流动性揭开面纱:构建指数,解读主权债券市场风险

IF 2.5 Q2 ECONOMICS
Rintu Anthony, Krishna Prasanna, Vivek Vinod
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引用次数: 0

摘要

流动性风险由于其潜在的多个维度,在金融领域构成了一个独特的、多方面的挑战。从交易频率维度来看,10 年期长期债券的交易活跃度较高,而从交易成本维度和现有文献来看,短期债券的流动性往往更高。本研究旨在解决这一复杂问题,并探索不同流动性维度之间的潜在共性。为此,我们构建了一个独立于这些维度的流动性风险指数。流动性风险指数由流动性的主要维度(价格影响、交易成本和交易频率)组合而成,从而形成一个单一的流动性风险衡量指标。利用第一主成分提取法,以六个亚洲新兴国家为样本对流动性不足指数进行了研究。研究结果表明,主成分(PCA)指数能有效衡量总体流动性风险。从定价动态来看,PCA 指数对 1 年期及以上债券的收益率差有显著影响。对于 3 个月和 6 个月的债券,流动性不足指数没有产生任何重大影响。因此,研究强调,与短期投资者相比,债券的中长期投资者更关注流动性风险。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Liquidity Unveiled: Crafting an Index to Decode the Sovereign Bond Market Risk

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.

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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
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
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