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Liquidity and Credit Risk in the Emerging Financial Markets

Author

Listed:
  • Saadaoui, Amir
  • Boujelbene, Younes

Abstract

In this paper, we examine the relationship between liquidity, liquidity risk and credit risk involved in emerging sovereign bonds after the subprime crisis period. In our study, we concentrate on the effect of liquidity and credit risk on liquidity in the emerging bond markets. Control variables, asymmetric information, amount outstanding, coupon, age and interest rate van provide assistance for a better understanding of this relationship. To explain the role of liquidity and credit risk in liquidity, we use panel data extracted from Datastream. Our result show that liquidity risk has a stronger impact on the liquidity of the bond market than credit risk.

Suggested Citation

  • Saadaoui, Amir & Boujelbene, Younes, 2014. "Liquidity and Credit Risk in the Emerging Financial Markets," Public Finance Quarterly, Corvinus University of Budapest, vol. 59(2), pages 207-219.
  • Handle: RePEc:pfq:journl:v:59:y:2014:i:2:p:207-219
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    File URL: https://unipub.lib.uni-corvinus.hu/8925/
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    Cited by:

    1. Lumengo Bonga-Bonga & Mathias mandla Manguzvane, 2020. "Assessing the extent of contagion of sovereign credit risk among BRICS countries," Economics Bulletin, AccessEcon, vol. 40(2), pages 1017-1032.

    More about this item

    Keywords

    liquidity; credit risk; liquidity risk; emerging bond markets;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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