Stock Market Declines and Liquidity
研究发现股市下跌会降低股票流动性，尤其在资金市场紧张时更明显，且流动性存在跨行业溢出效应，为理解流动性危机提供新证据。
ABSTRACT Consistent with recent theoretical models where binding capital constraints lead to sudden liquidity dry‐ups, we find that negative market returns decrease stock liquidity, especially during times of tightness in the funding market. The asymmetric effect of changes in aggregate asset values on liquidity and commonality in liquidity cannot be fully explained by changes in demand for liquidity or volatility effects. We document interindustry spillover effects in liquidity, which are likely to arise from capital constraints in the market making sector. We also find economically significant returns to supplying liquidity following periods of large drops in market valuations.