Déterminants économétrique de la liquidité du marché obligataire: Étude de cas sur l'Afrique du Sud
Forget Kapingura and Sylvanus Ikhide, University of Fort Hare, South Africa
This article analyses the main determinants of liquidity of the South African bond market applying the Vector Error Correction technique (VECM). The Two Stage Least Squares estimation (TSLS) was also applied to check for the robustness of our results. Both the impulse response and variance decomposition from the VECM show that innovations in repo rate, stock market index, volume of trading, foreign investor participation and volatility impact on bond market liquidity. The results highlight the importance of both macroeconomic and market microstructure variables as major determinants of liquidity of the South African bond market.