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New insights into liquidity resiliency

Conall O’Sullivan Orcid Logo, Vassilios G. Papavassiliou Orcid Logo, Ronald Wekesa Wafula Orcid Logo, Sabri Boubaker Orcid Logo

Journal of International Financial Markets, Institutions and Money, Volume: 90, Start page: 101892

Swansea University Author: Sabri Boubaker Orcid Logo

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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...

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Published in: Journal of International Financial Markets, Institutions and Money
ISSN: 1042-4431
Published: Elsevier BV 2024
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URI: https://cronfa.swan.ac.uk/Record/cronfa67531
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last_indexed 2024-11-25T14:20:21Z
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spelling 2024-10-30T10:49:25.5394544 v2 67531 2024-09-02 New insights into liquidity resiliency 43999fff86cd8a29f4815fb4dfa47729 0000-0002-6416-2952 Sabri Boubaker Sabri Boubaker true false 2024-09-02 CBAE 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. Journal Article Journal of International Financial Markets, Institutions and Money 90 101892 Elsevier BV 1042-4431 Resiliency; Liquidity; Sovereign bond markets; LASSO; High-frequency data; Market microstructure 1 1 2024 2024-01-01 10.1016/j.intfin.2023.101892 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University 2024-10-30T10:49:25.5394544 2024-09-02T15:30:52.1360711 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Conall O’Sullivan 0000-0002-4183-9246 1 Vassilios G. Papavassiliou 0000-0003-4915-3297 2 Ronald Wekesa Wafula 0000-0001-9947-019x 3 Sabri Boubaker 0000-0002-6416-2952 4 67531__32791__51e1d3a6c896497ba8720853f80fad97.pdf 67531.VoR.pdf 2024-10-30T10:47:15.5275243 Output 1407134 application/pdf Version of Record true © 2023 The Author(s). This is an open access article under the CC BY license. true eng http://creativecommons.org/licenses/by/4.0/
title New insights into liquidity resiliency
spellingShingle New insights into liquidity resiliency
Sabri Boubaker
title_short New insights into liquidity resiliency
title_full New insights into liquidity resiliency
title_fullStr New insights into liquidity resiliency
title_full_unstemmed New insights into liquidity resiliency
title_sort New insights into liquidity resiliency
author_id_str_mv 43999fff86cd8a29f4815fb4dfa47729
author_id_fullname_str_mv 43999fff86cd8a29f4815fb4dfa47729_***_Sabri Boubaker
author Sabri Boubaker
author2 Conall O’Sullivan
Vassilios G. Papavassiliou
Ronald Wekesa Wafula
Sabri Boubaker
format Journal article
container_title Journal of International Financial Markets, Institutions and Money
container_volume 90
container_start_page 101892
publishDate 2024
institution Swansea University
issn 1042-4431
doi_str_mv 10.1016/j.intfin.2023.101892
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
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hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 1
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description 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.
published_date 2024-01-01T05:23:29Z
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score 11.09611

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