交易所交易基金之间的流动性溢出：不同新闻制度下的差异

Q4 Business, Management and Accounting

Journal of Risk and Financial Management Pub Date : 2024-09-04 DOI:10.3390/jrfm17090391

Yang Liu, Yongchen Zhao

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引用次数: 0

摘要

了解流动性和流动性风险对于有效的风险管理至关重要。我们研究了跟踪标准普尔行业的 ETF 之间的流动性溢出效应。特别是，我们使用 COVID 相关新闻冲击作为自然实验，估计了双向净溢出效应的方向和规模，以及其在好坏新闻体系中的不对称性，其中流动性以每日报价买卖价差和 Amihud 非流动性比率衡量。我们的研究结果证实了 ETF 之间的流动性联系，并表明与好消息期间相比，坏消息期间的流动性溢出效应更为明显。此外，我们还记录了使用买入-卖出价差和 Amihud 比率得出的结果之间的差异，这有助于深入了解流动性和流动性风险的不同维度，包括波动性和交易量。

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Liquidity Spillover between Exchange-Traded Funds: Variations across News Regimes

Understanding liquidity and liquidity risk is essential for effective risk management. We investigate liquidity spillover effects among ETFs that track the S&P sectors. In particular, using COVID-related news shocks as a natural experiment, we estimate the direction and magnitude of two-way net spillovers and their asymmetry across good and bad news regimes, where liquidity is measured by the daily quoted bid–ask spread and the Amihud illiquidity ratio. Our results confirm the liquidity links amongst ETFs and suggest that liquidity spillovers are more pronounced during bad news periods compared to good news periods. In addition, we document the variations in the results obtained using the bid–ask spread and the Amihud ratio, which provide insights into different dimensions of liquidity and liquidity risk, including volatility and trading volume.

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