TY  - UNPD
A1  - Gündüz, Yalin
A1  - Ottonello, Giorgio
A1  - Pelizzon, Loriana
A1  - Schneider, Michael
A1  - Subrahmanyam, Marti G.
T1  - Lighting up the dark : liquidity in the German corporate bond market
T2  - SAFE working paper series ; No. 230
N2  - We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with full post-trade disclosure (the U.S.). We employ a unique regulatory dataset of transactions of German financial institutions from 2008 until 2014 to find that: First, overall trading activity is much lower in the German market than in the U.S. Second, similar to the U.S., the determinants of German corporate bond liquidity are in line with search theories of OTC markets. Third, surprisingly, frequently traded German bonds have transaction costs that are 39-61 bp lower than a matched sample of bonds in the U.S. Our results support the notion that, while market liquidity is generally higher in transparent markets, a sub-set of bonds could be more liquid in more opaque markets because of investors "crowding" their demand into a small number of more actively traded securities.
T3  - SAFE working paper - 230 
KW  - Corporate Bonds
KW  - WpHG
KW  - Liquidity
KW  - Transparency
KW  - OTC markets
Y1  - 2018
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/46902
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-469026
UR  - https://ssrn.com/abstract=3253000
IS  - September 17, 2018
PB  - SAFE
CY  - Frankfurt am Main
ER  -