2008•The Journal of Financial ResearchRequires access
A Study of Liquidity Premium and Flight-to-liquidity Behavior Within and Cross-Market
Kim Sang Won
Open publisher page 0 citations
Abstract
This paper analyzes the liquidity premium problem and discusses the within-market flight-to-liquidity behavior in the Treasury bond market as well as the cross-market flight-to-liquidity behavior between the treasur- y and corporate bond market of China.It has been found that the flight-to-liquidity behavior among bonds with different liquidity in the Treasury bond market is significant,and investors transfer their investment into treasury bonds with higher liquidity within the market if they discover the deterioration of bond liquidity.However,the cross-market flight-to-liquidity behavior between the treasury and corporate bond market is marginal significantly