The 1929 crash of the New York stock exchange as a liquidity crisis
本文定量研究1929年纽约证券交易所崩盘，发现崩盘是因经纪人保证金贷款清算导致的流动性危机，崩盘期间买卖价差扩大四倍，流动性解释了五分之一的日收益率波动。
Abstract What caused the 1929 crash of the New York Stock Exchange? This paper quantitatively studies liquidity during the 1929 crash of the NYSE. I evidence that the crash represented a liquidity crisis due to the liquidation of brokers’ margin loans. Applying recent estimators of effective spreads and liquidity conditions from contemporary finance literature suggests a four‐fold increase in spreads during the crash at the aggregate level. At the individual stock level, quoted bid‐ask spreads suggest that liquidity explains one‐fifth of the variance in daily stock returns during the crash.