Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5100683 | Journal of Financial Markets | 2017 | 21 Pages |
Abstract
In this article, I investigate common dealers in the U.S. corporate bond market as a determinant of co-movement in liquidity. Using regulatory data that identifies counterparties in bond trades, I show that a corporate bond׳s liquidity moves together with other bonds׳ liquidity traded by the same dealers. Turning to the underlying factors of this correlation, a dealer׳s trading activity is predictive of bonds׳ future liquidity. I employ a case study of bonds that are mainly traded by a major dealer that went bankrupt in 2008. One month after the bankruptcy, these bonds were still more illiquid than comparable bonds.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Stefan Gissler,