International Conference on Eurasian Economies
12-14 October 2011 – Bishkek, KYRGYZSTAN
Paper detail
Paper ID : 269
Status : Paper published
Language : Turkish
Topic : Finance and Financial Crises
Presenter: Asst. Prof. Dr. Serdar Kuzu
Session : 2B Finans
The Effects of the Illiquidity Premium on Security Returns and its Importantance for Eurasia
Likidite Azlığı Priminin Menkul Kıymet Getirileri Üzerinde Etkileri ve Avrasya İçin Önemi
- Asst. Prof. Dr. Serdar Kuzu (Istanbul University, Türkiye)
Abstract
This study investigates the illiquidity premium, which has major impact on Eurasian economies, and its term structure. For this aim, The Germany which is very important for Europa and Asia countries is investigated. In this study, the effects of the term structure of the illiquidity premium on government and corporate bonds and “the return of securities – illiquidity premium – expectation theory relationship” are investigated through various parameters and formulations. Consequently, the study is used to Kempf, Korn and Uhrig-Homburg’ study, which aims to investigate relations between German public sector’s bonds and private sector’s bonds and it was realized 2009. It is found that illiquidity premium varies in short, medium and long terms depending upon different factors and the curve that connects illiquidity premiums with different terms is a U shaped curve. Studies that use traditional methods in asset pricing evaluate the illiquidity premium as a systematic risk criteria. But, illiquidity is a risk factor that should be investigated alone instead of be investigated with all of the risk factors. Financial market makers aim to make arrangements that remove the problems arising from the level of liquidity, in other words increase the level of liquidity, and contribute to the formation of efficient price.Further studies in this field will be very important in the development process of corporate bonds market with the decrease of interest rates in international markets and the issue of new corporate bonds in developing countries recently.
JEL codes: E43, G12, G10
Kuzu, Serdar (2011). "The Effects of the Illiquidity Premium on Security Returns and its Importantance for Eurasia " in Proceedings of International Conference of Eurasian Economies 2011, pp.130-137, Bishkek, KYRGYZSTAN.
DOI: https://doi.org/10.36880/C02.00269
