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Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?

Author

Listed:
  • Chen Fan
  • Sermin Gungor
  • Guillaume Nolin
  • Jun Yang

Abstract

Since 2010, the liquidity of corporate bonds has improved on average, while their trading activity has remained stable. We find that the liquidity and trading activity of riskier bonds or bonds issued by firms in different sectors have been stable. However, the liquidity and trading activity of bonds issued by banks have improved. We observe short-lived episodes of deterioration in liquidity and trading activity.

Suggested Citation

  • Chen Fan & Sermin Gungor & Guillaume Nolin & Jun Yang, 2018. "Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?," Staff Analytical Notes 2018-31, Bank of Canada.
    • Handle: RePEc:bca:bocsan:18-31
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    File URL: https://www.bankofcanada.ca/2018/09/staff-analytical-note-2018-31/
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    References listed on IDEAS

    as
    1. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    2. Sermin Gungor & Jun Yang, 2017. "Has Liquidity in Canadian Government Bond Markets Deteriorated?," Staff Analytical Notes 17-10, Bank of Canada.
    3. Chen Fan & Sermin Gungor & Guillaume Nolin & Jun Yang, 2018. "Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?," Staff Analytical Notes 2018-30, Bank of Canada.
    4. Jean-Sébastien Fontaine & Jeffrey Gao & Jabir Sandhu & Kobe Wu, 2017. "Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?," Staff Analytical Notes 17-23, Bank of Canada.
    5. Roll, Richard, 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
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    Cited by:

    1. Rohan Arora & Guillaume Ouellet Leblanc & Jabir Sandhu & Jun Yang, 2019. "Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market," Staff Analytical Notes 2019-25, Bank of Canada.
    2. Rohan Arora & Guillaume Bédard-Pagé & Guillaume Ouellet Leblanc & Ryan Shotlander, 2019. "Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach," Technical Reports 115, Bank of Canada.
    3. Jessica Lee & Jabir Sandhu & Adrian Walton, 2019. "Borrowing Costs for Government of Canada Treasury Bills," Staff Analytical Notes 2019-28, Bank of Canada.
    4. Jean-Sébastien Fontaine & Corey Garriott & Jesse Johal & Jessica Lee & Andreas Uthemann, 2021. "COVID-19 Crisis: Lessons Learned for Future Policy Research," Discussion Papers 2021-2, Bank of Canada.

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    More about this item

    Keywords

    Financial markets;

    JEL classification:

    • G - Financial Economics
    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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