2026-06-29T08:07:20Zhttps://docta.ucm.es/rest/oai/request

oai:docta.ucm.es:20.500.14352/1184792025-05-26T18:31:17Zcom_20.500.14352_14col_20.500.14352_15

00925njm 22002777a 4500 dc Márquez De La Cruz, Elena author Martínez Cañete, Ana Rosa author Nieto, Belén author 2022 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. 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 1556-5068 10.2139/ssrn.4281427 https://hdl.handle.net/20.500.14352/118479 http://dx.doi.org/10.2139/ssrn.4281427 https://ssrn.com/abstract=4281427 Illiquidity linkages between individual stocks and corporate bonds