Liquidity Shocks, Price Volatilities, and Risk-managed Strategy: Evidence from Bitcoin and Beyond

2022 ◽  
pp. 100729
Author(s):  
Tao Tang ◽  
Yanchen Wang
Keyword(s):  
Liquidity Shocks

Crises, Liquidity Shocks, and Fire Sales at Investment Banks

2013 ◽  
Author(s):  
Nicole M. Boyson ◽  
Jean Helwege ◽  
Jan Jindra
Keyword(s):  
Investment Banks ◽  
Liquidity Shocks ◽  
Fire Sales

The Asset Pricing Effects of UK Market Liquidity Shocks: Evidence from Tick Data

2014 ◽  
Author(s):  
Jason Foran ◽  
Mark C. Hutchinson ◽  
Niall O'Sullivan
Keyword(s):  
Asset Pricing ◽  
Market Liquidity ◽  
Liquidity Shocks ◽  
Tick Data

The Price Effects of Liquidity Shocks: A Study of Sec's Tick-Size Experiment

2018 ◽  
Author(s):  
Rui A. Albuquerque ◽  
Shiyun Song ◽  
Chen Yao
Keyword(s):  
Tick Size ◽  
Liquidity Shocks ◽  
Price Effects

scholarly journals Liquidity constraints, spillovers, and entrepreneurship: evidence from a cash transfer program

2019 ◽  
Vol 55 (4) ◽  
pp. 1131-1158
Author(s):  
Rafael P. Ribas
Keyword(s):  
Indirect Effect ◽  
Indirect Effects ◽  
Financial Constraints ◽  
Liquidity Constraints ◽  
Cash Transfer ◽  
Direct Effects ◽  
Transfer Program ◽  
Liquidity Shocks ◽  
Liquidity Shock

Abstract This paper exploits a liquidity shock from a welfare program in Brazil to investigate the role of financial constraints, in opposition to general equilibrium mechanisms, in explaining entrepreneurship. Previous research focuses exclusively on how liquidity changes recipients’ behavior through direct effects on reducing constraints. However, liquidity shocks may also produce spillovers from recipients to others and thereby indirectly affect entrepreneurial decisions. This paper presents a method for decomposing the liquidity shock into direct effects associated with relieving individual constraints, and indirect effects associated with spillovers to other individuals. Results suggest that the program, which assists 20 percent of Brazilian households, increased the number of small entrepreneurs by 10 percent. However, this increase is entirely driven by the indirect effect. Further tests suggest that this effect is associated with an increase in private transfers between households. Thus, entrepreneurship tends to respond more to the interaction between households than to financial constraints.

Marketplace Lending, Information Aggregation, and Liquidity

2020 ◽  
Author(s):  
Julian Franks ◽  
Nicolas Serrano-Velarde ◽  
Oren Sussman
Keyword(s):  
Information Aggregation ◽  
Data Set ◽  
Information Efficiency ◽  
Liquidity Shocks ◽  
Unique Data ◽  
Retail Investors ◽  
Over Time

Abstract Lending marketplaces aimed at directly connecting retail lenders and borrowers retreat from auctions and, instead, set prices and allocate credit on their own, despite evidence that retail investors possess valuable soft and nonstandard information. We investigate this puzzle by analyzing a unique data set of 7,455 auctions and 34 million bids from a leading British peer-to-business platform. We find that the platform was vulnerable to liquidity shocks, resulting in sizable deviations from information efficiency. Deviations increased over time because of a growing role played by noncrowd players, particularly large investors and algorithms.

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