The Liquidity Premium in China’s Corporate Bond Market: A Stochastic Liquidity Discount Approach

China’s bond market has been ranked third globally; however, China’s corporate bonds are significantly less liquid than its stocks. Liquidity risk is an important component in China’s corporate bond spreads. In this paper, we propose a stochastic liquidity discount factor model to evaluate the liqui...

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Bibliographic Details
Published in:	Risks (Basel) Vol. 10; no. 7; p. 130
Main Authors:	Min, Xiaoping, Ji, Min
Format:	Journal Article
Language:	English
Published:	Basel MDPI AG 01.07.2022
Subjects:	Bond markets Corporate bonds Credit risk Economic crisis Elasticity Interest rates Liquidity liquidity premium liquidity spread Merton model Monte Carlo simulation Prices Risk premiums stochastic liquidity discount Stochastic models Volatility United States > US China
ISSN:	2227-9091, 2227-9091
Online Access:	Get full text
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