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Liquidity commonality in the secondary corporate loan market

Author

Listed:
  • Anthony, John
  • Docherty, Paul
  • Lee, Doowon
  • Shamsuddin, Abul

Abstract

This study is the first to examine liquidity commonality, a measure of liquidity risk, in the U.S. secondary corporate loan market. Liquidity commonality varies substantially across market states, being completely absent during more benign market conditions. The results have implications for banking portfolio management, the pricing of liquidity risk and for regulators interested in the time-variation of liquidity risk in illiquid markets.

Suggested Citation

  • Anthony, John & Docherty, Paul & Lee, Doowon & Shamsuddin, Abul, 2017. "Liquidity commonality in the secondary corporate loan market," Economics Letters, Elsevier, vol. 161(C), pages 10-14.
    • Handle: RePEc:eee:ecolet:v:161:y:2017:i:c:p:10-14
    DOI: 10.1016/j.econlet.2017.09.016
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    References listed on IDEAS

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    Cited by:

    1. Syeda Hina Zaidi & Nousheen Tariq Bhutta, 2021. "Liquidity Synchronization and Asset Valuation in Selected Emerging Asian Economies," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(6), pages 488-500.
    2. Syeda Hina Zaidi & Ramona Rupeika-Apoga, 2021. "Liquidity Synchronization, Its Determinants and Outcomes under Economic Growth Volatility: Evidence from Emerging Asian Economies," Risks, MDPI, vol. 9(2), pages 1-20, February.
    3. Syeda Hina Zaidi & Nousheen Tariq Bhutta, 2021. "Liquidity Synchronization and Asset Valuation in Selected Emerging Asian Economies," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(6), pages 488-500, June.

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    More about this item

    Keywords

    Liquidity; Liquidity commonality; Liquidity risk; Financial crisis; OTC markets; Loan market;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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