Liquidity of Corporate Bond Market: Evidence from Trade Data

The aim of this work is to investigate the influence of liquidity on Russian corporate bonds yield spreads during the most recent period from 2016 to 2018 based on the sample formed by 154 corporate bonds of around 50 issuers from different sectors of the economy both financial and non-financial. The selected measures are imputed roundtrip costs, turnover ratio, bid-ask spread, issued amount and trading volume. The regression analysis was conducted by panel data approach. Based on this research in the explaining the spread of corporate yields in Russian corporate bond market only two selected liquidity measures are significant- imputed roundtrip costs and bid-ask spread. The fact that these proxies are positive and significant is consistent with other researchers. Besides, the credit rating have positive and significant effect on corporate bond yield spread as well as the coupon payment.