Liquidity Measures of Bond Market

10 Pages Posted: 11 May 2020

See all articles by Stéphane Thomas-Simonpoli

Stéphane Thomas-Simonpoli

Labex ReFi; Université Paris I Panthéon - Sorbonne, Centre d'Economie; Chappuis Halder & Cie. - Global Research & Analytics Department

Iryna Veryzhenko

University of Lille I

Date Written: April 15, 2016

Abstract

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

Thomas-Simonpoli, Stéphane and Veryzhenko, Iryna, Liquidity Measures of Bond Market (April 15, 2016). Available at SSRN: https://ssrn.com/abstract=3577145 or http://dx.doi.org/10.2139/ssrn.3577145

Stéphane Thomas-Simonpoli (Contact Author)

Labex ReFi ( email )

79 avenue de la République
Paris, 75011
France

Université Paris I Panthéon - Sorbonne, Centre d'Economie ( email )

116, Bvd de l'Hôpital
Paris, 75013
France

Chappuis Halder & Cie. - Global Research & Analytics Department ( email )

1501 McGill College
Montreal, QC H3A3M8
Canada

Iryna Veryzhenko

University of Lille I ( email )

104, avenue du peuple Belge
Villeneuve d'Ascq Cedex, 59655
France

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