The Behavior of an Institutional Investor with Arbitrage Opportunities and Liquidity Risk

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dc.contributor.authorSung, Sangwookko
dc.contributor.authorCho, Hoonko
dc.contributor.authorRyu, Doojinko
dc.date.accessioned2018-10-19T00:53:18Z-
dc.date.available2018-10-19T00:53:18Z-
dc.date.created2018-10-15-
dc.date.created2018-10-15-
dc.date.created2018-10-15-
dc.date.issued2019-
dc.identifier.citationEMERGING MARKETS FINANCE AND TRADE, v.55, no.1, pp.1 - 12-
dc.identifier.issn1540-496X-
dc.identifier.urihttp://hdl.handle.net/10203/246202-
dc.description.abstractThis 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.languageEnglish-
dc.publisherROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD-
dc.titleThe Behavior of an Institutional Investor with Arbitrage Opportunities and Liquidity Risk-
dc.typeArticle-
dc.identifier.wosid000446108700001-
dc.identifier.scopusid2-s2.0-85053055369-
dc.type.rimsART-
dc.citation.volume55-
dc.citation.issue1-
dc.citation.beginningpage1-
dc.citation.endingpage12-
dc.citation.publicationnameEMERGING MARKETS FINANCE AND TRADE-
dc.identifier.doi10.1080/1540496X.2018.1498333-
dc.contributor.localauthorCho, Hoon-
dc.contributor.nonIdAuthorSung, Sangwook-
dc.contributor.nonIdAuthorRyu, Doojin-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorarbitrage profit-
dc.subject.keywordAuthordistressed market-
dc.subject.keywordAuthorflight to quality-
dc.subject.keywordAuthorliquidity risk-
dc.subject.keywordAuthormarket efficiency-
dc.subject.keywordAuthorG14-
dc.subject.keywordAuthorG18-
dc.subject.keywordAuthorG21-
dc.subject.keywordPlusSTOCK-PRICE MANIPULATION-
dc.subject.keywordPlusINDEX DERIVATIVES-
dc.subject.keywordPlusOPTION MARKET-
dc.subject.keywordPlusBANK RUNS-
dc.subject.keywordPlusLIMITS-
dc.subject.keywordPlusDISAGREEMENTS-
dc.subject.keywordPlusEQUILIBRIUM-
dc.subject.keywordPlusINFORMATION-
dc.subject.keywordPlusQUALITY-
dc.subject.keywordPlusFLIGHT-
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