Liquidity Black Holes

Book description

• Fully explains ’liquidity black holes’ as episodes where, across markets where liquidity is normally healthy, buyers disappear, and price declines do not help to bring them back - such as in the recent ’Long Term Capital Management crisis’
• Presents evidence that smaller liquidity holes are appearing more routinely in a range of markets
• Specifically written in order to help practitioners and policy makers identify and thus avoid markets prone to damaging liquidity black holes
• Additionally covers trends and issues in market liquidity, liquidity risk and disclosing positions, liquidity public policy, liquidity in relation to credit and currency markets, and many other issues

Book details

ISBN

9781904339137

Publish date

1 Oct 2003

Format

Size

155mm x 235mm

Editor biography

Avinash Persaud

Avinash D. Persaud is an investment director of Global Asset Management. He also holds the Mercer Memorial Chair in Commerce at Gresham College and is Chairman of Intelligence Capital, a financial advisory firm for the public sector. Persaud is well known for a number of innovations including the Risk Appetite Index, the EMU Calculator the Event Risk Indicator and the Liquidity Black Holes theory of liquidity and diversity. He has won both major competitions in international finance: the Jacques de Larosiere Award from the Institute of International Finance and a Bronze Amex Bank Award. He is a governor of the London School of Economics, a trustee of the Global Association of Risk Professionals, and a trustee of the Overseas Development Institute. He was formerly a visiting scholar at the IMF, a managing director of State Street, global head of Currency and Commodity Research at J P Morgan and a director at UBS. He graduated from the London School of Economics in monetary economics in 1987.

Table of contents

CONTENTS

Foreword

William W. Martin, Invesco Asset Management

Liquidity Black Holes: An Introduction

Avinash Persaud, Global Asset Management and Gresham College

Section 1: The Background to Market Liquidity: Introduction

1. Liquidity in the Foreign Exchange Market: An Investment Manager’s Perspective

Harriett M. Richmond and Jack Crawford, JPMorgan Fleming Asset Management

2. Liquidity in the Equity Market: A Portfolio Trader’s Perspective

Sri Moorthy, Credit Suisse First Boston

3. Liquidity in the Fixed-Income Market and the Impact of EMU

Hannah Scobie, European Economics and Financial Centre

4. Liquidity from a Central Banker’s Perspective

Roger Clews and David Rule, Bank of England

Section 2: Liquidity Black Holes

5. Liquidity Black Holes

Avinash Persaud, Global Asset Management and Gresham College

6. LTCM and the Asian Financial Crisis: Liquidity Black Holes

Stephen Spratt, University of Sussex

7. Measuring Liquidity Black Holes

Benjamin H. Cohen of International Monetary Fund and Hyun Song Shin of London School of Economics

8. Liquidity Black Holes: Testing Theory’s Predictions

Chris McCoy, State Street Fellow and Surrey University

Section 3: Liquidity Black Holes and Institutional Behaviour

9. Liquidity and News

Hyun Song Shin, London School of Economics

10. Volatility in the Foreign Exchange Market and Disclosure of Central Bank Reserves

Michael Metcalfe, State Street Bank

11. Market Liquidity and Risk Management

Avinash Persaud, Global Asset Management and Gresham College

12. Financial System Liquidity and Credit Risk Transfers

Avinash Persaud, Global Asset Management and Gresham College

Section 4: Liquidity and Architecture of the Financial System

13. Market Distress and Vanishing Liquidity: Anatomy and Policy Options

Claudio Borrio, Bank for International Settlements

14. Beauty Contests, Liquidity and the New International Financial Architecture

John Eatwell, University of Cambridge

Testimonials

“This volume will do a great deal to improve market participants’ understanding of the factors driving the liquidity, or the lack of it, in our markets.“

Robert B. Gray, Chairman, International Primary Market Association

“This book gives the clearest explanation yet of the impact on markets of the volatility in liquidity and what happens to market dynamics when liquidity dries up.“

Robert Parker, Vice Chairman, Credit Suisse Asset Management