The 1929 crash of the New York stock exchange as a liquidity crisis

IF 1.4 1区历史学 Q3 ECONOMICS

Economic History Review Pub Date : 2024-01-03 DOI:10.1111/ehr.13309

Jean-Laurent Cadorel

引用次数: 0

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.

查看原文本刊更多论文

作为流动性危机的 1929 年纽约证券交易所崩盘

是什么导致了 1929 年纽约证券交易所的崩盘？本文对 1929 年纽约证券交易所崩盘期间的流动性进行了定量研究。我的证据表明，由于经纪人的保证金贷款被清算，这次股灾代表了一场流动性危机。应用当代金融文献中最新的有效价差和流动性条件估计值，表明在崩盘期间，总体价差增加了四倍。在个股层面，买卖价差报价表明，在股灾期间，流动性解释了每日股票回报率五分之一的差异。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Economic History Review Multiple-

CiteScore

3.60

自引率

27.30%

发文量

期刊介绍： The Economic History Review is published quarterly and each volume contains over 800 pages. It is an invaluable source of information and is available free to members of the Economic History Society. Publishing reviews of books, periodicals and information technology, The Review will keep anyone interested in economic and social history abreast of current developments in the subject. It aims at broad coverage of themes of economic and social change, including the intellectual, political and cultural implications of these changes.