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Market Liquidity, Hedging, and Crashes
.In the absence of significant news, hedging strategies were blamed for the stock market crash of October 1987; but traditional models cannot explain how a relatively small amount of selling could cause so large a price drop. We develop a rational expectations model in which prices play an important role in shaping expectations; markets are much less liquid in our model than in traditional models. Discontinuities (or "crashes") can occur even with relatively little hedging. The model is consistent with theories as disparate as Keynes' "beauty contest" insight and Thom's "catastrophe" analysis and suggests means to reduce volatility.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| TAER 8005 | PSB lt.dasar - Pascasarjana | 1 |
| TAER 8005 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Nashville: American Economic Association 1990 |
|---|---|
| Edisi | Vol. 80, No. 5, Dec., 1990 |
| Subjek | Prices Hedging Liquidity market Reduce volatility |
| ISBN/ISSN | 0002-8282 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 23 p. |
| Info Detail Spesifik | The American Economic Review |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |