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. …

, 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 …

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek … the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery …

and NGEU initiatives helped improve EU bonds' market liquidity from previously low levels, also reducing liquidity risk … premia. Eurosystem purchases and holdings of EU bonds did not impair market liquidity. Currently, one obstacle to EU bonds …