Contagious margin calls: How COVID-19 threatened global stock market liquidity

Field	Value	Language
dc.contributor.author	Foley, Sean	en
dc.contributor.author	Kwan, Amy	en
dc.contributor.author	Philip, Richard	en
dc.contributor.author	Ødegaard, Bernt Arne	en
dc.date.accessioned	2021-11-26T05:05:15Z
dc.date.available	2021-11-26T05:05:15Z
dc.date.issued	2021
dc.identifier.uri	https://hdl.handle.net/2123/27067
dc.description.abstract	The outbreak of the COVID-19 pandemic caused some of the largest — and fastest — market dislocations in modern history. During the outbreak, liquidity quickly evaporated in a coordinated fashion across global markets. We show that a sudden increase in margin requirements during the pandemic is correlated with the withdrawal of global liquidity providers. These effects are concentrated in securities most exposed to high-frequency market makers, consistent with the binding nature of increased capital constraints.	en
dc.language.iso	en	en
dc.rights	Other	en
dc.subject	COVID-19	en
dc.subject	Coronavirus	en
dc.title	Contagious margin calls: How COVID-19 threatened global stock market liquidity	en
dc.type	Article	en
dc.identifier.doi	10.1016/j.finmar.2021.100689
usyd.faculty	The University of Sydney Business School

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