Tunisian corporate bond market liquidity: a qualitative approach
Author
Abstract
Suggested Citation
DOI: 10.1108/QRFM-04-2021-0057
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Syamala, Sudhakara Reddy & Wadhwa, Kavita & Goyal, Abhinav, 2017. "Determinants of commonality in liquidity: Evidence from an order-driven emerging market," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 38-52.
- Gündüz, Yalin & Ottonello, Giorgio & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2018.
"Lighting up the dark: Liquidity in the German corporate bond market,"
SAFE Working Paper Series
230, Leibniz Institute for Financial Research SAFE.
- Gündüz, Yalin & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2021. "Lighting up the dark: Liquidity in the German corporate bond market," Discussion Papers 21/2021, Deutsche Bundesbank.
- Marco Pagano, 1989.
"Trading Volume and Asset Liquidity,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 104(2), pages 255-274.
- Pagano, Marco, 1986. "Trading Volume and Asset Liquidity," CEPR Discussion Papers 142, C.E.P.R. Discussion Papers.
- Jacob Gyntelberg & Guonan Ma & Eli M Remolona, 2005. "Corporate bond markets in Asia," BIS Quarterly Review, Bank for International Settlements, December.
- Bruno Biais & Richard Green, 2019.
"The Microstructure of the Bond Market in the 20th Century,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 250-271, July.
- Bruno Biais & Richard C. Green, "undated". "The Microstructure of the Bond Market in the 20th Century," GSIA Working Papers 2005-E57, Carnegie Mellon University, Tepper School of Business.
- Biais, Bruno & Green, Richard, 2018. "The Microstructure of the Bond Market in the 20th Century," TSE Working Papers 18-960, Toulouse School of Economics (TSE).
- Biais, Bruno & Green, Richard, 2007. "The Microstructure of the Bond Market in the 20th Century," IDEI Working Papers 482, Institut d'Économie Industrielle (IDEI), Toulouse.
- Admati, Anat R & Pfleiderer, Paul, 1991. "Sunshine Trading and Financial Market Equilibrium," The Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 443-481.
- Goswami, Mangal & Sharma, Sunil, 2011.
"The Development of Local Debt Markets in Asia: An Assessment,"
ADBI Working Papers
326, Asian Development Bank Institute.
- Mangal Goswami & Sunil Sharma, 2011. "The Development of Local Debt Markets in Asia : An Assessment," Macroeconomics Working Papers 23210, East Asian Bureau of Economic Research.
- Mangal Goswami & Sunil Sharma, 2011. "The Development of Local Debt Markets in Asia : An Assessment," Finance Working Papers 23210, East Asian Bureau of Economic Research.
- Mangal Goswami & Sunil Sharma, 2011. "The Development of Local Debt Markets in Asia : An Assessment," Governance Working Papers 23210, East Asian Bureau of Economic Research.
- Madhavan, Ananth & Porter, David & Weaver, Daniel, 2005. "Should securities markets be transparent?," Journal of Financial Markets, Elsevier, vol. 8(3), pages 265-287, August.
- Edith Hotchkiss & Gergana Jostova, 2017. "Determinants of Corporate Bond Trading: A Comprehensive Analysis," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 1-30, June.
- Zhang, Shengxing, 2018.
"Liquidity misallocation in an over-the-counter market,"
Journal of Economic Theory, Elsevier, vol. 174(C), pages 16-56.
- Shengxing Zhang, 2012. "Liquidity Misallocation in an Over-The-Counter Market," 2012 Meeting Papers 529, Society for Economic Dynamics.
- Zhang, Shengxing, 2018. "Liquidity misallocation in an over-the-counter market," LSE Research Online Documents on Economics 86800, London School of Economics and Political Science, LSE Library.
- Dion Bongaerts & Frank de Jong & Joost Driessen, 2017. "An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1229-1269.
- Sharad Nath Bhattacharya & Mousumi Bhattacharya & Sankarshan Basu, 2019. "Stock market and its liquidity: Evidence from ARDL bound testing approach in the Indian context," Cogent Economics & Finance, Taylor & Francis Journals, vol. 7(1), pages 1586297-158, January.
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
- Darrell Duffie, 2012.
