• Business
  • Published 2015

Liquidity in JGB Markets: An Evaluation from Transaction Data

@inproceedings{Kurosaki2015LiquidityIJ,
  title={Liquidity in JGB Markets: An Evaluation from Transaction Data},
  author={Tetsuo Kurosaki and Yusuke Kumano and Kota Okabe and Teppei Nagano},
  year={2015}
}
There is no single, widely-accepted definition of "market liquidity" even though the expression "market liquidity is high/low" is frequently used, and measuring market liquidity is not easy. Recognizing these challenges, this paper formulates a set of new liquidity indicators using transaction data of the markets related to Japanese government bonds (JGBs), including futures, cash, and special collateral (SC) repo, thereby examining market liquidity from various angles. Traditional liquidity… CONTINUE READING

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