The Determinants of Trading Volume of High-Yield Corporate Bonds

Posted: 25 Sep 1998 Last revised: 27 Dec 2007

See all articles by Gordon J. Alexander

Gordon J. Alexander

University of Minnesota - Twin Cities - Carlson School of Management

Amy K. Edwards

Securities and Exchange Commission (SEC)

Michael G. Ferri

George Mason University

Date Written: September 1998

Abstract

This paper examines the trading volume of a sample of high-yield corporate bonds reported on Nasdaq's Fixed Income Pricing System (FIPS). This analysis of volume allows us to better understand the liquidity of debt issues. We demonstrate that the "mandatory" FIPS issues trade fairly actively. We also conduct tests of the determinants of trading volume and produce evidence that mandatory issues with higher volume tend to be larger, more recently issued, and the obligations of firms without publicly traded equity.

Note: This paper expresses the authors' views and does not necessarily reflect those of the Securities and Exchange Commission, the Commissioners, or other members of the staff.

JEL Classification: G10, G18, G20, G28

Suggested Citation

Alexander, Gordon J. and Edwards, Amy K. and Ferri, Michael G., The Determinants of Trading Volume of High-Yield Corporate Bonds (September 1998). Journal of Financial Markets, Vol. 3, No. 2, 2000, Available at SSRN: https://ssrn.com/abstract=131433

Gordon J. Alexander

University of Minnesota - Twin Cities - Carlson School of Management ( email )

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Amy K. Edwards

Securities and Exchange Commission (SEC) ( email )

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Michael G. Ferri (Contact Author)

George Mason University ( email )

School of Management
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United States
703-993-1858 (Phone)

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