The Determinants of Trading in NZDX Securities

Abstract

This research report examines trading in securities on the NZDX, drawing from some key studies on secondary debt market liquidity in the US. Several key metrics are provided on the NZDX and indications are that the NZDX has become a viable channel for raising capital and providing investors with a transparent and accessible means of buying and selling debt and quasi-debt securities. In probing further into trading frequency and volume several variables are found to influence trading levels. Evidence in this report suggests that securities with a larger issue size, younger age, lower minimum holding, shorter maturity, classified as “bonds”, and issued by issuers that make more frequent announcements, tend to trade more and/or in greater volume.

Keywords: NZDX, NZX, Debt Markets, Liquidity, Trading, Bonds, Listed Debt Securities, Debt Capital Markets, Debt Exchange, New Zealand

JEL Classification: G10