How Does Deleveraging Affect Funding Market Liquidity?
利用2015年中国股市暴跌中结构化共同基金的强制去杠杆事件，研究发现去杠杆显著降低了基金权益单位的市场流动性，并导致后续资金流入、持股和业绩大幅下降。
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. This paper was accepted by Victoria Ivashina, finance.