This paper finds that both liquidity level and liquidity risk are important in explaining the cross-section of domestic government bond returns in 39 countries (both emerging and developed) around the world. After controlling for other market factors and bond characteristics, liquidity and...

The Thai bond market has seen significant growth in the years following the Asian financial crisis in 1997. Authorities have recognized the importance and the need for deep and liquid bond markets and the role it plays in enhancing financial market resilience during times of stress. Markets for...

Prior to the Asian economic crisis in 1997, the function of financial intermediation in Thailand fell almost entirely to commercial banks. Funds were mobilised mainly through bank deposits, while direct financing through the domestic bond market, both public and corporate, was relatively...

This paper examines the role of the liquidity in the pricing of sovereign U.S. dollar bonds in emerging markets. We extend Acharya and Pedersen's (2005) liquidity-adjusted capital asset pricing model to the bond market and find that both liquidity level and multiple liquidity risks are priced...

The Thai bond market has seen significant growth in the years following the Asian financial crisis in 1997. Authorities have recognized the importance and the need for deep and liquid bond markets and the role it plays in enhancing financial market resilience during times of stress. Markets for...

This paper presents the degree of under-investment in foreign assets, known as a home–bias phenomenon, in 30 developed and developing countries across the world including Thailand. We find that Thailand’s home-bias is high compared to other countries’ home-bias and it decreases at a slower...