liquidity. We propose two competing hypotheses: the transparency spillover hypothesis and the illiquidity spillover hypothesis … enforcement has positive impact on the transparency of the stock market, resulting in higher stock liquidity. The illiquidity …' incentive to commit capital and provide liquidity in the bond market. We find strong support for the illiquidity spillover …

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 …

We consider the effects of quantitative easing on the liquidity of the Swedish government bonds. To capture multiple … dimensions of liquidity we use several measures built on a unique and highly granular transaction-based dataset. We find that the … Riksbank's purchases of government bonds improved liquidity, but only to a point. In fact, the deterioration in the level of …

a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average …