e-book How To Measure Corporate Bond Liquidity

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The sample consists of euro denominated corporate bonds with the amount outstanding more than million euros for investment grade bonds and million for speculative grade bonds. The total number of unique bonds is bonds, with the total number of bond-years amounting to Bond bid and ask quotations, company level information, and macroeconomic data is obtained from Bloomberg.

Liquidity measures bid-ask spread and percentage of zero return days are capturing the liquidity effect for investment grade bonds effectively.

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For speculative grade bonds, liquidity measures are capturing liquidity with the pre-crisis sample-period effectively. The members surveyed were a pool of 3, volunteer CFA Institute members with a declared interest in capital markets issues. The response rate was These respondents also noted that bank capital and liquidity regulations have had a significant impact on bond market liquidity and that the focus of policymakers should be on removing impediments to the smooth functioning of institutional wholesale markets.

These respondents also indicated that there is no single factor that has had a very significant impact on bond market liquidity. They identified encouraging retail investor participation as a more important policy priority than improving institutional wholesale market functioning.

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Has US corporate bond market liquidity deteriorated?

Privacy Settings. Bond Market Liquidity. Some dealers have retreated from market-making since the financial crisis, a result of tougher capital requirements and stricter regulation.

ecuttrumitin.tk Market participants have blamed post-crisis regulation for hurting their ability to buy and sell bonds in the secondary markets. One key measure of liquidity showed a deterioration in the corporate bond market. Suntheim and Allan found that quoted bid-ask spreads widened from mid