RT Journal Article
SR Electronic
T1 Liquidity Commonality Across the Bond and CDS Markets
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 26
OP 39
DO 10.3905/JFI.2009.19.1.026
VO 19
IS 1
A1 Xiaoling Pu
YR 2009
UL https://pm-research.com/content/19/1/26.abstract
AB The article examines various liquidity measures across the corporate bond and credit default swap (CDS) markets. The results, from the factor decompositions for individual liquidity measures and across various measures, show a strong liquidity commonality across the bond and CDS markets. In addition, the article finds that the liquidity common factor has significant impact on the unexplained part of the credit spread changes by default risk factors.TOPICS: Credit default swaps, fixed-income portfolio management, statistical methods