TY - JOUR T1 - Liquidity Commonality Across the Bond and CDS Markets JF - The Journal of Fixed Income SP - 26 LP - 39 DO - 10.3905/JFI.2009.19.1.026 VL - 19 IS - 1 AU - Xiaoling Pu Y1 - 2009/06/30 UR - https://pm-research.com/content/19/1/26.abstract N2 - The article examines various liquidity measures across the corporate bond and credit default swap (CDS) markets. The results, from the factor decompositions for individual liquidity measures and across various measures, show a strong liquidity commonality across the bond and CDS markets. In addition, the article finds that the liquidity common factor has significant impact on the unexplained part of the credit spread changes by default risk factors.TOPICS: Credit default swaps, fixed-income portfolio management, statistical methods ER -