Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions
The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets. The one minute-frequency limit order-book dataset is constructed from m...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-03-01
|
| Series: | Economies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7099/9/1/35 |
| _version_ | 1797541747566313472 |
|---|---|
| author | Linas Jurksas Deimante Teresiene Rasa Kanapickiene |
| author_facet | Linas Jurksas Deimante Teresiene Rasa Kanapickiene |
| author_sort | Linas Jurksas |
| collection | DOAJ |
| description | The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets. The one minute-frequency limit order-book dataset is constructed from mid-2011 until end-2017 for sovereign bonds from the six largest euro area countries. It is used for the event study and panel regression model. The event study results revealed that liquidity spill-over effects of trades exist and vary highly across different order types, direction and size of the trade, the maturity of traded bonds, and various markets. The panel regression model showed that less liquid bonds and bonds whose issuer is closer by distance to the country of the traded bond have more substantial spillover effects and, at the same time, are also more affected by trades executed in another market. These results should be of interest to bond market participants who want to limit the exposure to the liquidity spillover risk in bond markets. |
| first_indexed | 2024-03-10T13:21:08Z |
| format | Article |
| id | doaj.art-40a4302ddf124f1690e108281620b564 |
| institution | Directory Open Access Journal |
| issn | 2227-7099 |
| language | English |
| last_indexed | 2024-03-10T13:21:08Z |
| publishDate | 2021-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Economies |
| spelling | doaj.art-40a4302ddf124f1690e108281620b5642023-11-21T10:02:00ZengMDPI AGEconomies2227-70992021-03-01913510.3390/economies9010035Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market ConditionsLinas Jurksas0Deimante Teresiene1Rasa Kanapickiene2Finance Department, Faculty of Economics and Business Administration, Vilnius University, Sauletekio av. 9, 10222 Vilnius, LithuaniaFinance Department, Faculty of Economics and Business Administration, Vilnius University, Sauletekio av. 9, 10222 Vilnius, LithuaniaFinance Department, Faculty of Economics and Business Administration, Vilnius University, Sauletekio av. 9, 10222 Vilnius, LithuaniaThe purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond markets and to assess the driving factors behind the magnitude of the spill-overs between different markets. The one minute-frequency limit order-book dataset is constructed from mid-2011 until end-2017 for sovereign bonds from the six largest euro area countries. It is used for the event study and panel regression model. The event study results revealed that liquidity spill-over effects of trades exist and vary highly across different order types, direction and size of the trade, the maturity of traded bonds, and various markets. The panel regression model showed that less liquid bonds and bonds whose issuer is closer by distance to the country of the traded bond have more substantial spillover effects and, at the same time, are also more affected by trades executed in another market. These results should be of interest to bond market participants who want to limit the exposure to the liquidity spillover risk in bond markets.https://www.mdpi.com/2227-7099/9/1/35high-frequency datamarket liquiditysovereign bondsspillover |
| spellingShingle | Linas Jurksas Deimante Teresiene Rasa Kanapickiene Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions Economies high-frequency data market liquidity sovereign bonds spillover |
| title | Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions |
| title_full | Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions |
| title_fullStr | Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions |
| title_full_unstemmed | Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions |
| title_short | Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions |
| title_sort | liquidity spill overs in sovereign bond market an intra day study of trade shocks in calm and stressful market conditions |
| topic | high-frequency data market liquidity sovereign bonds spillover |
| url | https://www.mdpi.com/2227-7099/9/1/35 |
| work_keys_str_mv | AT linasjurksas liquidityspilloversinsovereignbondmarketanintradaystudyoftradeshocksincalmandstressfulmarketconditions AT deimanteteresiene liquidityspilloversinsovereignbondmarketanintradaystudyoftradeshocksincalmandstressfulmarketconditions AT rasakanapickiene liquidityspilloversinsovereignbondmarketanintradaystudyoftradeshocksincalmandstressfulmarketconditions |