Abstract
Standard liquidity measures assume frequent trading. This note examines how depth and liquidity can be measured in regional bond markets where many securities trade rarely.
Key points
- Explains why turnover-based measures understate depth in thin markets.
- Proposes alternative measures based on issuance, holder structure and quote availability.
- Sets out the data needed for a regional bond-market depth series.
Cite this research note
Algocence Research Desk (2026). Bond Market Depth in the Caribbean: Measurement Issues. Algocence Research Note 2026-04. Ocho Rios, Jamaica: Algocence.