A comparison of bid-ask spread proxies and determinants of bond bid-ask spread

Su, Emre; Tokmakçıoğlu, Kaya

doi:10.1016/j.bir.2020.10.005

Cited by 6 publications

(4 citation statements)

References 37 publications

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“…This means that the longer the maturity duration of an SBSN, the wider the bid-ask spread and the lower the liquidity in the secondary market. This aligns with previous research by (Su & Tokmakcioglu, 2021), concluding that time to maturity would have a negative impact on bond liquidity in the secondary market because, according to that study, shorter-term bonds are traded more frequently in the secondary market.…”

Section: Factors Affecting Sbsn Liquiditysupporting

confidence: 91%

Analysis on the Determinants of Republic of Indonesia Sovereign Sukuk Liquidity in Secondary Market

Pranata,

Rokhim

2024

devotion

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This study investigates the determinants of liquidity in Sharia Securities (SBSN) by analyzing the impact of bond-specific and macroeconomic factors on the bid-ask spread as a proxy for liquidity. Using panel data regression analysis, the study examines 62 tradable series of SBSN from 2013 to 2022, considering factors such as outstanding amount, time to maturity, yield to maturity, Rupiah exchange rate, inflation rate, reference interest rate, Indonesia Stock Exchange Composite Index (IHSG), and Indonesia Credit Default Swap (CDS). Results indicate that time to maturity, yield to maturity, central bank reference interest rate (BIRate), IHSG, and CDS significantly influence the bid-ask spread of SBSN, while outstanding amount, Rupiah exchange rate, and inflation rate do not. Additionally, analysis reveals that a strengthening IHSG and higher CDS widen the bid-ask spread, indicating reduced liquidity. These findings provide insights for stakeholders including issuers, investors, and regulators in managing SBSN liquidity in the Indonesian market.

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Section: Factors Affecting Sbsn Liquiditysupporting

confidence: 91%

Analysis on the Determinants of Republic of Indonesia Sovereign Sukuk Liquidity in Secondary Market

Pranata,

Rokhim

2024

devotion

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“…For instance, Dick-Nielsen et al ( 2012) found evidence that liquidity increases with maturity for corporate bonds. Similarly, Su and Tokmakcioglu (2021) found that short maturity narrows the bid-ask spread. Table 3 reports descriptive statistics on green bonds' yield spread for all the countries in the sample in the period between 17 September 2021 and 29 April 2022.…”

Section: Methodsmentioning

confidence: 90%

Sovereign Green Bond Market: Drivers of Yields and Liquidity

Tomczak

2024

IJFS

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The aim of this study is to analyse and assess the yields and liquidity of sovereign green bonds in selected countries and to compare the yields between sovereign green bonds and conventional bonds. Sovereign green bonds are issued by governments to finance environmental and social projects and represent a relatively new and growing asset class. This study seeks to analyse the financial performance of sovereign green bonds by examining yields and liquidity metrics, such as bid–ask spreads. The findings of this research suggest that the yield to maturity (YTM) of sovereign green bonds is influenced by conventional bond return, while conventional sovereign bonds are affected by the financial market return. Furthermore, the results confirm that the liquidity of sovereign green bonds can be explained by bond maturity.

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“…The literature presents two approaches to estimate liquidity. The first approach uses bid-ask spread data (Su & Tokmakcioglu, 2021) [10], whereas the second is based on Amihud illiquidity measure (Amihud, 2002) [2].…”

Section: Methodsmentioning

confidence: 99%

The Impact of Green Diamond Reward Rating on Liquidity Risk of ESG Exchange Traded Funds (ETFs)

Zhao¹

2023

Advances in Economics, Business and Management Research

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It is a puzzle that whether environment, social, and governance (ESG) exchange-traded fund (ETF) is a better choice for investors than buying conventional ETFs and whether ESG ETFs with higher green diamond reward ratings could have lower liquidity risk, especially during the recession. By regression analysis and fixed effect analysis, this study focuses on 83 ESG ETFs compared with 83 matched conventional ETFs and 10 anti-ESG ETFs. It collects ESG ETFs liquidity data from the WRDS database and ESG ETF lists from the Bloomberg terminal between 2016Q1 and 2022Q8. As robustness checks, the result holds for the fixed-effect model, additional measure, and two-stage least square regression. We find that there is a negative relationship between ESG ETFs' green diamond reward rating and liquidity risk. We also find that ESG ETFs have less liquidity risk compared to conventional ETFs, especially during the financial crisis. The findings of this study provide insightful guidance for investors in making an investment decision and support the hypothesis that ESG fund management could add value.

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A comparison of bid-ask spread proxies and determinants of bond bid-ask spread

Cited by 6 publications

References 37 publications

Analysis on the Determinants of Republic of Indonesia Sovereign Sukuk Liquidity in Secondary Market

Analysis on the Determinants of Republic of Indonesia Sovereign Sukuk Liquidity in Secondary Market

Sovereign Green Bond Market: Drivers of Yields and Liquidity

The Impact of Green Diamond Reward Rating on Liquidity Risk of ESG Exchange Traded Funds (ETFs)

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