An Empirical Study of Corporate Bond Liquidityand Its Key Determinants

• Main Authors: Chen Jeng Li, 陳正禮
• Other Authors: 蔡偉澎、邱嘉洲
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/72050391367675947287

碩士 === 輔仁大學 === 金融研究所 === 96 === The research object of this paper is corporate bond market in Taiwan. Using “Frequency” and “Trade amount” to measure the liquidity and censored regression model as the econometrics’ tools to discuss the key determinants effect corporate bond liquidity .In other words, The independent variables of this paper are the rate of CP30, TAIEX, amount issued, coupon, time to maturity, rating, the results as following: The result of the rate of CP30 variable effects corporate bond liquidity in Taiwan positively, indicate that the corporate bond holder will sell the bond as the price raise in order to gain the profit because the lower of the interest rate indirectly improve the liquidity of the corporate bond market. The result of TAIEX effects corporate bond liquidity in Taiwan negatively, indicate that when the economy condition become well, the central bank will raise the interest rate to increase the cost of corporate bond, causing firms issue less bonds to raise fund to lower the liquidity. More over, the liquidity of financial bonds is not better than other industry bonds issued. The holders of financial bonds prefer to hold the bond for a long period than trade it frequently. Because they think that the price of bond will not fluctuate dramatically. For public firms, for example, the bonds of Taiwan Power Company and CPC corporate, the bond liquidity is better than the bond that other industry issued. Finally, determinants affected the corporate bond market liquidity, for example, amount issued, coupon and time to maturity, affect the corporate bond liquidity positively and significantly. This means when the bigger amount issued, the higher coupon, the longer time to maturity and the more liquidity of the bond. Determinants affected the corporate bond market liquidity, for example, rating and categories of coupon, affect the corporate bond liquidity negatively. So, corporate bond with non-fixed rate is less liquidity than fixed rate bond and the higher rating causes less liquidity.