best prices, as well as resiliency, i.e. how fast the different liquidity measures recover after a liquidity shock. Our … results show a somewhat less favorable image of liquidity than often found in the literature. After a liquidity shock (in the … prices and beyond in the book, and between ask and bid side of the market. -- Liquidity ; Resiliency ; Limit Order Markets …

The purpose of this paper is to determine the liquidity spillover effects of trades executed in European sovereign bond … countries. It is used for the event study and panel regression model. The event study results revealed that liquidity spill … limit the exposure to the liquidity spillover risk in bond markets. …

monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a …

monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a …

There are competing arguments about the likely effects of Sovereign Bond-Backed Securitisation on the liquidity of … sovereign bond markets. By analysing hedging and diversification opportunities, this paper shows that positive liquidity …

monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a …