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Government interventions and equity liquidity in the sub-prime crisis period: Evidence from the ETF market

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  • Chiu, Junmao
  • Tsai, Kunchi

Abstract

Using bank bailout and funding injection actions to measure government interventions, this study explores whether the announcements of these actions could improve equity liquidity in the subprime crisis period. Our empirical results show that funding injections and bailout actions can both improve equity liquidity and increase net buying pressure, especially for the Paulson plan and the rescue of AIG from bankruptcy. The funding injection actions can improve equity liquidity more significantly than bailout actions.

Suggested Citation

  • Chiu, Junmao & Tsai, Kunchi, 2017. "Government interventions and equity liquidity in the sub-prime crisis period: Evidence from the ETF market," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 128-142.
    • Handle: RePEc:eee:reveco:v:47:y:2017:i:c:p:128-142
    DOI: 10.1016/j.iref.2016.10.013
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    More about this item

    Keywords

    Bailout; Funding injection; Sub-prime crisis; Equity liquidity; Funding constraints;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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