"Over-The-Counter Markets,"
Introductory Chapters, in: Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets,
Princeton University Press.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005. "Over-the-Counter Markets," Econometrica, Econometric Society, vol. 73(6), pages 1815-1847, November.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004. "Over-the-Counter Markets," NBER Working Papers 10816, National Bureau of Economic Research, Inc.
- Sonali K. Shah & Kevin G. Corley, 2006. "Building Better Theory by Bridging the Quantitative–Qualitative Divide," Journal of Management Studies, Wiley Blackwell, vol. 43(8), pages 1821-1835, December.
- Piotr Bartkiewicz, 2021. "Ebbs and flows: the determinants of local currency bond market liquidity in Poland," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 14(2), pages 200-218, May.
- Alexander, Gordon J. & Edwards, Amy K. & Ferri, Michael G., 2000. "The determinants of trading volume of high-yield corporate bonds," Journal of Financial Markets, Elsevier, vol. 3(2), pages 177-204, May.
- Jankowitsch, Rainer & Nashikkar, Amrut & Subrahmanyam, Marti G., 2011. "Price dispersion in OTC markets: A new measure of liquidity," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 343-357, February.
- Agur, Itai & Chan, Melissa & Goswami, Mangal & Sharma, Sunil, 2019.
"On international integration of emerging sovereign bond markets,"
Emerging Markets Review, Elsevier, vol. 38(C), pages 347-363.
- Mr. Itai Agur & Melissa Chan & Mr. Mangal Goswami & Mr. Sunil Sharma, 2018. "On International Integration of Emerging Sovereign Bond Markets," IMF Working Papers 2018/018, International Monetary Fund.
- Nozawa, Yoshio & Qiu, Yancheng, 2021. "Corporate bond market reactions to quantitative easing during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Jonathan Goldberg & Yoshio Nozawa, 2021. "Liquidity Supply in the Corporate Bond Market," Journal of Finance, American Finance Association, vol. 76(2), pages 755-796, April.
- Michael A. Goldstein & Edith S. Hotchkiss & Erik R. Sirri, 2007. "Transparency and Liquidity: A Controlled Experiment on Corporate Bonds," The Review of Financial Studies, Society for Financial Studies, vol. 20(2), pages 235-273.
- Hadhri, Sinda & Ftiti, Zied, 2019. "Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?," Economic Systems, Elsevier, vol. 43(3).
- Hendrik Bessembinder & William Maxwell, 2008. "Markets: Transparency and the Corporate Bond Market," Journal of Economic Perspectives, American Economic Association, vol. 22(2), pages 217-234, Spring.
- James Brugler & Carole Comerton-Forde & J Spencer Martin, 2022. "Secondary Market Transparency and Corporate Bond Issuing Costs [Asset pricing and the bid–ask spread]," Review of Finance, European Finance Association, vol. 26(1), pages 43-77.
- Ulf Brüggemann & Aditya Kaul & Christian Leuz & Ingrid M. Werner, 2018.
"The Twilight Zone: OTC Regulatory Regimes and Market Quality,"
The Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 898-942.
- Ulf Brüggemann & Aditya Kaul & Christian Leuz & Ingrid M. Werner, 2013. "The Twilight Zone: OTC Regulatory Regimes and Market Quality," NBER Working Papers 19358, National Bureau of Economic Research, Inc.
- Bruggemann, Ulf & Kaul, Aditya & Leuz, Christian & Werner, Ingrid M., 2013. "The Twilight Zone: OTC Regulatory Regimes and Market Quality," Working Paper Series 2013-09, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Olfa Berrich & Halim Dabbou & Mohamed Imen Gallali, 2022. "Over-the-counter market and corporate bond market development," International Journal of Entrepreneurship and Small Business, Inderscience Enterprises Ltd, vol. 47(2/3), pages 284-304.
- Goyenko, Ruslan Y. & Ukhov, Andrey D., 2009. "Stock and Bond Market Liquidity: A Long-Run Empirical Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 189-212, February.
- Pagano, Marco & Roell, Ailsa, 1996. "Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading," Journal of Finance, American Finance Association, vol. 51(2), pages 579-611, June.
- John Ryan, 2013. "Credit rating agencies: are they credible?," International Journal of Public Policy, Inderscience Enterprises Ltd, vol. 9(1/2), pages 4-22.
