DRIVERS OF ILLIQUIDITY IN THE ASEAN SOVEREIGN BOND MARKET

Authors

Harald Kinateder, University of Passau - Germany
Robert Bauer, University of Passau - Germany
Niklas Wagner, University of Passau - Germany

Document Type

Article

Abstract

We study illiquidity in ASEAN-5 sovereign bond markets from 2008 to 2019 by using an illiquidity measure, which is based on a proxy of the amount of arbitrage capital available in sovereign bond markets. Our analysis identifies three drivers of illiquidity in Singapore, namely economic policy uncertainty, the default spread and the GDP growth rate. In contrast, liquidity of all other markets is mostly not characterized by economic drivers. It appears that overall liquidity is lower in the markets outside Singapore and therefore deviations in these yield curves are higher on average and arbitrage eliminates larger deviations not immediately but in a delayed manner.

Recommended Citation

Kinateder, Harald; Bauer, Robert; and Wagner, Niklas (2020) "DRIVERS OF ILLIQUIDITY IN THE ASEAN SOVEREIGN BOND MARKET," Bulletin of Monetary Economics and Banking: Vol. 23: No. 4, Article 3.
DOI: https://doi.org/10.21098/bemp.v23i4.1453
Available at: https://bulletin.bmeb-bi.org/bmeb/vol23/iss4/3

First Page

501

Last Page

524

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Germany

Affiliation

University of Passau