Please use this identifier to cite or link to this item: https://doi.org/10.1111/j.1540-6261.2009.01529.x
DC FieldValue
dc.titleStock market declines and liquidity
dc.contributor.authorHameed, A.
dc.contributor.authorKang, W.
dc.contributor.authorViswanathan, S.
dc.date.accessioned2013-10-09T08:06:23Z
dc.date.available2013-10-09T08:06:23Z
dc.date.issued2010
dc.identifier.citationHameed, A., Kang, W., Viswanathan, S. (2010). Stock market declines and liquidity. Journal of Finance 65 (1) : 257-293. ScholarBank@NUS Repository. https://doi.org/10.1111/j.1540-6261.2009.01529.x
dc.identifier.issn00221082
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/44436
dc.description.abstractConsistent with recent theoretical models where binding capital constraints lead to sudden liquidity dry-ups, we find that negative market returns decrease stock liquidity, especially during times of tightness in the funding market. The asymmetric effect of changes in aggregate asset values on liquidity and commonality in liquidity cannot be fully explained by changes in demand for liquidity or volatility effects. We document interindustry spillover effects in liquidity, which are likely to arise from capital constraints in the market making sector. We also find economically significant returns to supplying liquidity following periods of large drops in market valuations. © 2009 the American Finance Association.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1111/j.1540-6261.2009.01529.x
dc.sourceScopus
dc.typeArticle
dc.contributor.departmentFINANCE
dc.description.doi10.1111/j.1540-6261.2009.01529.x
dc.description.sourcetitleJournal of Finance
dc.description.volume65
dc.description.issue1
dc.description.page257-293
dc.identifier.isiut000273549900008
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