Measuring corporate bond liquidity in emerging market economies: price- vs quantity-based measures

□ Published by Hameed, Helwege, Li and Packer

□ Published on April 2019

□ Summary of the article:

While the Malaysian corporate bond market has grown dramatically over the last few decades, having now become one of the largest among emerging market economies, its liquidity has not progressed at a similar pace. Illiquidity may hamper access to local currency debt financing, so its measurement is an important topic for regulators and issuers. This paper investigates the liquidity of corporate bonds in Malaysia and find that quantity-based measures of liquidity appear more reliable than price-based measures.

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