Trading Activity And Price Volatility in The Municipal Bond Market  

Oleh:

Downing, Crhis ; Zhang, Frank

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 2 (Apr. 2004), page 899-932.
Topik: bond markets; securities trading volume; volatility; municipal bonds; correlation analysis; studies
Fulltext: p 899.pdf (208.39KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Utilizing a comprehensive database of transactions in municipal bonds, we investigate the volume - volatility relation in the municipal bond market. We find a positive relation between the number of transactions and a bond's price volatility. In contrast to previous studies, we find a negative relation between average deal size and price volatility. These results are found to be robust throughout the sample. Our results are inconsistent with current theoretical models of the volume -volatility relation. These inconsistencies may arise because current models fail to account for the effects of overall market liquidity on the costs of large transactions.

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