Abstract
This study contributes to the literature on bond market liquidity by investigating the level and variability of bid-ask spreads for a sample of international bonds issued by sovereigns, corporates, banks, and supranational issuers. A model of the spread indicates that credit rating, price volatility, and issue size are important determinants. Pound sterling-denominated bonds have wider spreads than U.S. dollar-denominated bonds, and corporate bonds have wider spreads than sovereign bonds.
- © 2002 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600