- Domowitz, Ian & Hansch, Oliver & Wang, Xiaoxin, 2005. "Liquidity commonality and return co-movement," Journal of Financial Markets, Elsevier, vol. 8(4), pages 351-376, November.
- Paiardini, Paola, 2015.
"Informed trading in parallel bond markets,"
Journal of Financial Markets, Elsevier, vol. 26(C), pages 103-121.
- Paola Paiardini, 2009. "Informed Trading in Parallel Bond Markets," Birkbeck Working Papers in Economics and Finance 0908, Birkbeck, Department of Economics, Mathematics & Statistics.
- Paiardini, Paola, 2009. "Informed Trading in Parallel Bond Markets," Economics & Statistics Discussion Papers esdp09053, University of Molise, Department of Economics.
- Mukherjee, Tarun K & Naka, Atsuyuki, 1995. "Dynamic Relations between Macroeconomic Variables and the Japanese Stock Market: An Application of a Vector Error Correction Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 223-237, Summer.
- Petschnigg, Reinhard, 2005. "The institutional framework for financial market policy in the USA seen from an EU perspective," Occasional Paper Series 35, European Central Bank.
- Barbara Rindi, 2008. "Informed Traders as Liquidity Providers: Anonymity, Liquidity and Price Formation," Review of Finance, European Finance Association, vol. 12(3), pages 497-532.
- Craig Pirrong, 2002. "Securities Market Macrostructure: Property Rights and the Efficiency of Securities Trading," The Journal of Law, Economics, and Organization, Oxford University Press, vol. 18(2), pages 385-410, October.
- Forget M Kapingura, 2015. "Macroeconomic Determinants of Liquidity of the Bond Market in Africa: Case Study of South Africa," Journal of Economics and Behavioral Studies, AMH International, vol. 7(3), pages 88-103.
- Reinhard Petschnigg, 2005. "The institutional framework for financial market policy in the USA seen from an EU perspective," Occasional Paper Series 35, European Central Bank.
- Abudy, Menachem Meni, 2020. "Retail investors’ trading and stock market liquidity," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Xiangkang Yin, 2005. "A Comparison of Centralized and Fragmented Markets with Costly Search," Journal of Finance, American Finance Association, vol. 60(3), pages 1567-1590, June.
- Jakub Kubiczek, 2020. "Corporate Bond Market in Poland—Prospects for Development," JRFM, MDPI, vol. 13(12), pages 1-13, December.
- Amy K. Edwards & Lawrence E. Harris & Michael S. Piwowar, 2007. "Corporate Bond Market Transaction Costs and Transparency," Journal of Finance, American Finance Association, vol. 62(3), pages 1421-1451, June.
- Mr. Jorge Roldos, 2004. "Pension Reform, Investment Restrictions and Capital Markets," IMF Policy Discussion Papers 2004/004, International Monetary Fund.
- Tarun K. Mukherjee & Atsuyuki Naka, 1995. "Dynamic Relations Between Macroeconomic Variables And The Japanese Stock Market: An Application Of A Vector Error Correction Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 223-237, June.
- Tarun Chordia, 2005. "An Empirical Analysis of Stock and Bond Market Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 85-129.
- Tarek Chebbi & Slaheddine Hellara, 2010. "Liquidity and corporate yield spreads: lessons from Tunisian bond market," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 3(3), pages 207-226.
- Bessembinder, Hendrik & Spatt, Chester & Venkataraman, Kumar, 2020. "A Survey of the Microstructure of Fixed-Income Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 1-45, February.
- Jack Bao & Jun Pan & Jiang Wang, 2011. "The Illiquidity of Corporate Bonds," Journal of Finance, American Finance Association, vol. 66(3), pages 911-946, June.
- Goldstein, Michael A. & Hotchkiss, Edith S., 2020. "Providing liquidity in an illiquid market: Dealer behavior in US corporate bonds," Journal of Financial Economics, Elsevier, vol. 135(1), pages 16-40.
