问题如下:
Which of the following statements about Liquidity
Trading Risk is NOT correct?
选项:
A. In stressed conditions, liquidating
even a relatively small position can then be time-consuming and is sometimes
impossible.
The bid price tends to increase,
and the offer price tends to decrease with the size of a trade.
“Liquidity black hole” describes
the following phenomenon: when one financial institution finds that it needs to
unwind a position, many other financial institutions with similar positions
need to do the same thing. The liquidity in the market then evaporates.
Predatory
trading describes the following phenomenon: when a market participant has a
large position, others guess that it will have to be unwound in the near
future. Then others will trade in advance.
解释:
考点:对Liquidity Trading Risk的理解
答案:B选项描述错误,所以本题选B
解析:
当Trade size增加时,会占用market
maker更多的资金量,同时增加了Market maker对冲风险的难度,因此当Trade size增加时,Market maker会要求一个更高的Bid-ask spread,具体而言就是,当我们卖出标的资产给Market maker时,Market maker会报一个更低的收购价(Bid price)买入,当我们从Market maker处买入标的资产时,Market maker会报一个更高的卖出价(Offer price)卖出。
The bid price tends to decrease, and the
offer price tends to increase with the size of a trade.
这里的with the size of a trade,只是说通过这个交易的规模,但是没有说这个规模是大还是小,怎么理解