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- W2218855103 abstract "In turmoil periods, market liquidity can experience sudden dry ups connected with a significant price movements. This unexpected changes in liquidity patterns, often driven by irrational investorsi behaviour,and it is normally defined as Liquidity Black Hole (LBH). So far relevant research in this area explored macro-market level rather than explaining micro-agent decisions. In this study we show - both theoretically and empirically - that the LBH effect at market micro-level is originated by agentsi decisions made at a mutual fund level. We present a model on the behaviour of investors as a function of expected market risks and returns. The causes of a LBH are analyzed and the model is also tested under real case scenario, i.e. UK Real Estate Mutual Fund industry. Price creation is modeled both endogenously and exogenously, and it shows that the relationship between fund flows and expected liquidity risk follows an exponential function. Finally, we demonstrate that areas of absolute LBH exist and cannot be hedged. In those areas neither the available icash-like cushioni nor the managerial skills of the market maker can avoid the ieconomic failurei of a fund." @default.
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- W2218855103 date "2011-01-01" @default.
- W2218855103 modified "2023-09-27" @default.
- W2218855103 title "Liquidity Black Hole and Optimal Behavioral" @default.
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