Analysis of Corporate Bond Liquidity

Bruce Mizrach

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Corporate Finance and Governance

Abstract

This research note explores liquidity provisions in the corporate bond market using a variety of metrics. We analyze all TRACE corporate bond transactions from January 2003 to September 2015, segmenting the market into two groups: the 1,000 most active issues each year with respect to the par volumes of trades and a growing set of less actively traded bonds. Most measures suggest a healthy market: Across both segments, transaction volumes have continued to grow, the number of trades is rising, bid-ask spreads have narrowed and the impact of trades on prices continues to fall.

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References

2011Does Algorithmic Trading Improve Liquidity?2007Corporate Bond Market Transaction Costs and Transparency 2015Equity Trading in the 21st Century: An Update 1988Determinants of liquidity costs in commodity futures markets / 1474 2004Bid–ask spreads in commodity futures markets

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2019Over-the-counter market liquidity and securities lending

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