ABSTRACT

Liquidity facilitates price discovery, improves market efficiency and lowers transaction costs. We make use of a novel dataset of daily bond fixings on Warsaw Stock Exchange’s official bond trading platform (2005–2018 period). Using bid-ask spreads as a proxy for market liquidity, we investigate its determinants in Poland. We find that liquidity tends to fluctuate, but has generally increased. There is robust evidence of seasonal effects, differences between security types as well as maturity and coupon size impacts. In addition, liquidity is found to be highly correlated with global factors. Findings are relevant for policymakers, public debt management and financial stability.

摘要

流动性促进价格发现，提高市场效率并降低交易成本。我们利用华沙证券交易所官方债券交易平台（2005-2018 年期间）上每日债券定价的新数据集。使用买卖价差作为市场流动性的代理，我们调查了它在波兰的决定因素。我们发现流动性趋于波动，但总体上有所增加。有强有力的证据表明季节性影响、证券类型之间的差异以及到期日和票息规模的影响。此外，发现流动性与全球因素高度相关。调查结果与决策者、公共债务管理和金融稳定相关。