Panagiotou, Panagiotis, Jiang, Xu and Gavilan, Angel (2022) The determinants of liquidity commonality in the Euro-area sovereign bond market. European Journal of Finance. pp. 1-43. ISSN 1351-847X (Print), 1466-4364 (Online) (doi:https://doi.org/10.1080/1351847X.2022.2100269)

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Abstract

We examine time-series variation in liquidity commonality across sovereign benchmark bonds from 10 Euro-area countries, over a 7-year period using tick-by-tick data from the inter-dealer market and study how it is driven by supply determinants (funding constraints of financial intermediaries) and demand determinants (investor sentiment, uncertainty, and cross-market linkages with the equity market) of liquidity. Commonality in liquidity does change over time, tends to intensify in stress periods as well as around ECB policy meetings, and we find stronger evidence in favor of the supply side determinants.

Item Type:	Article
Uncontrolled Keywords:	liquidity commonality; eurozone sovereign bonds; MTS bond market
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory J Political Science > JN Political institutions (Europe)
Faculty / School / Research Centre / Research Group:	Faculty of Business Faculty of Business > Department of Accounting & Finance Faculty of Business > Institute of Political Economy, Governance, Finance and Accountability (IPEGFA)
Last Modified:	10 May 2023 15:07
URI:	http://gala.gre.ac.uk/id/eprint/42511

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