中文摘要
我们利用以色列政府债券市场在交易所而非场外市场进行交易这一独特的制度特征,分析拥有交易所是否以及为何会影响危机期间的市场流动性。我们记录了2020年3月的流动性危机对以色列政府债券市场的影响,并开展双重差分分析,将以色列政府债券市场等交易所市场的买卖价差与缺乏交易所的市场进行比较。我们的发现支持如下观点:拥有交易所能够增强市场流动性。利用以色列交易所交易数据进行的反事实分析表明,其原因在于投资者能够便捷地相互提供流动性,以及交易所能够对交易流进行高效轧差。
Abstract
We leverage the unique institutional feature that the Israeli government bond market operates on an exchange rather than over-the-counter to analyze whether and why having an exchange affects market liquidity during a crisis. We document how the liquidity crisis in March 2020 affected the Israeli government bond market and conduct difference-in-differences analyses, comparing bid-ask spreads in exchange markets, such as the Israeli government bond market, with markets lacking an exchange. Our findings support the idea that having an exchange enhances market liquidity. A counterfactual analysis using trade data from the Israeli exchange suggests that this is due to the ability of investors to readily provide liquidity to one another and the efficient netting of trade flows on an exchange.