Corporate Bonds Liquidity Factors Evaluation

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.