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Publication type: Article in scientific journal
Type of review: Peer review (publication)
Title: Liquidity commonality in sovereign bond markets
Authors: Richter, Thomas Julian
et. al: No
DOI: 10.1016/j.iref.2021.12.001
Published in: International Review of Economics & Finance
Volume(Issue): 78
Page(s): 501
Pages to: 518
Issue Date: 2022
Publisher / Ed. Institution: Elsevier
ISSN: 1059-0560
Language: English
Subjects: Commonality; Flight-to-safety; Liquidity; Sovereign bond
Subject (DDC): 332.6: Investment
Abstract: This paper documents commonality in the liquidity of sovereign bonds. We show that local market-level liquidity changes exert a substantial influence on the liquidity of single bonds. Unlike in equity markets there is only little evidence that changes in global liquidity affect the liquidity of individual sovereign bond markets. Instead, we document the occurrence of negative cross-market correlations of liquidity across several markets and time periods. The results further suggest that diverging monetary policy and the flight-to-safety phenomenon contribute to this decoupling in liquidity correlations.
Fulltext version: Published version
License (according to publishing contract): CC BY-NC-ND 4.0: Attribution - Non commercial - No derivatives 4.0 International
Departement: School of Management and Law
Appears in collections:Publikationen School of Management and Law

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