New insights into liquidity resiliency

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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Bibliographic Details
Published in:Journal of international financial markets, institutions & money institutions & money, 2024-01, Vol.90, p.101892, Article 101892
Main Authors: O’Sullivan, Conall, Papavassiliou, Vassilios G., Wafula, Ronald Wekesa, Boubaker, Sabri
Format: Article
Language:English
Subjects:
Business administration
High-frequency data
Humanities and Social Sciences
LASSO
Liquidity
Market microstructure
Resiliency
Sovereign bond markets
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Summary: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. •We offer fresh insights into liquidity resiliency.•We study the resiliency of the European sovereign bond market.•We study the interrelationships among resiliency, volatility, returns, and CDS spreads.•We find strong commonalities in resiliency for core and periphery euro area markets.
ISSN:1042-4431
1873-0612
DOI:10.1016/j.intfin.2023.101892