Liquidity Measures of Bond Market
10 Pages Posted: 11 May 2020
Date Written: April 15, 2016
The purpose of this document is to review a variety of liquidity measures actively used by academics and practitioners, and to stress their advantages and limits. We focus on bond market that is an Over-The-Counter (OTC) dealer market. In a typical OTC transaction, a buyer or seller contacts an inter-mediating agent (market maker), who proposes bid and ask prices and quantities.
Keywords: Liquidity, Risk Measures, Price Impact, Transaction Costs, Market Maker
JEL Classification: C3, C4, G1
Suggested Citation: Suggested Citation