, 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 …

market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse …

I investigate the causal relationship between bond liquidity and stock returns. An improvement in bond liquidity can …). Moreover, average abnormal returns are significantly related to the improvement in bond liquidity and probability of informed …

large volume of similar financial instruments is likely to increase liquidity and lower yields. By contrast, providing an … assessing the balance between liquidity and overcrowding effects by EMU countries' issuance plans. Our results document a …

The likelihood of severe contractions in an asset's liquidity can feed back to the ex ante risks faced by the … individual providers of such liquidity. These self-reinforcing effects can spread to other assets through informational … find significant own- and cross-market effects that amplify liquidity contractions in the Italian and Spanish bond markets …