The illiquidity of the Asian USD bond market : does illiquidity explain the credit spread puzzle?

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The illiquidity of the Asian USD bond market : does illiquidity explain the credit spread puzzle?

 

Author: Cheon, Byung Kyu
Title: The illiquidity of the Asian USD bond market : does illiquidity explain the credit spread puzzle?
Degree: D.B.A.
Year: 2015
Subject: Bond market -- Asia.
Foreign exchange.
Hong Kong Polytechnic University -- Dissertations
Department: Faculty of Business
Pages: 79 pages : color illustrations ; 30 cm
Language: English
InnoPac Record: http://library.polyu.edu.hk/record=b2890548
URI: http://theses.lib.polyu.edu.hk/handle/200/8451
Abstract: This thesis addresses two issues surrounding the illiquidity of the Asian USD bond market. First, using Roll's illiquidity measure, we show that the level of illiquidity of the Asian USD market is largely determined by term spread and credit spread volatility in Asia. We also explore the relationship between illiquidity in the Asian USD bond market and local bond market variables. Second, we investigate the price implications of illiquidity in the Asian USD bond market. We find that the aggregate illiquidity is able to explain the change in the Asian USD corporate bond yields, and the illiquidity in the Asian USD bond market is priced. We also find that Asian USD bond investors require more liquidity compensation than investors of US corporate bonds. Thesis findings have important implications for both asset pricing theory and the investment industry.

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