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What is Stock Liquidity about?
This thesis investigates the relationship between stock liquidity and credit default swap spreads using a panel data of 82 companies over 64 months. Three proxies for stock liquidity are used: bid-ask spread, Amihud illiquidity measure, and turnover ratio. The results show that higher stock liquidity leads to lower CDS spreads when controlling for other firm-level and macroeconomic factors. This establishes a link between the stock and CDS markets, and indicates that analyzing stock liquidity can help predi
- Author
- Talin Machin
- Language
- EN