Illiquidity Contagion and Liquidity Crashes

Article English OPEN
Cespa , Giovanni; Foucault , Thierry;
(2014)
  • Publisher: Oxford University Press (OUP)
  • Journal: Review of Financial Studies,volume 27,issue 6,pages1,615-1,660
  • Related identifiers: doi: 10.1093/rfs/hhu016
  • Subject: Liquidity Crashes | JEL : G.G1.G12 | Liquidity spillovers | Rational expectations | JEL : G.G1.G14 | Multiple equilibria | [SHS.GESTION.FIN] Humanities and Social Sciences/Business administration/domain_shs.gestion.fin | JEL : G - Financial Economics/G.G1 - General Financial Markets/G.G1.G10 - General | JEL : G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading | Contagion | JEL : G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates | [ SHS.GESTION.FIN ] Humanities and Social Sciences/Business administration/domain_shs.gestion.fin | JEL : G.G1.G10

International audience; Liquidity providers often learn information about an asset from prices of other assets. We show that this generates a self-reinforcing positive relationship between price informativeness and liquidity. This relationship causes liquidity spillover... View more