Economics at your fingertips  

Noise as a liquidity measure: Evidence from the JGB market

Takahiro Hattori

Pacific-Basin Finance Journal, 2021, vol. 67, issue C

Abstract: This paper analyzes the liquidity of the fixed-income market in Japan based on the noise measure proposed by Hu, Pan, and Wang (2013). We show this measure can capture the illiquidity in the Japanese market, especially during the liquidity crisis of 2008–2009. We also demonstrate that this measure can track the commonality of liquidity in the international capital market, especially after the financial crisis. Moreover, we show that this measure can track the degree of the limits to the arbitrage in the light of the risk aversion.

Keywords: Liquidity; Commonality of liquidity; Bank of Japan; JGB; Limits to arbitrage (search for similar items in EconPapers)
JEL-codes: E43 G18 G28 H12 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.pacfin.2021.101515

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2022-07-02
Handle: RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000226