Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 8, 2020 erstellt
Description:
The COVID-19 pandemic has caused some of the largest - and fastest - market dislocations in modern history. Contemporaneous with the significant fall in equity market values is the evaporation of market liquidity. We show that transactions costs increase sharply in a coordinated fashion across global markets, with depth drying up almost overnight. The withdrawal of global liquidity suppliers is correlated with the increase of over 400% in margin requirements, driving a pro-cyclical downwards liquidity spiral. These effects are shown to be concentrated in securities most exposed to electronic liquidity provides, consistent with the binding nature of increased capital constraints