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URN: urn:nbn:de:swb:90-446623

Liquidity in Bond Markets

Schuster, Philipp

Abstract:
This thesis studies how to best measure liquidity in bond markets and how illiquidity influences bond prices and yields. We answer the first question by empirically comparing the performance of all commonly employed liquidity measures. In the second part, we analyze liquidity related yield differences and how they behave in different economic regimes. Finally, the third part presents an equilibrium framework to study the influence of illiquidity on bond prices from a theoretical perspective.


Zugehörige Institution(en) am KIT Institut für Finanzwirtschaft, Banken und Versicherungen (FBV)
Publikationstyp Hochschulschrift
Jahr 2014
Sprache Englisch
Identifikator KITopen ID: 1000044662
Verlag Karlsruhe
Abschlussart Dissertation
Fakultät Fakultät für Wirtschaftswissenschaften (WIWI)
Institut Institut für Finanzwirtschaft, Banken und Versicherungen (FBV)
Prüfungsdatum 23.05.2014
Referent/Betreuer Prof. M. Uhrig-Homburg
Schlagworte bond liquidity, term structure of liquidity premia, transaction costs, bid-ask spread, financial crisis
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