{"title":"流动性揭开面纱:构建指数,解读主权债券市场风险","authors":"Rintu Anthony, Krishna Prasanna, Vivek Vinod","doi":"10.1007/s10690-024-09471-w","DOIUrl":null,"url":null,"abstract":"<p>Liquidity risk poses a distinctive and multifaceted challenge in the financial arena owing to its underlying multiple dimensions. The long-term 10-year bonds exhibit high trading activity, as evidenced by the trading frequency dimension, while the trading cost dimension and existing literature support the view that short-term bonds tend to be more liquid. In this study, the objective is to address this intricacy and explore the potential commonality across various liquidity dimensions. This is done by constructing an index of liquidity risk that stands independently from these dimensions. The liquidity risk index is formed by combining the major dimensions of liquidity: price impact, trading cost, and trading frequency, resulting in a single measure of liquidity risk. Using the first principal component extraction method, the illiquidity index is studied in a sample of six emerging Asian countries. The findings indicate that the principal component (PCA) index effectively measures aggregate liquidity risk. On the pricing dynamics, it is seen that that the PCA index is significantly affecting the yield spread of bonds with a maturity of 1-year and greater. For the 3-month and 6-month bonds, the illiquidity index fails to produce any significant impact. The study thus highlights that long and medium-term investors in bonds are more concerned with liquidity risk compared to short-term investors.</p>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.5000,"publicationDate":"2024-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Liquidity Unveiled: Crafting an Index to Decode the Sovereign Bond Market Risk\",\"authors\":\"Rintu Anthony, Krishna Prasanna, Vivek Vinod\",\"doi\":\"10.1007/s10690-024-09471-w\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>Liquidity risk poses a distinctive and multifaceted challenge in the financial arena owing to its underlying multiple dimensions. The long-term 10-year bonds exhibit high trading activity, as evidenced by the trading frequency dimension, while the trading cost dimension and existing literature support the view that short-term bonds tend to be more liquid. In this study, the objective is to address this intricacy and explore the potential commonality across various liquidity dimensions. This is done by constructing an index of liquidity risk that stands independently from these dimensions. The liquidity risk index is formed by combining the major dimensions of liquidity: price impact, trading cost, and trading frequency, resulting in a single measure of liquidity risk. Using the first principal component extraction method, the illiquidity index is studied in a sample of six emerging Asian countries. The findings indicate that the principal component (PCA) index effectively measures aggregate liquidity risk. On the pricing dynamics, it is seen that that the PCA index is significantly affecting the yield spread of bonds with a maturity of 1-year and greater. For the 3-month and 6-month bonds, the illiquidity index fails to produce any significant impact. The study thus highlights that long and medium-term investors in bonds are more concerned with liquidity risk compared to short-term investors.</p>\",\"PeriodicalId\":54095,\"journal\":{\"name\":\"Asia-Pacific Financial Markets\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.5000,\"publicationDate\":\"2024-07-06\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Asia-Pacific Financial Markets\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1007/s10690-024-09471-w\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asia-Pacific Financial Markets","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s10690-024-09471-w","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
Liquidity Unveiled: Crafting an Index to Decode the Sovereign Bond Market Risk
Liquidity risk poses a distinctive and multifaceted challenge in the financial arena owing to its underlying multiple dimensions. The long-term 10-year bonds exhibit high trading activity, as evidenced by the trading frequency dimension, while the trading cost dimension and existing literature support the view that short-term bonds tend to be more liquid. In this study, the objective is to address this intricacy and explore the potential commonality across various liquidity dimensions. This is done by constructing an index of liquidity risk that stands independently from these dimensions. The liquidity risk index is formed by combining the major dimensions of liquidity: price impact, trading cost, and trading frequency, resulting in a single measure of liquidity risk. Using the first principal component extraction method, the illiquidity index is studied in a sample of six emerging Asian countries. The findings indicate that the principal component (PCA) index effectively measures aggregate liquidity risk. On the pricing dynamics, it is seen that that the PCA index is significantly affecting the yield spread of bonds with a maturity of 1-year and greater. For the 3-month and 6-month bonds, the illiquidity index fails to produce any significant impact. The study thus highlights that long and medium-term investors in bonds are more concerned with liquidity risk compared to short-term investors.
期刊介绍:
The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering.
Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome.
Officially cited as: Asia-Pac Financ Markets