Bank funding constraints and stock liquidity

dc.contributor.author	Molyneux, Philip
dc.contributor.author	Wang, Qingwei
dc.contributor.author	Xie, Ru
dc.contributor.author	Zhao, Binru
dc.date.accessioned	2024-05-28T10:41:10Z
dc.date.available	2024-05-28T10:41:10Z
dc.date.issued	2023
dc.description.abstract	This paper examines the relationship between bank marginal funding constraints and stock liquidity. Using bank credit default swap (CDS) spreads we show that increased funding constraints weaken bank stock liquidity (as measured by liquidity tightness, depth, and resilience). This effect strengthens during crises periods. Deteriorating bank stock liquidity is in turn priced into excess stock returns. In addition, we find that during liquidity crises, monetary expansion can break the relationship between funding costs and stock liquidity. Heightened monetary policy uncertainty, however, strengthens this relation. © 2022 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. Keywords: Funding spread, Idiosyncratic liquidity risk, Price of liquidity, Stock liquidity	en
dc.identifier.citation	Molyneux, P., Wang, Q., Xie, R., & Zhao, B. (2023). Bank funding constraints and stock liquidity. The European Journal of Finance, 29(1), 1–16. https://doi.org/10.1080/1351847X.2022.2098046
dc.identifier.doi	https://doi.org/10.1108/JMLC-05-2020-0050
dc.identifier.uri	https://dspace.adu.ac.ae/handle/1/5471
dc.language.iso	en_US
dc.publisher	Routledge
dc.title	Bank funding constraints and stock liquidity
dc.type	Article

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