| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8350 |
| DP8350 Learning from Prices, Liquidity Spillovers, and Market Segmentation | |
| Thierry Foucault; Giovanni Cespa | |
| 发表日期 | 2011-04-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We describe a new mechanism that explains the transmission of liquidity shocks from one security to another ("liquidity spillovers"). Dealers use prices of other securities as a source of information. As prices of less liquid securities convey less precise information, a drop in liquidity for one security raises the uncertainty for dealers in other securities, thereby affecting their liquidity. The direction of liquidity spillovers is positive if the fraction of dealers with price information on other securities is high enough. Otherwise liquidity spillovers can be negative. For some parameters, the value of price information increases with the number of dealers obtaining this information. In this case, related securities can appear segmented, even if the cost of price information is small. |
| 主题 | Financial Economics |
| 关键词 | Colocation Contagion Liquidity risk Liquidity spillovers transparency Value of price information |
| URL | https://cepr.org/publications/dp8350 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537177 |
| 推荐引用方式 GB/T 7714 | Thierry Foucault,Giovanni Cespa. DP8350 Learning from Prices, Liquidity Spillovers, and Market Segmentation. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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