System-wide liquidity is an important determinant for the pricing efficiency of any asset market and bond markets are … factors on bond returns. This paper, probably the first of its kind, examines the impact of systematic factors like, liquidity …, term, remaining maturity and re-issuances on the returns of Government of India bond traded in Indian bond markets. Using …

We assess the effect of the QE2 program on the TIPS liquidity premium using a latent factor approach and a … counterfactual exercise. In the context of a state-space model for nominal and TIPS yields, we identify the TIPS liquidity premium as … the common component in TIPS yields that is unspanned by nominal yields. We then construct a counterfactual TIPS liquidity …

We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when … volume and maturity, ii) decreasing trading volume as assets age, iii) an increasing liquidity term structure when … considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U-shaped. Empirical tests using …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … volume and maturity, ii) lower trading volumes of older compared to younger assets, iii) an increasing liquidity term … structure when considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … volumes of older compared to younger assets, iii) an increasing liquidity term structure from ask prices, iv) a decreasing or … U-shaped liquidity term structure from bid prices, and v) spill-overs of liquidity from short-term to long …

We provide empirical evidence within the context of cryptocurrency markets that the returns from liquidity provision … liquidity provision are amplified in smaller, more volatile, and less liquid cryptocurrency pairs where fear of adverse … highlight the role of inventory risk and adverse selection for liquidity provision. …

measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic … processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized … Amihud provides a precise measurement of the inverse of integrated liquidity over fixed-length periods (e.g., a day, a week …

paper attempts to identify the determinants of yield spread of Government of India Bonds, controlling for various bond … finds that trades, trade interval, turnover, and coupon are the key determinants of yield spread in the Government of India …

This study examines the impacts of investor sentiment and liquidity on the idiosyncratic volatility (IVOL) anomaly … in Vietnam after controlling for FEARS sentiment index and liquidity proxies. Our findings document the persistence of … contribute new evidence of how the FEARS index and liquidity help explain the IVOL puzzle before and during the pandemic. Our …