This paper finds that window dressing, bypass opportunities, market sentiment and index adjustments drive seasonal bond market liquidity effects. It uses a unique data set that combines a number of recurring event types. After controlling for other seasonal factors, liquidity is lower prior to...

This study documents that asset purchase programs can dampen market liquidity. It uses a unique dataset of global euro-denominated covered bonds, which quantitative easing has affected to a larger extent than other markets. While the start of the central bank purchases amplifies liquidity for...