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 … to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on …

This paper analyses linkages between green, conventional (corporate and sovereign) bond markets and geopolitical risk … conventional bond markets. Green bond markets are significantly affected by sovereign and corporate bonds in both regimes, with …

are costly and basically characterized by low liquidity issues. Recently, various papers have started to analyze the … impact of liquidity on ILB yields. This paper summarizes studies concerning ILB liquidity at a glance and adds a new … estimation strategy of the liquidity premium based on Campbell & Shiller's (1996) hypothetical ILB yields. We calculate the …

the U.S., the determinants of German corporate bond liquidity are in line with search theories of OTC markets. Third …We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a … corporate bond market without trade transparency (Germany), and comparing our findings to a market with full posttrade …

the U.S., the determinants of German corporate bond liquidity are in line with search theories of OTC markets. Third …We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a … corporate bond market without trade transparency (Germany), and comparing our findings to a market with full post …

the U.S., the determinants of German corporate bond liquidity are in line with search theories of OTC markets. Third …We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a … corporate bond market without trade transparency (Germany), and comparing our findings to a market with full posttrade …

article aims to investigate the effect of investor sentiment as a systematic risk factor on speculative bond yield spreads … period extends from January 1997 to August 2014. In the VAR models, speculative bond spreads and consumer confidence index … period sentiment. Empirical findings imply that investor sentiment is a systematic risk factor in risky bond markets. …