Based on a large and representative data set we investigate the liquidity of Eurozone government bonds in ordinary times as well as in periods of market turmoil looking at the behavior of several liquidity indicators from 2005 to 2012. We find that the effect of adverse market conditions on...

We perform an empirical analysis to identify the main factors driving the liquidity of corporate and government bonds both in ordinary times and in times of market turmoil. Our findings highlight the importance of credit ratings, amount issued and bond duration as factors affecting bond...