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Article

Practical Applications of Measuring Bond-Level Liquidity

Vadim Konstantinovsky, Kwok Yuen Ng, Bruce D. Phelps and Barbara J. Mack
Practical Applications Spring 2017, 4 (4) DOI: https://doi.org/10.3905/pa.2017.4.4.219
Vadim Konstantinovsky
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Kwok Yuen Ng
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Bruce D. Phelps
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Barbara J. Mack
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Measuring Bond-Level Liquidity Vadim Konstantinovsky Kwok Yuen Ng Bruce D Phelps

Abstract

Liquidity has been a hot topic in recent years for investors, regulators, and economists. Accordingly, it has been the subject of countless papers, debates, round table discussions, and conference panels. And yet with all the attention focused on liquidity, no one has been able to measure it effectively.

In Measuring Bond-Level Liquidity, published in The Journal of Portfolio Management (Summer 2016), Vadim Konstantinovsky, Kwok Yuen Ng and Bruce Phelps of Barclays examine this issue in the specific context of the bond markets, which historically have not been as transparent or liquid as the mainstream equity markets. The authors introduce a Liquidity Cost Score (LCS) metric, which is a quantitative, bond-level, liquidity measure. The team uses LCS to analyze liquidity in the corporate bond market from 2007 to the present, and illustrate the value of having a rigorous, quantitative liquidity measure to better assess bond market dynamics.

  • The content is made available for your general information and use and is not intended for trading or other specific investment advice purposes or to address your particular requirements. We do not represent or endorse the accuracy or reliability of any advice, opinion, statement, or other information provided any user of this publication. Reliance upon any opinion, advice, statement, or other information shall also be at your own risk. Independent advice should be obtained before making any such decision. Any arrangements made between you and any third party named in this publication are at your sole risk.
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Practical Applications: 4 (4)
Practical Applications
Vol. 4, Issue 4
Spring 2017
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Practical Applications of Measuring Bond-Level Liquidity
Vadim Konstantinovsky, Kwok Yuen Ng, Bruce D. Phelps
Practical Applications Apr 2017, 4 (4) DOI: 10.3905/pa.2017.4.4.219

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Practical Applications of Measuring Bond-Level Liquidity
Vadim Konstantinovsky, Kwok Yuen Ng, Bruce D. Phelps
Practical Applications Apr 2017, 4 (4) DOI: 10.3905/pa.2017.4.4.219
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    • Abstract
    • Overview
    • Practical Applications
    • Key Definitions
    • Practical Applications Report
    • INFORMATION FLOWS ARE CHANGING, EVEN IN BONDS
    • LIQUIDITY DEFINED AND MEASURED – THE LIQUIDITY COST SCORE (LCS)
    • LOOKING BACK IN TIME
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