Trade and information in the corporate bond market

Tavy Ronen and Xing Zhou

Journal of Financial Markets, 2013, vol. 16, issue 1, 61-103

Abstract: This paper examines the impact of shifting liquidity and institutional trading in the corporate bond market on inferences regarding informational efficiency. We find that when institutional trade dominance and other bond trading features are accounted for, stock leads evidenced in earlier studies surprisingly disappear. Short windows after firm-specific news releases are examined, and bond trading advantages are shown to be pronounced particularly when equity market liquidity is low (during after-market hours). Cross-sectionally, the effect of credit risk and other firm/bond level characteristics are determined. Finally, ‘top bonds’ are identified, and their common ex ante identifiable characteristics are determined.

Keywords: Bond market liquidity; Informational efficiency; Top bond; Vector auto-regression; Institutional trade; Cross market comparison (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (33)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:16:y:2013:i:1:p:61-103

DOI: 10.1016/j.finmar.2012.09.003

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