Stock and corporate bond liquidity: When having the same issuer induces commonality

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-02-06 DOI:10.1016/j.najef.2025.102384

Elena Márquez-de-la-Cruz , Ana R. Martínez-Cañete , Belén Nieto

引用次数: 0

Abstract

This paper evaluates the cross-asset co-movements of the liquidity of stocks and corporate bonds issued by the same firm, revealing a positive and significant contemporaneous relationship between the liquidity of the two assets. This finding is robust to different bond sample selection criteria, alternative methodologies, and various proxies for liquidity. Moreover, the intensity of said relationship depends on both bond and firm risk characteristics. Specifically, we find that the liquidity of bonds in the non-institutional segment of the market and the liquidity of those issued by firms with high financial risk are more strongly connected to stock liquidity shocks.

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股票和公司债券的流动性：当拥有同一发行人时，会产生共性

本文评估了同一公司发行的股票和公司债券的流动性的跨资产协同运动，揭示了两种资产的流动性之间存在显著的正相关关系。这一发现对不同的债券样本选择标准、替代方法和流动性的各种代理都是稳健的。此外，上述关系的强度取决于债券和公司的风险特征。具体而言，我们发现市场中非机构债券的流动性和高财务风险公司发行的债券的流动性与股票流动性冲击的联系更强。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.