RT Journal Article
T1 Stock and corporate bond liquidity: when having the same issuer induces commonality
A1 Márquez De La Cruz, Elena
A1 Martínez Cañete, Ana Rosa
A1 Nieto, Belén
AB 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.
PB Elsevier
YR 2025
FD 2025
LK https://hdl.handle.net/20.500.14352/118297
UL https://hdl.handle.net/20.500.14352/118297
LA eng
NO Márquez-de-la-Cruz, E., Martínez-Cañete, A. R., & Nieto, B. (2025). Stock and corporate bond liquidity: When having the same issuer induces commonality. The North American Journal of Economics and Finance, 77, 102384. https://doi.org/10.1016/j.najef.2025.102384
DS Docta Complutense
RD 8 abr 2025