- Mr. Mangal Goswami & Mr. Sunil Sharma, 2011. "The Development of Local Debt Markets in Asia," IMF Working Papers 2011/132, International Monetary Fund.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
- Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
- Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
- Han, Song & Huang, Alan Guoming & Kalimipalli, Madhu & Wang, Ke, 2022. "Information and liquidity of over-the-counter securities: Evidence from public registration of Rule 144A bonds," Journal of Financial Markets, Elsevier, vol. 59(PB).
- Allen, Linda & Gottesman, Aron A. & Peng, Lin, 2012. "The impact of joint participation on liquidity in equity and syndicated bank loan markets," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 50-78.
- Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
- Olfa Berrich & Halim Dabbou & Mohamed Imen Gallali, 2022. "Over-the-counter market and corporate bond market development," International Journal of Entrepreneurship and Small Business, Inderscience Enterprises Ltd, vol. 47(2/3), pages 284-304.
- Loon, Yee Cheng & Zhong, Zhaodong Ken, 2014. "The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market," Journal of Financial Economics, Elsevier, vol. 112(1), pages 91-115.
- Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016. "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, vol. 119(3), pages 645-672.
- Gabor Pinter & Chaojun Wang & Junyuan Zou, 2024.
"Size Discount and Size Penalty: Trading Costs in Bond Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 37(7), pages 2156-2190.
- Gábor Pintér & Chaojun Wang & Junyuan Zou, 2021. "Size Discount and Size Penalty Trading Costs in Bond Markets," Discussion Papers 2114, Centre for Macroeconomics (CFM).
- Pintér, Gábor & Wang, Chaojun & Zou, Junyuan, 2022. "Size discount and size penalty: trading costs in bond markets," Bank of England working papers 970, Bank of England.
- Pham, Thu Phuong & Westerholm, P. Joakim, 2013. "A survey of research into broker identity and limit order book," Working Papers 17212, University of Tasmania, Tasmanian School of Business and Economics, revised 16 Oct 2013.
- Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira, 2018. "Central clearing and CDS market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 731-753, June.
- Ronen, Tavy & Zhou, Xing, 2013. "Trade and information in the corporate bond market," Journal of Financial Markets, Elsevier, vol. 16(1), pages 61-103.
- Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).
- Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2011.
"Sunshine trading: Flashes of trading intent at the NASDAQ,"
Working Paper
2011/17, Norges Bank.
- Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012. "Sunshine Trading: Flashes of Trading Intent at the NASDAQ," Tinbergen Institute Discussion Papers 12-141/IV/DSF47, Tinbergen Institute.
- Bruche, Max & Segura, Anatoli, 2017.
"Debt maturity and the liquidity of secondary debt markets,"
Journal of Financial Economics, Elsevier, vol. 124(3), pages 599-613.
- Max Bruche & Anatoli Segura, 2013. "Debt Maturity and the Liquidity of Secondary Debt Markets," FMG Discussion Papers dp726, Financial Markets Group.
- Max Bruche & Anatoli Segura, 2016. "Debt maturity and the liquidity of secondary debt markets," Temi di discussione (Economic working papers) 1049, Bank of Italy, Economic Research and International Relations Area.
- Max Bruche & Anatoli Segura, 2013. "Debt Maturity and the Liquidity of Secondary Debt Markets," Working Papers wp2013_1303, CEMFI.
- Bruche, Max & Segura, Anatoli, 2013. "Debt maturity and the liquidity of secondary debt markets," LSE Research Online Documents on Economics 55404, London School of Economics and Political Science, LSE Library.
- Reichenbacher, Michael & Schuster, Philipp, 2022. "Size-adapted bond liquidity measures and their asset pricing implications," Journal of Financial Economics, Elsevier, vol. 146(2), pages 425-443.
- Dimitri Vayanos & Jiang Wang, 2012.
"Market Liquidity -- Theory and Empirical Evidence,"
NBER Working Papers
18251, National Bureau of Economic Research, Inc.
- Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
- Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
- Anderson, Mike, 2017. "A causal link between bond liquidity and stock returns," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 190-208.
- Helwege, Jean & Wang, Liying, 2021. "Liquidity and price pressure in the corporate bond market: evidence from mega-bonds," Journal of Financial Intermediation, Elsevier, vol. 48(C).
More about this item
Keywords
Market liquidity; Corporate bonds; OTC market; Semi-structured interview; Tunisian market;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:qrfmpp:qrfm-04-2021-0057. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.