Departmental Bulletin Paper 投資主体間の取引手法の違いと市場流動性
トウシ シュタイカン ノ トリヒキ シュホウ ノ チガイ ト シジョウ リュウドウセイ
The differences of investment style among investors and market liquidity

丸茂, 俊彦  ,  マルモ, トシヒコ  ,  Marumo, Toshihiko

45 ( 4 )  , pp.57 - 75 , 2016-02-29 , 同志社大学人文科学研究所 , Transcription:ドウシシャ ダイガク ジンブン カガク ケンキュウショ , Alternative:Institute for the Study of Humanities & Social Sciences, Doshisha University
The purpose of this paper is to examine how the differences of investment style among the market participants affect the market liquidity in the asset price falling situations. In order to understand a mechanism of the financial crisis during 2007-09, I construct a model in which there are four types of investors –passive trader, active trader, arbitrageur and noise trader. Using this model, I proposes some policy implications about the effectiveness of leverage regulation and hedge fund regulation programs established by Volcker Rule.

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