• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site
Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Nikita Shevchuk
Corporate Bonds Liquidity Factors Evaluation
2018
This research is devoted to the study of corporate bonds liquidity factors on the Russian bond market.

To achieve this goal, a review of existing studies of the bonds liquidity was conducted, on the basis of which a metric of factors and indicators was compiled. After that, using the methods of statistical analysis, the most important factors were obtained, and a composite liquidity indicator based on trading volume indicators was derived. As a result, it was studied which characteristics of corporate bonds are inherent in which levels of liquidity (within the limited sample created) using cluster analysis. Based on the obtained estimates, influence of the liquidity indicator on the liquidity premium was simulated on the sample of 100 corporate bonds for 10 quarters, as well as the same influence was simulated in the subgroups divided by the life of corporate bond, volume of the issues and credit ratings.

The study of national corporate bonds market and its current state was also conducted, and the dynamics of key indicators studied. The research was based on the information of the financial agencies Cbonds and Bloomberg, Thomson Reuters and others.

The relevance of the study is reinforced by the poor knowledge of the subject and is supported by a practical analysis of the developing weakly-studied market of corporate bonds in Russia.

The obtained practical results cannot be fundamental for making investment decisions, but can be a qualitative basis for further research, the directions for which are defined in the work.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses