research product . 2009

Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009)

Wahyudi, Imam; Robbi, Abdu;
Open Access English
  • Published: 28 Aug 2009
Abstract
This paper studies trading volume of 206 recorded and publicly traded bonds in Indonesian Capital Market on January 4th - March 9th 2009 observed period. The data covers almost all trading data in the market and all brokers that exist. The microstructure data used in this study is a complete understanding for almost every phenomenons in the market, and thus could explain more about bond liquidity. We ind that some bonds are actively traded and most are rare. We also construct some determinant facto tests of bond trading volume, included descriptive statistic, GLS, and other formal test. We ind that bonds with larger par value and more s...
Subjects
free text keywords: Indonesia, Capital Market, C41 - Duration Analysis ; Optimal Timing Strategies, D82 - Asymmetric and Private Information ; Mechanism Design, G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates, G23 - Non-bank Financial Institutions ; Financial Instruments ; Institutional Investors, G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
79 references, page 1 of 6

Admati, A.R. and Pleeiderer,P. (1988), A Theory of Intraday Patterns: Volume and Price Variability, Review of Financial Studies, 1, 3-40.

Alexander, G.J., A.K. Edwards, and M.G, Ferri. (2000), The Determinants of Trading Volume of High-Yield Corporate Bonds, Journal of Financial Markets, 3, 177-204.

Amihud, Y. and Mendelson, H. (1991), Liquidity, Maturity, and the Yields on U.S. Treasury Securities, Journal of Finance, 46, 1411-25.

Baltagi, B.H.(2005), Econometric Analysis of Panel Data 3rd Edition, John Wiley & Sons, Ltd.

Bamber, L.S. (1986), The Information Content of Annual Earnings Releases: A Trading Volume Approach, Journal of Accounting Research, 24, 40-56.

Bamber, L.S., O.E. Barron, and Stober, T.L.(1999), Differential Interpretations and Trading Volume, Journal of Financial and Quantitative Analysis, 34, 369-86.

Bekaert, G., H. Campbell, and Lundblad, C. (2003), Liquidity and Expected Returns: Lessons from Emerging Markets, Annual Conference Paper No. 690.

Bhattacharya, S. and Constantinides, G.M. (1989), Theory of Valuation: Frontiers of Modern Financial Theory, Rowman & Littlefield Publisher, Inc.

Black, F. and Scholes, M.(1973), The Pricing of Options and Corporate Liabilities, The Journal of Political Economy, 81, 637-54.

Bluhm, C., L. Overbeck, and Wagnen, C.(2003), An Introduction to Credit Risk Modeling, CRC Press UK.

Blume, M., D. Keim, and Patel, S.(1991), Returns and Volatility of Low-Grade Bonds 1977- 1981, Journal of Finance, 46, 49-74.

Bodie, Z., A. Kane and Marcus, A.J. (2003), Investments, McGraw Hill

Brennan, M.J. and Subrahmanyam, A. (1996) , Market Microstructure and Asset Pricing: on the Compensation for Illiquidity in Stock Returns, Journal of Financial Economics, 41, 441-64.

Campbell, J. and Taksler, G.B. (2003), Equity Volatility and Corporate Bond Yields, The Journal of Finance, 58, 2321-2350. [OpenAIRE]

Chakravarty, S. and Sarkar, A. (1999), Liquidity in Fixed Income Markets: A Comparison of the Bid-Ask Spread in Corporate, Government, and Municipal Bond Markets, NBER Working Paper Series.

79 references, page 1 of 6
Any information missing or wrong?Report an Issue