EconPapers    
Economics at your fingertips  
 

The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy

Dominik Rehse, Ryan Riordan, Nico Rottke and Joachim Zietz

No 18-024, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

Abstract: We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the unprecedented strength, scale and nature of the storm, the potential damages of a landfall near the Greater New York area were unpredictable and therefore uncertain. Using a difference-in-differences setting, we compare the market reactions of Real Estate Investment Trusts (REITs) with and without properties in the widely-published evacuation zone of New York City prior to landfall. We nd relatively less trading and wider bid-ask spreads in affected REITs. The results confirm theory on the detrimental effects of uncertainty on market functioning.

Keywords: Uncertainty; liquidity; financial crisis; natural experiment (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-mst and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/178620/1/dp18024.pdf (application/pdf)

Related works:
Journal Article: The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy (2019) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:zewdip:18024

Access Statistics for this paper

More papers in ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2021-12-21
Handle: RePEc:zbw:zewdip:18024