Study of Russian Corporate Bonds Market Microstructure

Abstract

Description of the goal, tasks and main results Paper provides first study of Russian corporate junk bond market microstructure. Goals of the paper are following: Identify factors that have impact on Price changes, Bid-Ask Spread, and yield of Junk Bonds, Construct high-yield bond portfolio to identify relationship with market. The results of this paper showed that: High-yield bond price changes and yields have poor relationship with stock and bond indexes, Simple model for estimation of bond price volatility through its bid-ask spreads for illiquid bonds was build, Empirically discovered that built high-yield bond portfolio have low beta coefficient relative to MICEX Stock Index.