Contagious margin calls: How COVID-19 threatened global stock market liquidity()

The outbreak of the COVID-19 pandemic caused some of the largest – and fastest – market dislocations in modern history. During the outbreak, liquidity quickly evaporated in a coordinated fashion across global markets. We show that a sudden increase in margin requirements during the pandemic is corre...

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Autores principales: Foley, Sean, Kwan, Amy, Philip, Richard, Ødegaard, Bernt Arne
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8556731/
http://dx.doi.org/10.1016/j.finmar.2021.100689
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author Foley, Sean
Kwan, Amy
Philip, Richard
Ødegaard, Bernt Arne
author_facet Foley, Sean
Kwan, Amy
Philip, Richard
Ødegaard, Bernt Arne
author_sort Foley, Sean
collection PubMed
description The outbreak of the COVID-19 pandemic caused some of the largest – and fastest – market dislocations in modern history. During the outbreak, liquidity quickly evaporated in a coordinated fashion across global markets. We show that a sudden increase in margin requirements during the pandemic is correlated with the withdrawal of global liquidity providers. These effects are concentrated in securities most exposed to high-frequency market makers, consistent with the binding nature of increased capital constraints.
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spelling pubmed-85567312021-11-01 Contagious margin calls: How COVID-19 threatened global stock market liquidity() Foley, Sean Kwan, Amy Philip, Richard Ødegaard, Bernt Arne Journal of Financial Markets Article The outbreak of the COVID-19 pandemic caused some of the largest – and fastest – market dislocations in modern history. During the outbreak, liquidity quickly evaporated in a coordinated fashion across global markets. We show that a sudden increase in margin requirements during the pandemic is correlated with the withdrawal of global liquidity providers. These effects are concentrated in securities most exposed to high-frequency market makers, consistent with the binding nature of increased capital constraints. Elsevier B.V. 2022-06 2021-10-30 /pmc/articles/PMC8556731/ http://dx.doi.org/10.1016/j.finmar.2021.100689 Text en © 2021 Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Foley, Sean
Kwan, Amy
Philip, Richard
Ødegaard, Bernt Arne
Contagious margin calls: How COVID-19 threatened global stock market liquidity()
title Contagious margin calls: How COVID-19 threatened global stock market liquidity()
title_full Contagious margin calls: How COVID-19 threatened global stock market liquidity()
title_fullStr Contagious margin calls: How COVID-19 threatened global stock market liquidity()
title_full_unstemmed Contagious margin calls: How COVID-19 threatened global stock market liquidity()
title_short Contagious margin calls: How COVID-19 threatened global stock market liquidity()
title_sort contagious margin calls: how covid-19 threatened global stock market liquidity()
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8556731/
http://dx.doi.org/10.1016/j.finmar.2021.100689
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AT ødegaardberntarne contagiousmargincallshowcovid19threatenedglobalstockmarketliquidity

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