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Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions
International Journal of Financial Studies Pub Date : 2021-03-11 , DOI: 10.3390/economies9010035
Linas Jurksas, Deimante Teresiene , Rasa Kanapickiene

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.

中文翻译:

主权债券市场的流动性溢出:在平静和压力大的市场条件下贸易冲击的日内研究

本文的目的是确定在欧洲主权债券市场中执行的交易的流动性溢出效应,并评估不同市场之间溢出效应背后的驱动因素。一分钟频率的限价定单数据集是从2011年中至2017年底为来自六个最大的欧元区国家的主权债券构建的。它用于事件研究和面板回归模型。事件研究结果表明,交易的流动性溢出效应存在,并且在不同的订单类型,交易方向和规模,交易债券的到期日以及各种市场之间存在很大差异。面板回归模型显示,较少的流动性债券和发行人与交易的债券的国家/地区距离较近的债券具有更大的溢出效应,同时,也更受另一个市场执行的交易的影响。这些结果对于希望限制债券市场中流动性溢出风险敞口的债券市场参与者来说应该是有意义的。
更新日期:2021-03-11
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