Measuring Corporate Bond Liquidity in Emerging Market Economies: Price- vs Quantity-Based Measures

18 Pages Posted: 22 May 2019

See all articles by Allaudeen Hameed

Allaudeen Hameed

National University of Singapore (NUS) - Department of Finance

Jean Helwege

UC Riverside

Ran Li

World Bank

Frank Packer

Bank for International Settlements (BIS)

Date Written: April 2019

Abstract

Prior research suggests that corporate bond issuance in emerging market economies increases when the markets exhibit substantial liquidity. While the Malaysian corporate bond market has grown dramatically over the last few decades, having now become one of the largest among emerging market economies, its liquidity has not progressed at a similar pace. Illiquidity may hamper access to local currency debt financing, so its measurement is an important topic for regulators and issuers. We investigate the liquidity of corporate bonds in Malaysia and find that quantity-based measures of liquidity appear more reliable than price-based measures. Low liquidity appears to characterise both conventional and Islamic corporate bonds in Malaysia.

Full Publication: Asia-Pacific Fixed Income Markets: Evolving Structure, Participation and Pricing

Keywords: corporate bonds, bond liquidity, Islamic and conventional bonds, Malaysia

JEL Classification: G12, G20, G15

Suggested Citation

Hameed, Allaudeen and Helwege, Jean and Li, Ran and Packer, Frank, Measuring Corporate Bond Liquidity in Emerging Market Economies: Price- vs Quantity-Based Measures (April 2019). BIS Paper No. 102e. Available at SSRN: https://ssrn.com/abstract=3390923

Allaudeen Hameed (Contact Author)

National University of Singapore (NUS) - Department of Finance ( email )

Mochtar Riady Building
15 Kent Ridge Drive
Singapore, 119245
Singapore

HOME PAGE: http://www.bschool.nus.edu.sg/staff_profile/cv.asp?ID=3

Jean Helwege

UC Riverside ( email )

900 University Ave.
Anderson Hall
Riverside, CA 92521
United States
9518274284 (Phone)

Ran Li

World Bank

1818 H Street, NW
Washington, DC 20433
United States

Frank Packer

Bank for International Settlements (BIS) ( email )

CH-4002 Basel, Basel-Stadt
Switzerland
4161 280 8449 (Phone)

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