Contagion as a Wealth Effect

By Albert S. Kyle. 2001

909 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/eb2e165300da12270da31a637ffe4623637f9097

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Citations in the corpus

Institutional Trading and Stock Resiliency: Evidence from the 2007-2009 Financial Crisis (2013, methodology): “In Kyle and Xiong (2001), the liquidity provider’s logarithmic utility function implies that their preferences for trading in risky assets decline following market downturns.”
The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016, background): “In return the connectedness from Canada to oil is almost nil (See third column, ﬁ rst row).”
Inside and Outside Liquidity (2008, background): “We thank Rafael Repullo for many conversations on this topic and participants at the Columbia Finance Lunch for their comments.”
Imperfect Competition, Information Heterogeneity, and Financial Contagion (2007, neutral): “5 Finally, Calvo (1999), Kyle and Xiong (2001), and Yuan (2005) explored the consequences of insiders being financially constrained for the propagation of liquidity shocks across equilibrium prices.”
Bond Liquidity Premia (2012, background): “A common explanation for that and the more recent market turmoil is based on a common wealth shock to capital-constrained intermediaries (Shleifer and Vishny (1997), Kyle and Xiong (2001), Gromb and Vayanos (2002)).”
A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets (2019, neutral): “25 See Xiong (2001), Kyle and Xiong (2001), Vayanos (2004), and Brunnermeier and Pedersen (2009).”
Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis (2016, background): “Some previous studies tend to argue that financial crises are characterized by financial contagion (e.g., Kyle and Xiong 2001; Kodres and Pritsker 2002).”
The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds (2011, methodology): “This type of return behavior is consistent with the presence of arbitrage limits discussed in Shleifer and Vishny (1997) and convergence strategies in Kyle and Xiong (2001) .”
Financialization, Crisis and Commodity Correlation Dynamics (2013, background): “A larger set of common shocks raises correlation between asset classes since bad news becomes more likely to force liquidation of asset holdings in several markets at the same time, as the marginal investor adjusts his or her portfolio (Kyle and Xiong 2001).”
Credit Expansion and Neglected Crash Risk (2017, background): “…from financial intermediaries (e.g., Shleifer and Vishny, 1997), reduced risk bearing capacity as a result of wealth effects (e.g., Xiong, 2001; Kyle and Xiong, 2001; and He and Krishnamurthy, 2012, 2013), margin calls (e.g., Gromb and Vayanos, 2002; Brunnermeier and Pedersen, 2009), and…”
Liquidity and Market Crashes (2009, neutral): “(15)It is worth noting that the information costs Merton (1987) refers to are much broader than the simple cost of gathering information.”
A Model of Capital and Crises (2012, neutral): “Both Xiong (2001) and Kyle and Xiong (2001) papers model a capital e¤ect for asset prices and show that this e¤ect can help to explain some of the crises regularities we have noted.”
Asset Market Linkages in Crisis Periods (2004, background): “This is consistent with the observed asymmetry between the minimum and maximum stock returns reported in the left part of the table and also squares well with the results reported by Longin and Solnik (2001). Using the T-test as defined in equation (17), we formally tested for equality of tail indic”