Stock and corporate bond liquidity: When having the same issuer induces commonality

Elena Márquez-de-la-Cruz, Ana R. Martínez-Cañete and Belén Nieto

The North American Journal of Economics and Finance, 2025, vol. 77, issue C

Abstract: This paper evaluates the cross-asset co-movements of the liquidity of stocks and corporate bonds issued by the same firm, revealing a positive and significant contemporaneous relationship between the liquidity of the two assets. This finding is robust to different bond sample selection criteria, alternative methodologies, and various proxies for liquidity. Moreover, the intensity of said relationship depends on both bond and firm risk characteristics. Specifically, we find that the liquidity of bonds in the non-institutional segment of the market and the liquidity of those issued by firms with high financial risk are more strongly connected to stock liquidity shocks.

Keywords: Individual illiquidity; Stocks; Corporate bonds; Firm risk; Panel estimation (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000245

DOI: 10.1016/j.najef.2025.102384

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