An empirical analysis of stock and bond market liquidity

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Federal Reserve Bank of New York , [New York, N.Y.]
Stocks., Bonds., Liquidity (Econo
StatementTarun Chordia, Asani Sarkar, and Avanidhar Subrahmanyam.
SeriesStaff reports ;, no. 164, Staff reports (Federal Reserve Bank of New York : Online) ;, no. 164.
ContributionsSarkar, Asani., Subrahmanyam, Avanidhar., Federal Reserve Bank of New York.
Classifications
LC ClassificationsHB1
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL3477353M
LC Control Number2005617029

We provide a synthesis of the empirical evidence on market liquidity. This literature survey reviews the empirical analysis of liquidity.

We stock,bond,option,futures,currency,etc.)ata bidpriceorsellitat an offer price. Then liquidity demanders agree to buy the security atCited by:   Tarun Chordia, Asani Sarkar, Avanidhar Subrahmanyam, An Empirical Analysis of Stock and Bond Market Liquidity, The Review of Financial Studies, Vol Issue 1, Springreturns, order imbalance, and volatility in the bond (stock) market.

In the empirical estimation, we choose K, the number of lags in Equations (5) and Cited by: An Empirical Analysis of Stock and Bond Market Liquidity Tarun Chordia, Asani Sarkar, and Avanidhar Subrahmanyam Federal Reserve Bank of New York Staff Reports, no.

March JEL classification: G10, G14, G23, E52 Abstract This paper explores liquidity movements in stock and Treasury bond markets over a period of more than trading days. Download Citation | An Empirical Analysis of Stock and Bond Market Liquidity | This article explores cross-market liquidity dynamics by estimating a vector autoregressive model for liquidity (bid Author: Tarun Chordia.

Stock and Bond Market Liquidity: A Long-Run Empirical Analysis Ruslan Y. Goyenko and Andrey D. Ukhov∗ Abstract This paper establishes liquidity linkage between stock and Treasury bond markets. There is a lead-lag relationship between illiquidity of the two markets and bidirectional Granger causality.

Downloadable. This paper explores liquidity movements in stock and Treasury bond markets over a period of more than trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets.

The Term Structure of Bond Liquidity - Volume 53 Issue 5. We thank conference participants at the Financial Risks International Forum on Liquidity, the Colloquium on Financial Markets, the Financial Management Association (FMA) European Conference, the meeting of the German Finance Association (DGF), and the Annual Meeting of the German.

The Society for Financial Studies An Empirical Analysis of Stock and Bond Market Liquidity Author(s): Tarun Chordia, Asani Sarkar and Avanidhar Subrahmanyam Source: The Review of Financial Studies, Vol. 18, No. 1 (Spring, ), pp.

Published by: Oxford University r: The Society for Financial Studies. Stable URL. Accessed: 22/01/ Your use of the JSTOR. An Empirical Analysis of Stock and Bond Market Liquidit y W e study the joint time-series of daily liquidity in go vernmen t bond and stock markets over the period to This paper establishes liquidity linkage between stock and Treasury bond markets.

There is a lead-lag relationship between illiquidity of the two markets and bidirectional Granger causality. The effect of stock illiquidity on bond illiquidity is consistent with flight-to-quality or flight-to-liquidity episodes. Monetary policy impacts illiquidity.

An Empirical Analysis of Stock and Bond Market Liquidity This paper explores liquidity movements in stock and Treasury Bond markets over a period of more than trading days. Cross-market dynamics in liquidity are docu-mented by estimating a vector autoregressive model for liquidity.

Bond Market Book Review. This controversial bond market book of describes of how the United States is rapidly approaching the end stage of the biggest asset bubble in history and how it can cause a massive interest rate shock which will send the US Consumer economy and the US Government (riding on a massive Treasury Debt) towards bankruptcy sending shockwaves throughout the global economy.

For a published version of this report, see Tarun Chordia, Asani Sarkar, and Avanidhar Subrahmanyam, "An Empirical Analysis of Stock and Bond Market Liquidity," Review of Financial Stud no. 1 (spring ): Stock and Bond Market Liquidity: A Long-Run Empirical Analysis Ruslan Y.

Goyenko and Andrey D. Ukhov* Abstract This paper establishes liquidity linkage between stock and Treasury bond markets. There is a lead-lag relationship between illiquidity of the two markets and bidirectional Granger causality.

Tarun Chordia, Asani Sarkar and Avanidhar Subrahmanyam, An Empirical Analysis of Stock and Bond Market Liquidity, Review of Financial Studies, 18, 1, (85), (). Crossref Simone Manganelli, Duration, volume and volatility impact of trades, Journal of Financial Markets.

