Ser-Huang Poon ◽  
Michael Rockinger ◽  
Konstantinos Stathopoulos
Keyword(s):  
Financial Crisis ◽  
Market Liquidity ◽  
Institutional Trading

scholarly journals Market liquidity and institutional trading during the 2007–8 financial crisis

2013 ◽  
Vol 30 ◽  
pp. 86-97 ◽  
Author(s):  
Ser-Huang Poon ◽  
Michael Rockinger ◽  
Konstantinos Stathopoulos
Keyword(s):  
Financial Crisis ◽  
Market Liquidity ◽  
Institutional Trading

Marking-to-Market, Commonality in Liquidity, and Government Guarantee Effect

2016 ◽  
Vol 32 (1) ◽  
pp. 73-91
Author(s):  
Hawfeng Shyu
Keyword(s):  
Financial Crisis ◽  
Positive Association ◽  
Fair Value ◽  
Market Liquidity ◽  
Economic Consequences ◽  
Vicious Cycle ◽  
Market Prices ◽  
Stock Liquidity ◽  
Government Guarantee ◽  
Value Measurement

Based on market prices and other market inputs to value assets and liabilities, adopting fair-value measurement creates many unpredictable economic consequences, such as amplifying the vicious cycle of falling prices during a worldwide financial crisis. This article investigates whether marking-to-market disclosure affects the commonality in liquidity. Commonality in liquidity is defined as the sensitivity of stock liquidity to the variation in market liquidity. My study indicates that marking-to-market disclosure is associated with higher commonality in liquidity. In addition, I find that higher commonality in liquidity is associated with lower stock liquidity. I also find that a positive association between commonality in liquidity and stock illiquidity is mitigated by the effect of a government guarantee.

The impact of institutional trading on liquidity and volatility during the financial crisis

2016 ◽  
Vol 12 (4) ◽  
pp. 445-470
Author(s):  
Md Ahmed Mostafa
Keyword(s):  
Financial Crisis ◽  
Institutional Ownership ◽  
Realized Volatility ◽  
Market Quality ◽  
Institutional Trading ◽  
Content Type ◽  
Short Sale ◽  
The Impact ◽  
Total Impact ◽  
Effective Spread

Purpose – The purpose of this paper is to explore the impact of institutional trading on the market quality during the financial crisis and short sale ban. Design/methodology/approach – The following methods was applied to discuss the total impact on market quality and efficiency of short sale ban in USA from 2001 to 2010. The author examined institutional ownership and breadth of ownership while performing a mean variance tests for changes in efficiency as well as multivariate analysis. Findings – Analyzing USA, Standard and Poor’s 500 stocks the author find increase high-low volatility, realized volatility, effective spread and relative quoted spread during January 1, 2007 to December 31, 2010. Realized volatility increases for both small and large quantile stocks. High-low volatility increases for small quantile stocks and relative quoted spread increases for large quantile stocks. Comparing the percentage change between pre and climax period we find that large quantile stocks have a negative association between breadth of institutional ownership and returns and a positive relation high-low volatility, realized effective spread and quoted spread to returns. Originality/value – The present paper is the first to discuss the total impact on market quality and efficiency of short sale ban in USA from 2001 to 2010. The author find a remarkable improvement in market efficiency (variance ratios) after the crisis period for small and non-financial stocks, while the price efficiency lost during the crisis period is more persistent for large and financial stocks.

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