Capital Commitment and Illiquidity in Corporate Bonds
研究了2006至2016年美国公司债券市场的交易成本和做市商行为，发现金融危机后银行附属做市商的资本承诺和交易规模下降，而非银行做市商的市场参与增加，表明流动性提供模式正在转变，且危机后银行监管可能对此有影响。
ABSTRACT We study trading costs and dealer behavior in U.S. corporate bond markets from 2006 to 2016. Despite a temporary spike during the financial crisis, average trade execution costs have not increased notably over time. However, dealer capital commitment, turnover, block trade frequency, and average trade size decreased during the financial crisis and thereafter. These declines are attributable to bank‐affiliated dealers, as nonbank dealers have increased their market commitment. Our evidence indicates that liquidity provision in the corporate bond markets is evolving away from the commitment of bank‐affiliated dealer capital to absorb customer imbalances, and that postcrisis banking regulations likely contribute.