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Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market

Author

Listed:
  • Rohan Arora
  • Guillaume Ouellet Leblanc
  • Jabir Sandhu
  • Jun Yang

Abstract

We introduce a new proxy for measuring corporate bond liquidity, using the price of exchange-traded funds (ETFs) that hold corporate bonds. It measures the average liquidity across 900 corporate bonds every day, many more than other proxies used in previous Bank of Canada analysis. The new proxy nonetheless paints a very similar picture of liquidity conditions and confirms the previous findings: the liquidity of bonds has generally improved since 2010.

Suggested Citation

  • 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.
    • Handle: RePEc:bca:bocsan:19-25
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    File URL: https://www.bankofcanada.ca/2019/08/staff-analytical-note-2019-25/
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    References listed on IDEAS

    as
    1. Sermin Gungor & Jun Yang, 2017. "Has Liquidity in Canadian Government Bond Markets Deteriorated?," Staff Analytical Notes 17-10, Bank of Canada.
    2. 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.
    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. 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.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Financial markets;

    JEL classification:

    • 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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