Factors affecting liquidity in the Nordic corporate bond market : A study on MiFiR required post trade transactions

Sammanfattning: The Nordic corporate bond market is a market growing in significance of the financial landscape, but is rather sparsely investigated due to its low transparency characteristics. Utilizing the new EU legislative framework MiFiR, this study implements a quantitative liquidity measure on transactions reported as required by MiFiR. In the study 2817 Nordic corporate bond transactions were collected and analyzed on both a bond and market level, in a liquidity context. The bond characteristics coupon size, trade frequency, trade volume, low credit rate and price were suggested to be related to bond liquidity. Market liquidity was implied to be closely dependent to the VIX-index and the volatility of the OMXS30-index. Furthermore, the suitability of today’s bond market valuation method was questioned.