Ebbs and flows: the determinants of local currency bond market liquidity in Poland
Macroeconomics and Finance in Emerging Market Economies, 2021, vol. 14, issue 2, 200-218
Liquidity facilitates price discovery, improves market efficiency and lowers transaction costs. We make use of a novel dataset of daily bond fixings on Warsaw Stock Exchange’s official bond trading platform (2005–2018 period). Using bid-ask spreads as a proxy for market liquidity, we investigate its determinants in Poland. We find that liquidity tends to fluctuate, but has generally increased. There is robust evidence of seasonal effects, differences between security types as well as maturity and coupon size impacts. In addition, liquidity is found to be highly correlated with global factors. Findings are relevant for policymakers, public debt management and financial stability.
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:taf:macfem:v:14:y:2021:i:2:p:200-218
Ordering information: This journal article can be ordered from
Access Statistics for this article
Macroeconomics and Finance in Emerging Market Economies is currently edited by Subrata Sarkar and Ashima Goyal
More articles in Macroeconomics and Finance in Emerging Market Economies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().