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Analysis of the Impact of Liquidity on the Subfederal Bonds Yield

Student: Ksenia Manasova

Supervisor: Vladimir V. Rossokhin

Faculty: Faculty of Economics

Educational Programme: Economics (Bachelor)

Year of Graduation: 2020

This paper presents an analysis on the effect of liquidity on the yield of sub-federal bonds. Based on a review of existing studies, an own definition of the term “liquidity”, the concept of “subfederal bonds” was formulated, projected liquidity and key indicators. Quantitative testing of hypotheses was carried out using a regression analysis model that takes into account the panel data structure, i.e. their belonging to the spatial and temporal type. Testing was conducted on 930 data from 2011 to 2020, including 275 ruble bond subfederal and municipal issues. Testing results showed that the selected liquidity indicators - turnover ratio, number of transactions completed for the period, Amihud ratio and bid-ask spread are significant in explaining the differences in profitability.

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