What drives liquidity in the Chinese credit bond markets?

We study the drivers and pricing of liquidity in the Chinese credit bond markets. We document that the liquidity and liquidity effects priced into yield spreads differ significantly across the four major credit bond categories and the two parallel trading venues: the interbank over-the-counter and exchange markets. We analyze the levels of liquidity and the pricing of liquidity effects into credit bond yield spreads using three counterfactuals: a collateral shock to repo eligibility, a crackdown on agent-holding activities, and four liberalization shocks on foreign investment. We identify the bond risk and macroeconomic channels as significant influences on liquidity effects but not the information channel. Our empirical findings are robust to a battery of tests.

Authors

Institutions

Publication Details

Journal
The Journal of Finance and Data Science
Published
2024-10-09
DOI
https://doi.org/10.1016/j.jfds.2024.100139
Citations
13
Primary Topic
Credit Risk and Financial Regulations
Type
article
Field-Weighted Citation Impact
3.23
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

What drives liquidity in the Chinese credit bond markets?

Marti G. Subrahmanyam, Jingyuan Mo
13 citations
The Journal of Finance and Data Science
Credit Risk and Financial Regulations
3.23
article

What drives liquidity in the Chinese credit bond markets?

Marti G. Subrahmanyam, Jingyuan Mo
article en
13 citations

Abstract

We study the drivers and pricing of liquidity in the Chinese credit bond markets. We document that the liquidity and liquidity effects priced into yield spreads differ significantly across the four major credit bond categories and the two parallel trading venues: the interbank over-the-counter and exchange markets. We analyze the levels of liquidity and the pricing of liquidity effects into credit bond yield spreads using three counterfactuals: a collateral shock to repo eligibility, a crackdown on agent-holding activities, and four liberalization shocks on foreign investment. We identify the bond risk and macroeconomic channels as significant influences on liquidity effects but not the information channel. Our empirical findings are robust to a battery of tests.

The Journal of Finance and Data ScienceVol. 10
New York University (US)
Decent work and economic growth
Openalex Percentile: Top 7%
Credit Risk and Financial Regulations
3.23
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.