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    Online Resource
    Online Resource
    Emerging Market Liquidity And Crises (2008)
    Washington, D.C : The World Bank
    Details
    Language: English
    Pages: Online-Ressource (1 online resource (23 p.))
    Edition: Online-Ausg. World Bank E-Library Archive
    Parallel Title: Yeyati, Eduardo Levy Emerging Market Liquidity And Crises
    Keywords: Bid ; Debt Markets ; Emerging Economies ; Emerging Market ; Emerging Markets ; Finance and Financial Sector Development ; Illiquidity ; Levy ; Macroeconomics and Economic Growth ; Market Liquidity ; Markets and Market Access ; Mutual Funds ; Portfolio ; Private Sector Development ; Securities ; Trading ; Trading Costs ; Bid ; Debt Markets ; Emerging Economies ; Emerging Market ; Emerging Markets ; Finance and Financial Sector Development ; Illiquidity ; Levy ; Macroeconomics and Economic Growth ; Market Liquidity ; Markets and Market Access ; Mutual Funds ; Portfolio ; Private Sector Development ; Securities ; Trading ; Trading Costs ; Bid ; Debt Markets ; Emerging Economies ; Emerging Market ; Emerging Markets ; Finance and Financial Sector Development ; Illiquidity ; Levy ; Macroeconomics and Economic Growth ; Market Liquidity ; Markets and Market Access ; Mutual Funds ; Portfolio ; Private Sector Development ; Securities ; Trading ; Trading Costs
    Abstract: Whereas conventional wisdom argues that markets shut down during crises, with sellers struggling to find buyers, we find that markets continue to operate during financial turmoil, even in narrow and volatile emerging economies. Simple event studies indicate that both trading volume and trading costs increase in crisis times. Prices change more with each dollar transacted (pushing the Amihud illiquidity measure up) and bid-ask spreads widen. More generally, econometric estimates show that large price downturns, typical of crises, are associated with higher trading activity and increased trading costs, with trading activity declining only later as crises progress. Thus, while trading activity tends to be negatively related to trading costs during tranquil times (and across securities), this relation appears to break down during crises. These results are consistent with the analytical literature on portfolio rebalancing by heterogeneous agents in times of crises
    URL: Volltext  (Deutschlandweit zugänglich)
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