Liquidity commonality in the secondary corporate loan market

John Anthony, Paul Docherty, Doowon Lee, Abul Shamsuddin

Research output: Contribution to journalArticleResearchpeer-review

6 Citations (Scopus)


This study is the first to examine liquidity commonality, a measure of liquidity risk, in the U.S. secondary corporate loan market. Liquidity commonality varies substantially across market states, being completely absent during more benign market conditions. The results have implications for banking portfolio management, the pricing of liquidity risk and for regulators interested in the time-variation of liquidity risk in illiquid markets.

Original languageEnglish
Pages (from-to)10-14
Number of pages5
JournalEconomics Letters
Publication statusPublished - 1 Dec 2017


  • Financial crisis
  • Liquidity
  • Liquidity commonality
  • Liquidity risk
  • Loan market
  • OTC markets

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