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

This paper examines the propagation of volatility and liquidity shocks across major sovereign bond markets during the … autoregressive model, which captures jointly the dynamics of liquidity and volatility in the government bond markets of Belgium … that liquidity is generally the more important source of shocks transmitted across borders, and this transmission largely …

impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …

about the relative effects of equity volatility and bond liquidity in the cross-section of corporate bond spreads. Our tests … reveal that while both volatility and liquidity effects are significant, volatility, representing ex-ante credit shock, has … the first-order impact, and liquidity represented by bond characteristics and price impact measure has the secondary …

This chapter examines the impact the European sovereign debt market crisis had on liquidity and volatility dynamics and …, Europe's premier electronic fixed-income trading market, is employed to construct a variety of microstructure liquidity and … time-varying correlations as well as the intertemporal interactions of liquidity proxies with volatility and returns. Our …

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. …

the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non …’ liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a … 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10 …