Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/82630
Title: Bond market liquidity : a comparison of Malta and Switzerland
Authors: Makarova, Dina (2019)
Keywords: Bonds -- Malta
Bonds -- Switzerland
Government securities -- Malta
Government securities -- Switzerland
Liquidity (Economics)
Issue Date: 2019
Citation: Makarova, D. (2019). Bond market liquidity: a comparison of Malta and Switzerland (Bachelor's dissertation).
Abstract: Liquidity of an asset is an important characteristic, which influences its price. It is also an important aspect to consider before making an investment decision. The following research is assessing and comparing the level of liquidity in government bond markets of Malta and Switzerland. There is a wide array of methods to measure liquidity in the scientific literature that considers different liquidity aspects. This study utilises high-low spread which is widely employed liquidity measure. Throughout the research, it was found that the Maltese government bond market is more liquid than the Swiss market, by having a significantly lower high-low spread. The research also identifies the possible liquidity determinants and the degree of their effect on the liquidity through the regression analysis. The highlow spread variation was taken as the dependent variable. The number of deals, average price, time to maturity and recession were considered to be appropriate explanatory variables for the regression. As a result, it was found that these four variables are explaining roughly half of the variability of the highlow spread for government bonds of both countries. Coefficients of variables were relatively low, indicating that a change in these variables will have a slight impact on the high-low spread variation. Another interesting observation was an unexpected relationship between the high-low spread and the number of deals. Contradicting the a-priori expectations, this relationship was positive. The suggested reason for that was the low amount of deals in each month for this type of bond for the chosen country.
Description: B.COM.(HONS)BANK.&FIN.
URI: https://www.um.edu.mt/library/oar/handle/123456789/82630
Appears in Collections:Dissertations - FacEma - 2019
Dissertations - FacEMABF - 2019

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