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Title: Liquidity Premium in the Indian Corporate Bond Market
Authors: Seth, Rama
Dey, Malay
Narayanan, Sethunarayanan
Keywords: Liquidity
Bond Rating
Yield Spread
Issue Date: 2012
Publisher: AR-IIMC
International Academic Research Journal of Business and Management
Series/Report no.: 1(7)
Abstract: We test the empirical model in Subrahmanyam et al. (2009) for the Indian corporate bond market. We obtain daily time series data for approximately four years, 2007-10 for the corporate bond market from NSE and test the hypothesis that liquidity and trading activity explains a part of the variation in yield spreads.2 We find mixed evidence on liquidity premium on yield spreads
Description: Malay Dey, University of Illinois, Urbana-Champaign; Rama Seth, Department of Finance & Control, Indian Institute of Management Calcutta, Kolkata
Appears in Collections:Finance and Control

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