Liquidity Premium in the Indian Corporate Bond Market

Authors

  • Malay K. Dey Faculty Author
  • Rama Seth Professor Author
  • Sethunarayanan N Faculty Author

Abstract

We test the empirical model in Subrahmanyam et al. (2009) for the Indian corporate bond market. We obtain daily time series data for approximately four years, 2007-10 for the corporate bond market from NSE and test the hypothesis that liquidity and trading activity explains a part of the variation in yield spreads. We find mixed evidence on liquidity premium on yield spreads.

Author Biographies

  • Malay K. Dey, Faculty

    Indian Institute of Management Calcutta,
    Joka, Kolkata - 700104,
    West Bengal,

  • Rama Seth, Professor

    Indian Institute of Management Calcutta,
    Joka, Kolkata - 700104,
    West Bengal, India

  • Sethunarayanan N, Faculty

    Indian Institute of Management Calcutta,
    Joka, Kolkata - 700104,
    West Bengal

Published

2012-12-30

Issue

Vol. 1 No. 6 (2012): December 2012

Section

Articles

License

Copyright (c) 2024 Academic Research Publishers

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

Liquidity Premium in the Indian Corporate Bond Market. (2012). International Academic Research Journal of Business and Management, 1(6), 40-45. https://www.acrpub.com/index.php/iarjbm/article/view/45