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DC Field | Value | Language |
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dc.contributor.author | Seth, Rama | |
dc.contributor.author | R, Sankaran | |
dc.contributor.author | N, Sethunarayanan | |
dc.date.accessioned | 2017-05-09T06:49:59Z | |
dc.date.accessioned | 2021-08-26T03:55:38Z | - |
dc.date.available | 2017-05-09T06:49:59Z | |
dc.date.available | 2021-08-26T03:55:38Z | - |
dc.date.issued | 2010-11-01 | |
dc.identifier.uri | https://ir.iimcal.ac.in:8443/jspui/handle/123456789/374 | - |
dc.description.abstract | This paper studies the effect of liquidity and other trading activities on yield spreads in the Indian bond market. The wholesale debt market (WDM) and corporate bond market segments are both examined in our paper. We have used the study of Subrahmanyam et al. (2009) as a reference tool and adapted their study for the Indian bond market1. We use time series data for the last 10 years for the Wholesale Debt Market, and the last 4 years for the Corporate Bond Market2. To our knowledge this is the first time this data has been used to study bond market liquidity in India, in recent times. Our search indicated that the last significant work was in 2003.3 This was a study of the imperfections in the Indian corporate bond market and the relationship between yields and market measures like liquidity, ratings, frequency of trading. We have used wider, more recent datasets and enlarged the scope to consider Government securities as well. Our dataset also allows us to consider the impact of the recent crisis in the financial markets worldwide. We test the hypothesis that liquidity measures and trading activity explain yield spreads. The explanatory power of the variables considered, provide an insight into the Indian bond market. We find good evidence regarding the significance of liquidity measures on yield spreads. | en_US |
dc.language.iso | en_US | en_US |
dc.publisher | INDIAN INSTITUTE OF MANAGEMENT CALCUTTA | en_US |
dc.relation.ispartofseries | WORKING PAPER SERIES;WPS No. 665/ November 2010 | |
dc.subject | Liquidity | en_US |
dc.subject | Bond Rating | en_US |
dc.subject | Yield Spread | en_US |
dc.title | A Study on Yield Spreads and Liquidity Measures in the Indian Bond Market | en_US |
dc.type | Working Paper | en_US |
Appears in Collections: | 2010 |
Files in This Item:
File | Description | Size | Format | |
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wps-665_1.pdf | 524.15 kB | Adobe PDF | ![]() View/Open |
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