Analysis of the Impact of Liquidity on the Subfederal Bonds Yield

Student: Manasova Ksenia

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.

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