针对答案选项提问

NO.PZ2020042003000012

问题如下：

Which of the following statements about the liquidity in crisis situations is NOT correct?

选项：

When crisis happens, the market liquidity could dry up.

In the crisis situation, the orders cannot be executed, to make the market the dealer would decrease the bid-ask spread.

In the crisis situation, the sell orders can overwhelm the market.

If the margin or collateral requirement is m and the maximum loss for the position is L(Max), the worst-case cash outflow is: m × L（Max）

解释：

考点：对Liquidity in Crisis Situations的理解

答案：B选项描述错误，本题选B

解析：

B选项错误，在危机情景下，Dealer做市要承担更大的风险，因此Bid–ask spread rises dramatically.

在危机（一般为流动性很差的时候）中，为什么bid ask 价差升高？理解此时，没人愿意买卖，应该降低？

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1 个答案

李坏_品职助教 · 2021年08月16日

嗨，从没放弃的小努力你好：

bid price指的是dealer愿意给你支付的最高买价（dealer从你手里买股票的价格），ask price是dealer收取的最低卖价（dealer把股票卖给你的价格），当流动性危机到来时，dealer承担了更大的风险，它自己手里的股票有可能会卖不掉，因此它会降低自己的买价bid price，提高自己的卖价ask price，这样就会增加bid-ask spread。

Notes的原话是这样的：

The bid-ask spread is a cost of liquidity. A wider (narrower) spread indicates lower (higher)

liquidity. If an asset becomes less liquid, the spread increases, and the costs of trading the

asset increase.

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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