قفل در نقدینگی: نمایندگی های مشترک و حرکت مشترک در نقدینگی اوراق قرضه

In this article, I investigate common dealers in the U.S. corporate bond market as a determinant of co-movement in liquidity. Using regulatory data that identifies counterparties in bond trades, I show that a corporate bond׳s liquidity moves together with other bonds׳ liquidity traded by the same dealers. Turning to the underlying factors of this correlation, a dealer׳s trading activity is predictive of bonds׳ future liquidity. I employ a case study of bonds that are mainly traded by a major dealer that went bankrupt in 2008. One month after the bankruptcy, these bonds were still more illiquid than comparable bonds.