| dc.description.abstract | In this paper, we analyze and compare the liquidity in the Norwegian and Danish secondary
covered bond markets using transaction data from 2010 to 2021. With sparse transaction
data, measuring liquidity in the two markets is no easy exercise. We employ two trading
activity variables and two liquidity measures suitable for the data available.
Although the bond market in Norway is generally seen as less liquid compared to other
markets, we do not find sufficient evidence to conclude that the liquidity in the Norwegian
covered bond market is lower than the Danish. In addition, our study investigates how
liquidity in the two covered bond markets is affected during stressed market periods. In
Norway, we conclude that the market liquidity is significantly worsened during stressed
market periods compared to normal market periods. We do not find sufficient evidence
for a similar conclusion in Denmark. | en_US |
