RT Generic
T1 Illiquidity linkages between individual stocks and corporate bonds
A1 Márquez De La Cruz, Elena
A1 Martínez Cañete, Ana Rosa
A1 Nieto, Belén
AB This paper evaluates the cross comovements of illiquidity between stocks and corporate bonds issued by the same firm employing individual corporate bonds information from TRACE from July 2002 to December 2014. We analyze these relations in both a time series and a cross-sectional framework, employing different statistical approaches. Our results consistently confirm a positive linkage between the liquidity of the two assets, except for bonds in the AAA rating category. Therefore, flight to liquidity seems to arise only for very low-risk corporate bonds. Additionally, we find that the stock–bond liquidity relation strengthens with firm risk.
PB Elsevier
YR 2022
FD 2022
LK https://hdl.handle.net/20.500.14352/118479
UL https://hdl.handle.net/20.500.14352/118479
LA eng
NO de la Cruz, Elena Marquez and Martinez-Canete, Ana Rosa and Nieto, Belen, Illiquidity Linkages Between Individual Stocks and Corporate Bonds (November 19, 2022). Available at SSRN: https://ssrn.com/abstract=4281427 or http://dx.doi.org/10.2139/ssrn.4281427
DS Docta Complutense
RD 29 mar 2025