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Persaud-Liquidity Black Holes PDF
Persaud-Liquidity Black Holes PDF
Persaud-Liquidity Black Holes PDF
Avinash Persaud
The Gresham and Mercer Memorial Professor of Commerce
Managing Director & Head of Research
State Street Global Markets
April 2002
What is liquidity and why does it
matter?
liquidity
Emerging Market Sells
0.2
0.4
•
number
0.8
1.0
1.2
1.8
Jul-97 Mar-98 Nov-98 Jul-99 Mar-00 Nov-00 Jul-01 Mar-02
Liquidity Black Holes
Liquidity black holes: num ber of days per quarter that the
US, Japanese and UK broad stock indices have m oved by 2
standard deviations m ore than the average daily price m ove
Number of days