DRIVERS OF ILLIQUIDITY IN THE ASEAN SOVEREIGN BOND MARKET

DRIVERS OF ILLIQUIDITY IN THE ASEAN SOVEREIGN BOND MARKET

We study illiquidity in ASEAN-5 sovereign bond markets from 2008 to 2019 by using an illiquidity measure, which is based on a proxy of the amount of arbitrage capital available in sovereign bond markets. Our analysis identifies three drivers of illiquidity in Singapore, namely economic policy uncert...

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Bibliographic Details
Main Authors: Harald Kinateder, Robert Bauer, Niklas Wagner
Format: Article
Language:Indonesian
Published: Bank Indonesia 2020-12-01
Series:Bulletin Ekonomi Moneter dan Perbankan
Subjects:
asean-5 countries;
arbitrage capital
illiquidity
noise measure
garch
sovereign bond market
Online Access:https://www.bmeb-bi.org/index.php/BEMP/article/view/1453

Internet

https://www.bmeb-bi.org/index.php/BEMP/article/view/1453

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