流动性危机的时候midprice不是不变吗

问题如下：

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

选项：

A.

Crisis event triggers a huge number of sell orders and traders become reluctant to buy.

B.

In the crisis, the bid-ask spread typically stay constant, but the market liquidity dries up.

C.

In the crisis, flood of sell orders can overwhelm market and delay executions.

D.

Estimating crisis liquidity is more than just extrapolation from “normal market LaR”

解释：

答案：B选项描述错误，本题选B

解析：

B选项描述错误，正确的表述为：In the crisis, bid–ask spread rises dramatically.

Role of Liquidity in Crisis Situations可以总结为：

1、Crisis event triggers a huge number of sell orders

2、Traders become reluctant to buy

3、Bid–ask spread rises dramatically

4、Flood of sell orders can overwhelm market and delay executions

5、Market liquidity dries up (when most needed)

6、Model assumptions (especially “liquidity in normal markets”) break down

7、Estimating crisis liquidity is more than just extrapolation from “normal market LaR”

8、Need to estimate crisis-liquidity risks using methods that take account for crisis features; e.g., large losses, high bid–ask spread