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New insights into liquidity resiliency
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Vassilios G. Papavassiliou ,
Ronald Wekesa Wafula ,
Sabri Boubaker
Journal of International Financial Markets, Institutions and Money, Volume: 90, Start page: 101892
Swansea University Author:
Sabri Boubaker
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DOI (Published version): 10.1016/j.intfin.2023.101892
Abstract
In this study we offer fresh insights into liquidity resiliency. We empirically study the resiliency of the euro area sovereign bond market across the maturity spectrum. We measure resiliency using a standard Ordinary Least Squares regression approach, along with the least absolute shrinkage and sel...
| Published in: | Journal of International Financial Markets, Institutions and Money |
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| ISSN: | 1042-4431 |
| Published: |
Elsevier BV
2024
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa67531 |
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| Abstract: |
In this study we offer fresh insights into liquidity resiliency. We empirically study the resiliency of the euro area sovereign bond market across the maturity spectrum. We measure resiliency using a standard Ordinary Least Squares regression approach, along with the least absolute shrinkage and selection operator (LASSO) machine learning approach. We find both spread-based and depth-based resiliency are negatively correlated with spreads and positively correlated with depths. Moreover, we study the interrelationships among resiliency, volatility, returns, and credit default swap (CDS) spreads. Lastly, we document strong commonalities in resiliency for core and periphery euro area markets in both calm and turbulent periods. |
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| Keywords: |
Resiliency; Liquidity; Sovereign bond markets; LASSO; High-frequency data; Market microstructure |
| College: |
Faculty of Humanities and Social Sciences |
| Start Page: |
101892 |