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Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets

Citations

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Cited by:

  1. Oxelheim, Lars & Rafferty, Michael, 2005. "On the static efficiency of secondary bond markets," Journal of Multinational Financial Management, Elsevier, vol. 15(2), pages 117-135, April.
  2. YV Reddy, 2012. "Summary of the discussion," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial sector regulation for growth, equity and stability, volume 62, pages 39-40, Bank for International Settlements.
  3. Lebelle, Martin & Lajili Jarjir, Souad & Sassi, Syrine, 2022. "The effect of issuance documentation disclosure and readability on liquidity: Evidence from green bonds," Global Finance Journal, Elsevier, vol. 51(C).
  4. Houweling, Patrick & Mentink, Albert & Vorst, Ton, 2005. "Comparing possible proxies of corporate bond liquidity," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1331-1358, June.
  5. Rong Fan & Joseph Haubrich & Peter Ritchken & James Thomson, 2003. "Getting the Most Out of a Mandatory Subordinated Debt Requirement," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 149-179, October.
  6. Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005. "Testing affine term structure models in case of transaction costs," Journal of Econometrics, Elsevier, vol. 126(1), pages 201-232, May.
  7. Avouyi-Dovi, Sanvi & Idier, Julien, 2012. "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 428-438.
  8. Wahyudi, Imam & Robbi, Abdu, 2009. "Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009)," MPRA Paper 59883, University Library of Munich, Germany, revised 16 Jul 2010.
  9. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
  10. Ghassan Omet, 2001. "The Cost of Transacting in the Jordanian Capital Market," Working Papers 0101, Economic Research Forum, revised 01 Apr 2001.
  11. Shahzad, Syed Jawad Hussain & Naifar, Nader & Hammoudeh, Shawkat & Roubaud, David, 2017. "Directional predictability from oil market uncertainty to sovereign credit spreads of oil-exporting countries: Evidence from rolling windows and crossquantilogram analysis," Energy Economics, Elsevier, vol. 68(C), pages 327-339.
  12. Petrella, Giovanni & Resti, Andrea, 2017. "What drives the liquidity of sovereign bonds when markets are under stress? An assessment of the new Basel 3 rules on bank liquid assets," Journal of Financial Stability, Elsevier, vol. 33(C), pages 297-310.
  13. Cai, Fang & Han, Song & Li, Dan & Li, Yi, 2019. "Institutional herding and its price impact: Evidence from the corporate bond market," Journal of Financial Economics, Elsevier, vol. 131(1), pages 139-167.
  14. Lin, Zhongguo & Hamill, Philip A. & Li, Youwei & Sun, Zhuowei & Waterworth, James, 2020. "How did order-flow impact bond prices during the European Sovereign Debt Crisis?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 13-24.
  15. Maalaoui Chun, Olfa & Dionne, Georges & François, Pascal, 2014. "Credit spread changes within switching regimes," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 41-55.
  16. Anella Munro & Philip Wooldridge, 2011. "Motivations for swap-covered foreign currency borrowing," BIS Papers chapters, in: Bank for International Settlements (ed.), Currency internationalisation: lessons from the global financial crisis and prospects for the future in Asia and the Pacific, volume 61, pages 19-56, Bank for International Settlements.
  17. Nielsen, Youngju & Pungaliya, Raunaq S., 2017. "Idiosyncratic returns and relative value in the US Treasury market," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 125-144.
  18. Reitz, Stefan & Schmidt, Markus A. & Taylor, Mark P., 2009. "Financial intermediation and the role of price discrimination in a two-tier market," Discussion Paper Series 1: Economic Studies 2009,13, Deutsche Bundesbank.
  19. Bhanot, Karan, 2005. "What causes mean reversion in corporate bond index spreads? The impact of survival," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1385-1403, June.
  20. John, Kose & Reisz, Alexander S., 2010. "Temporal resolution of uncertainty, disclosure policy, and corporate debt yields," Journal of Corporate Finance, Elsevier, vol. 16(5), pages 655-678, December.
  21. Alexander, Gordon J. & Edwards, Amy K. & Ferri, Michael G., 2000. "The determinants of trading volume of high-yield corporate bonds," Journal of Financial Markets, Elsevier, vol. 3(2), pages 177-204, May.
  22. Moorad Choudhry, 2010. "Measuring bond market liquidity: devising a composite aggregate liquidity score," Applied Financial Economics, Taylor & Francis Journals, vol. 20(12), pages 955-973.
  23. Schneider, Michael & Lillo, Fabrizio & Pelizzon, Loriana, 2016. "How has sovereign bond market liquidity changed? An illiquidity spillover analysis," SAFE Working Paper Series 151, Leibniz Institute for Financial Research SAFE.
  24. Giovanni Petrella & Andrea Resti, 2016. "An empirical analysis of Eurozone government bonds liquidity: Determinants, predictability and implications for the new bank prudential rules," BAFFI CAREFIN Working Papers 1645, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  25. repec:dau:papers:123456789/11155 is not listed on IDEAS
  26. H. Youn Kim & Junsoo Lee & Stephen E. Lile & James R. Ramsey, 2000. "Municipal Bonds and Tax Arbitrage: A Cointegration Analysis," Public Finance Review, , vol. 28(4), pages 372-389, July.
  27. Flynn, Sean Masaki, 2004. "Arbitrage in Closed-end Funds: New Evidence," Vassar College Department of Economics Working Paper Series 57, Vassar College Department of Economics.
  28. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016. "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, vol. 122(1), pages 86-115.
  29. Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
  30. Bange, Mary M. & Khang, Kenneth & Miller Jr., Thomas W., 2008. "Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 363-386, June.
  31. Heidorn, Thomas & Buschmann, Christian, 2014. "The liquidity reserve funding and management strategies," Frankfurt School - Working Paper Series 210, Frankfurt School of Finance and Management.
  32. Diaz, Antonio & Merrick, John Jr. & Navarro, Eliseo, 2006. "Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1309-1332, April.
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