文章基本信息

标题：Liquidity Externalities and Information Spillover between the Equity and Corporate Bond Markets: An Empirical Study
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作者：Hao Yin
期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2011
卷号：3
期号：5
页码：65
DOI：10.5539/ijef.v3n5p65
出版社：Canadian Center of Science and Education
摘要：Information spillover and liquidity externality across securities is of practical importance to both practitioners and policy makers. We empirically examine how information spillover facilitates liquidity externalities between the equity and corporate bond markets. An event study was conducted by comparing the change of liquidity of stocks whose corporate bonds are TRACE-eligible with that of non-TRACE-eligible control stocks around the initiation of the TRACE system. It is found that the TRACE initiation significantly reduced the illiquidity of corresponding common stocks, which provide empirical evidence supporting the hypothesis of cross-market liquidity externalities.