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This paper establishes liquidity linkage between stock and Treasury bond markets. There is a lead-lag relationship between illiquidity of the two markets and bidirectional Granger causality. The effect of stock illiquidity on bond illiquidity is consistent with flight-to-quality or flight-to-liquidity episodes.

Monetary policy impacts illiquidity. 2Bao and Hou () also find that the empirical patterns in the comovements of short-term and long-term bonds with equities are consistent with the Merton () model.

Kapadia and Pu () suggest that this failure of credit risk models is due to a lack of integration between the stock and bond markets caused by limits to arbitrage and. Innovations in liquidity are positively and significantly correlated across stock and bond markets.

Further, order imbalances in the stock market impact bond and stock liquidity, even after controlling for order imbalances in the bond market. Both results suggest the existence of a common liquidity factor in stock and bond markets. An empirical analysis of stock and bond market liquidity.

Tarun Chordia, Asani Sarkar and Avanidhar Subrahmanyam. NoStaff Reports from Federal Reserve Bank of New York Abstract: This paper explores liquidity movements in stock and Treasury bond markets over a period of more than trading days. Cross-market dynamics in liquidity are documented by estimating a vector.

Empirical Analysis of Stock and Bond Market Liquidity stock and bond markets.4 A negative information shock in stocks often causes a "flight to quality" as investors substitute safe assets for risky assets.5 The resulting outflow from stocks into Treasury bonds may cause price pressures and also impact stock and bond liquidity.

In other situa.

Details An empirical analysis of stock and bond market liquidity FB2

Bond and stock liquidity data were obtained for the period J to D ecember 31 The sample period re°ects the availability of tick-by-tick government bond data, obtained from GovPX Inc., which covers trading activity among primary dealers in the interdealer broker market. Giovanni Petrella, An Empirical Analysis of Eurozone Government Bonds Liquidity: Determinants, Predictability and Implications for the New Bank Prudential Rules, SSRN Electronic Journal, /ssrn, ().

An Empirical Analysis of Stock and Bond Market Liquidity. The Review of Financial Studies, Vol. 18, Issue 1, pp.Posted: 29 Feb Chordia, Tarun, An Empirical Analysis of Stock and Bond Market Liquidity ().

The Review of Financial Studies, Vol. 18, Issue 1, pp., Available at SSRN. In the context of convertible bond issuance, we examine the impact of arbitrage activity on underlying equity markets. In particular, we use changes in equity short interest following convertible bond issuance to identify convertible bond arbitrage activity and analyze its impact on stock market liquidity and prices for the period to Stock and Bond Market Liquidity: A Long-Run Empirical Analysis - Volume 44 Issue 1 - Ruslan Y.

Goyenko, Andrey D. Ukhov. This paper provides comprehensive empirical analysis on the effect of liquidity risk on expected corporate bond returns using an extensive transaction data sample.

stock market factors such as size and book-to-market equity could share common variations in stock and bond returns. Tests of the factor model using the Pastor-Stambaugh bond.

Empirical Analysis of Liquidity Demographics and Market Quality For Less Liquid NMS Stocks Author: Office of Analytics and Research; Division of Trading and Markets; U.S. Securities and Exchange Commission Created Date: 4/6/ PM. An Empirical Analysis of Stock and Bond Market Liquidity Overview of attention for article published in Review of Financial Studies, November Altmetric Badge.

Abstract. This paper explores liquidity movements in stock and Treasury bond markets over a period of more than trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets.

and liquidity from the over-the-counter (OTC) markets to the electronic markets.

Description An empirical analysis of stock and bond market liquidity PDF

The discussion in this section also suggests some hypotheses for our empirical work. We have done highly detailed empirical analysis of extensive, high-quality data from the inter-dealer (B2B) market provided by the leading electronic exchange in Europe (MTS).

The microstructure of the bond market: lessons from empirical studies of the US An empirical study of liquidity and price discovery in the European Not only is the bond market less researched than the stock market, it is also vastly different.

While the bulk of stock trading is conducted on electronic limit-order books.(). Liquidity-adjusted CAPM — An empirical analysis on Indian stock market. Cogent Economics & Finance: Vol. 7, No. 1, bonds are correlated with both the returns on the treasury bond market, and with returns on the stock market.

Corporate bonds are thus a hybrid of default-free bonds and the flrm’s stock (Kwan, ), and we can expect them to be exposed to liquidity shocks in both stock and bond markets.

Another reason why corporate bonds are a.