RT Journal Article
SR Electronic
T1 Bid-Ask Spreads and the Liquidity of International Bonds
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 82
OP 91
DO 10.3905/jfi.2002.319327
VO 12
IS 2
A1 Owain AP Gwilym
A1 Lourdes Trevino
A1 Stephen H Thomas
YR 2002
UL https://pm-research.com/content/12/2/82.abstract
AB This study contributes to the literature on bond market liquidity by investigating the level and variability of bid-ask spreads for a sample of international bonds issued by sovereigns, corporates, banks, and supranational issuers. A model of the spread indicates that credit rating, price volatility, and issue size are important determinants. Pound sterling-denominated bonds have wider spreads than U.S. dollar-denominated bonds, and corporate bonds have wider spreads than sovereign bonds.