10/6/2023 0 Comments Liquid assets in spanishLangedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2015." Empirical analysis of the illiquidity premia of German real estate securities,"įinancial Markets and Portfolio Management, Springer Swiss Society for Financial Market Research, vol. Thomas Paul & Thomas Walther & André Küster-Simic, 2022. " Indicador Combinado de Liquidez para la Deuda Pública Local Colombiana," Research in International Business and Finance, Elsevier, vol. " Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," " Measuring market liquidity in us fixed income markets: a new synthetic indicator," " Is market liquidity less resilient after the financial crisis? Evidence for us treasuries," The current ultralow interest rate environment and more capital demanding regulations could partially explain these results. After a sizeable improvement of liquidity in 2013-2014, the liquidity indicator has deteriorated over the past months as a consequence of lower trading volumes. Our LSI shows several episodes of significant worsening in liquidity conditions, related to the Lehman Brothers’ collapse and the European sovereign debt crisis. We use price and transaction-based indicators for government and corporate debt when data is available for the period 2005-2016. We compute six individual liquidity indicators that represent the elements that characterise a liquid market (tightness, resilience, depth and breadth). In this paper, we propose a liquidity synthetic indicator (LSI) on Spanish debt, applying the methodology that Broto and Lamas (2016) used for US markets. Although there is the perception that bond market liquidity could have worsened over the last years in international markets, none of the current studies has reached a clear conclusion. Assessing liquidity in fixed-income markets is becoming very important in the current context of extremely low interest rates which, in general terms, is encouraging the acquisition of riskier and (potentially) less liquid assets.
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |