How Does Deleveraging Affect Funding Market Liquidity? | PERPUSTAKAAN UNIVERSITAS KATOLIK PARAHYANGAN

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How Does Deleveraging Affect Funding Market Liquidity?

Qiu, Buhui - Nama Orang; Tian, Gary Gang - Nama Orang; Zeng, Haijian - Nama Orang;

How does deleveraging affect the market liquidity of high-embedded-leverage securities issued by financial institutions and the funding constraints of these institutions? We use the forced deleveraging of structured mutual funds during the 2015 Chinese stock market crash to study the effects of deleveraging. Our regression-discontinuity analysis shows that deleveraging significantly reduces the market liquidity of the deleveraging funds’ equity units. Moreover, our difference-in-differences analysis shows that deleveraging results in large decreases in subsequent fund flows, stock and cash holdings, and performance, with the impact channeled through the deterioration of the market liquidity of the fund’s equity units.

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Barcode		Tipe Koleksi	Nomor Panggil	Lokasi	Status
art143041	null	Artikel		Gdg9-Lt3	Tersedia namun tidak untuk dipinjamkan - No Loan

Informasi Detail

Judul Seri: MANAGEMENT SCIENCE; Vol.68 No.6 June 2022
No. Panggil: -
Penerbit: : .,
Deskripsi Fisik: p. 4568-4601
Bahasa: English
ISBN/ISSN: -
Klasifikasi: NONE
Tipe Isi: -
Tipe Media: -
Tipe Pembawa: -
Edisi: -
Subjek: DELEVERAGING
FUNDING MARKET LIQUIDITY
FUNDING LIQUIDITY CRISIS
Info Detail Spesifik: https://doi.org/10.1287/mnsc.2021.4070
Pernyataan Tanggungjawab: Buhui Qiu, Gary Gang Tian, Haijian Zeng

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