Bond Market Liquidity in Thailand
DOI:
https://doi.org/10.53848/irdssru.v10i2.163795คำสำคัญ:
Bond market liquidity, Tightness, Depth.บทคัดย่อ
Bonds are an attractive investment choice. If the bond market has a high level of liquidity, it will attract both local and foreign investors. Therefore, identifying its liquidity level is vital to the decision-making process for investors. This study presents a method for measuring the liquidity in the Thai bond market by analyzing 64 monthly government bond series from 2006 to 2015. Liquidity is measured using two main components. The first is tightness, reflecting the trading cost, and the second is depth, reflecting the trading volume to outstanding bonds. The results show that bond market liquidity is high when taking trading cost into consideration. However, it can be low when taking account of the trading volume to outstanding bonds.
Bonds issued in large quantities have more liquidity. The short to medium term bonds have more liquidity than long-term, whereas benchmark bonds have more liquidity than non-benchmark. In order to increase liquidity in the Thai bond market, regulations should be put in place to stimulate trading volume in the secondary market, especially for non-benchmark, short and long-term bonds, and those issued in smaller quantities, by implementing attractive investment policies and increasing the series of outstanding bonds.
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