DC Field | Value | Language |
---|---|---|
dc.contributor.author | Sung, Sangwook | ko |
dc.contributor.author | Cho, Hoon | ko |
dc.contributor.author | Ryu, Doojin | ko |
dc.date.accessioned | 2018-10-19T00:53:18Z | - |
dc.date.available | 2018-10-19T00:53:18Z | - |
dc.date.created | 2018-10-15 | - |
dc.date.created | 2018-10-15 | - |
dc.date.created | 2018-10-15 | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | EMERGING MARKETS FINANCE AND TRADE, v.55, no.1, pp.1 - 12 | - |
dc.identifier.issn | 1540-496X | - |
dc.identifier.uri | http://hdl.handle.net/10203/246202 | - |
dc.description.abstract | This study analyzes the efficiency of liquidity flows in stabilizing distressed markets from a theoretical perspective. We show that even in the event of a major negative market shock, a financial institution can increase its investment in the market when there is a strong incentive for arbitrage profit. However, the institution may choose to reduce its investment if the fear from liquidity risk exceeds the arbitrage incentive. In addition, our model reveals a positive relationship between funding liquidity and market liquidity. Our findings help to explain several financial issues in distressed markets, including the flight to quality, liquidity dry-ups, asset fire sales, and market shock amplifications. | - |
dc.language | English | - |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | - |
dc.title | The Behavior of an Institutional Investor with Arbitrage Opportunities and Liquidity Risk | - |
dc.type | Article | - |
dc.identifier.wosid | 000446108700001 | - |
dc.identifier.scopusid | 2-s2.0-85053055369 | - |
dc.type.rims | ART | - |
dc.citation.volume | 55 | - |
dc.citation.issue | 1 | - |
dc.citation.beginningpage | 1 | - |
dc.citation.endingpage | 12 | - |
dc.citation.publicationname | EMERGING MARKETS FINANCE AND TRADE | - |
dc.identifier.doi | 10.1080/1540496X.2018.1498333 | - |
dc.contributor.localauthor | Cho, Hoon | - |
dc.contributor.nonIdAuthor | Sung, Sangwook | - |
dc.contributor.nonIdAuthor | Ryu, Doojin | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | arbitrage profit | - |
dc.subject.keywordAuthor | distressed market | - |
dc.subject.keywordAuthor | flight to quality | - |
dc.subject.keywordAuthor | liquidity risk | - |
dc.subject.keywordAuthor | market efficiency | - |
dc.subject.keywordAuthor | G14 | - |
dc.subject.keywordAuthor | G18 | - |
dc.subject.keywordAuthor | G21 | - |
dc.subject.keywordPlus | STOCK-PRICE MANIPULATION | - |
dc.subject.keywordPlus | INDEX DERIVATIVES | - |
dc.subject.keywordPlus | OPTION MARKET | - |
dc.subject.keywordPlus | BANK RUNS | - |
dc.subject.keywordPlus | LIMITS | - |
dc.subject.keywordPlus | DISAGREEMENTS | - |
dc.subject.keywordPlus | EQUILIBRIUM | - |
dc.subject.keywordPlus | INFORMATION | - |
dc.subject.keywordPlus | QUALITY | - |
dc.subject.keywordPlus | FLIGHT | - |
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