Equilibrium theory of stock market crashes

DOI10.1016/J.JEDC.2015.08.004MaRDI QIDQ1657461zbMATH OpenOpenAlexFDO

Authors Sergey Isaenko

Publication date 13 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2015.08.004

zbMATH Keywords

transaction costsgeneral equilibriumliquidityfinancial crisis

Mathematics Subject Classification ID

General equilibrium theory (91B50) Financial applications of other theories (91G80)

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Cites work

• A model of capital and crises
• Crises and liquidity in over-the-counter markets
• Liquidity premia in dynamic bargaining markets
• Liquidity shocks and equilibrium liquidity premia.
• Over-the-Counter Markets
• Portfolio choice under transitory price impact
• Search and endogenous concentration of liquidity in asset markets
• The cost of illiquidity and its effects on hedging

Cited in

(8)

• scientific article; zbMATH DE number 1987559 (Why is no real title available?)
• Investors' interacting demand and supply curves for common stocks
• Liquidity premium in the presence of stock market crises and background risk
• Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations
• Rational panics and stock market crashes.
• Time-varying crash risk embedded in index options: the role of stock market liquidity
• Slow-moving capital and stock returns
• Large Bets and Stock Market Crashes

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