JOURNAL: Corporate bonds trading more certainly realised at short notice: alternative models of market liquidity
Summary
Authors:
David Dekker
Mary Pieterse-Bloem
Rik Lustermans
Amir Amel-Zadeh
Dimitris Christopoulos
Heriot Watt University
Erasmus University Rotterdam
Free University Amsterdam
Oxford University
Corporate bonds trading more certainly realised at short notice: alternative models of market liquidity
SSRN
August 2024
This paper explores how liquidity affects trading in the European corporate bond market. Instead of relying on price differences to measure liquidity, it examines how likely a trade is to happen and how long it takes after a request to buy or sell. The study identifies trade-offs: some factors make trading faster but reduce the chance of a deal, while others influence both positively or negatively. The findings highlight the crucial role of dealer behaviour and market conditions, offering insights for investors and electronic trading platforms.