Illiquidity Linkages Between Individual Stocks and Corporate Bonds

  1. Márquez de la Cruz, Elena 2
  2. Matínez-Cañete, Ana Rosa 3
  3. Nieto, Belen 1
  1. 1 Universitat d'Alacant
    info

    Universitat d'Alacant

    Alicante, España

    ROR https://ror.org/05t8bcz72

  2. 2 Universidad Complutense de Madrid (UCM) - Faculty of Economics and Business Administration
  3. 3 Bard College - The Levy Economics Institute
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Revista:
SSRN Electronic Journal

ISSN: 1556-5068

Año de publicación: 2022

Páginas: 23

Tipo: Artículo

DOI: 10.2139/SSRN.4281427 GOOGLE SCHOLAR

Otras publicaciones en: SSRN Electronic Journal

Resumen

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.

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