Illiquiditätsprämien im globalen Anleihenmarkt: Eine quantitative Analyse

Abstract

In times of heightened market volatility and increasing fragmentation of capital markets, the role of liquidity as a price-determining factor in the bond segment is gaining importance. While traditional valuation models primarily emphasize credit and interest rate risks, liquidity risk is often overlooked, despite clear empirical evidence of its independent impact on bond yield spreads. Against this background, the present master’s thesis is dedicated to the quantitative analysis of illiquidity premiums in the global corporate bond market. The aim is to systematically measure the illiquidity component, identify its determinants, and assess its significance within the overall credit spread. The thesis is divided into a theoretical-conceptual part and an empirical-analytical part. The first part introduces fundamental concepts of market liquidity and its measurement and discusses existing research findings on illiquidity premiums. Building upon this foundation, the empirical section applies a model to estimate the illiquidity premium. The model is based on the Relative Bid-Ask Spread (RBAS), which serves as a proxy for liquidity. Following the approach of van Loon et al. (2014), it enables the estimation of a hypothetical spread component for perfectly liquid bonds. The difference from the observed credit spread is interpreted as the illiquidity premium. The empirical analysis draws on a dataset of global corporate bonds covering the period from 2010 to 2025. The findings reveal that illiquidity premiums are particularly pronounced for issuers with lower credit ratings (e.g., BBB). In average market conditions, the premium in this segment ranges from approximately 30 to 60 bps but may exceed 150 bps during periods of financial stress. Bonds with higher credit ratings (AAA/AA), on the other hand, exhibit lower but more volatile illiquidity premiums. In stress periods such as the Covid-19 pandemic or during geopolitical crises, premiums rise significantly, reflecting elevated risk aversion among market participants. The current average illiquidity premium within the analysed sample is approximately 12 to 18 bps. An additional correlation analysis shows that macroeconomic uncertainty indicators such as the VIX, as well as monetary policy variables (e.g., interest rates set by the Federal Reserve and the European Central Bank), are partially associated with the magnitude of the illiquidity premium. The study demonstrates that illiquidity is an independent and dynamic pricing factor in the bond market that should be more explicitly considered not only in bond valuation but also in portfolio management and financial regulation. Furthermore, the thesis contributes a methodological framework for the practical measurement of illiquidity and offers starting points for future research.

Date of Award	2025
Original language	German (Austria)
Supervisor	Stefan Fink (Supervisor)