In the literature, there is no consensus on a common approach to measure bond liquidity. This paper is the first to … comprehensively compare all commonly employed liquidity measures based on intraday and daily data for the U.S. corporate bond market …

This paper analyzes the drivers of bond market liquidity. The use of a unique data set of global covered bonds allows …, and seasonality. Liquidity is elevated around the issue dates of paper from the same issuer or the same country. Liquidity … investors with a higher propensity to trading in secondary markets. While liquidity is higher at the start of the year and …

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 …

This paper studies how over-the-counter market liquidity is affected by securities lending. We combine micro-data on … program in 2008 caused a statistically and economically significant reduction in the market liquidity of corporate bonds … predominantly held by AIG. We also show that an important mechanism behind the decrease in corporate bond liquidity was a shift …

This paper studies how over-the-counter (OTC) market liquidity was adversely affected by the collapse of securities … on corporate bond market liquidity. We show that the collapse of AIG's securities lending programs in 2008 caused a … substantial and long-lasting reduction in the market liquidity of the corporate bonds that were predominantly held by AIG, even …

Liquidity level and liquidity risk are priced in the cross-section of corporate bond yields and returns. In the first … case the focus is on the individual liquidity level while in the second case it is on the exposure to a common liquidity … factor. In this paper we focus on the impact of the liquidity level on yield spreads by acknowledging that liquidity is a …

certainly affects the quality of the replication, and in particular, liquidity might increase the tracking error of any index …

points out that bond characteristics have a significant relation with bond liquidity. Bonds with shorter time to maturity or …

We present evidence on the evolution of liquidity in the UK corporate bond market for the period 2008–2014. On the … basis of a series of widely accepted liquidity measures, we document that there is no evidence that liquidity outcomes have … become more liquid in recent years. We also document that there is little evidence that liquidity is having a larger effect …

This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By … and market liquidity spread components in government bonds and investigate their dynamics across the Euro Area. Short … analysis to the liquidity driven bond/CDS basis to examine the proportion of systematic and idiosyncratic determinants of …