-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a …

created a large mispricing between the market for German and Italian government bonds and their respective futures contracts … scarcity of bonds, resulting from the asset purchases, drove a wedge between the futures contracts and the underlying bonds …: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …

created a large mispricing between the market for German and Italian government bonds and their respective futures contracts … scarcity of bonds, resulting from the asset purchases, drove a wedge between the futures contracts and the underlying bonds …: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …

, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to quantify illiquidity … risks, especially such related to liquidity dry-ups, and illiquidity spillover across maturities by examining the reaction … processes. We find that: a) market liquidity is more fragile and less predictable when an asset is very illiquid and, b) the …

occurs on the futures market, and document strong empirical support for liquidity spillovers both from the futures to the …This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek …

We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a … the U.S., the determinants of German corporate bond liquidity are in line with search theories of OTC markets. Third ….S. Our results support the notion that, while market liquidity is generally higher in transparent markets, a subset of bonds …

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE … changes in rebates and requirements for DMMs, do not have any tangible effect on market liquidity. Our results are of …