Do Margins Contribute to Market Illiquidity? Evidence from the S&P 500 Futures

Author:

Park Yang-Ho

Publisher

Elsevier BV

Reference34 articles.

1. Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy;G O Aragon;Journal of Financial Economics,2012

2. Hedge fund stock trading in the financial crisis of 2007-2009;I Ben-David;Review of Financial Studies,2012

3. Financial econometric analysis at ultrahigh frequency: Data handling concerns;C T Brownlees;Computational Statistics and Data Analysis,2006

4. Market liquidity and funding liquidity;M K Brunnermeier;Review of Financial Studies,2009

5. Illiquidity contagion and liquidity crashes;G Cespa;Review of Financial Studies,2014

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