Measuring Liquidity in Bond Markets
首次全面比较了美国公司债市场中常用的流动性度量方法，发现高频日内数据指标高度相关，而低频日度数据中Corwin和Schultz的高低点价差估计、Roll指标和Hasbrouck的Gibbs度量表现最佳。
In the literature, there is no consensus on a common approach to measure bond liquidity. This paper is the first to comprehensively compare all commonly employed liquidity measures based on intraday and daily data for the U.S. corporate bond market. We find that high-frequency measures based on intraday data are very strongly correlated, implying that previous results should be robust regarding the chosen measure. Most low-frequency proxies based on daily data generally also measure transaction costs well. However, three proxies clearly take the lead: <cross-ref type="bib" refid="B6">Corwin and Schultz's (2012)</cross-ref> high-low spread estimator, <cross-ref type="bib" refid="B38">Roll's (1984)</cross-ref> measure, and <cross-ref type="bib" refid="B23">Hasbrouck's (2009)</cross-ref> Gibbs measure. Received August 13, 2015; accepted December 5, 2015 by Editor Stefan Nagel.