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An analysis of liquidity skewness for European sovereign bond markets

Yan, Wei; Hamill, Philip; Li, Youwei; Vigne, Samuel A.; Waterworth, James

Authors

Wei Yan

Philip Hamill

Samuel A. Vigne

James Waterworth



Abstract

We examine liquidity skewness by providing an analysis of bid-ask spreads for a comprehensive high-frequency dataset comprising Eurozone countries’ sovereign bonds. European sovereign bond markets exhibited increasing positive skewness over the sample period which was most extreme for Greece, Ireland and Portugal. We argue that positive skewness reflects decreased liquidity during volatile periods. We also report negative skewness in 2007. This can be explained by a feature of the limit-order book rubric of the MTS market where market-makers can submit limit-orders that are more competitive than the current best-price to reduce unwanted inventory without having to execute a market-order.

Journal Article Type Article
Publication Date 2018-09
Journal Finance Research Letters
Print ISSN 1544-6123
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 26
Pages 274-280
APA6 Citation Yan, W., Hamill, P., Li, Y., Vigne, S. A., & Waterworth, J. (2018). An analysis of liquidity skewness for European sovereign bond markets. Finance research letters, 26, 274-280. https://doi.org/10.1016/j.frl.2018.02.027
DOI https://doi.org/10.1016/j.frl.2018.02.027
Keywords Liquidity; Skewness; Bid-ask spread; Sovereign bonds
Publisher URL https://www.sciencedirect.com/science/article/pii/S1544612318300801?via%3Dihub
Additional Information This article is maintained by: Elsevier; Article Title: An analysis of liquidity skewness for European sovereign bond markets; Journal Title: Finance Research Letters; CrossRef DOI link to publisher maintained version: https://doi.org/10.1016/j.frl.2018.02.027; Content Type: article; Copyright: © 2018 Elsevier Inc. All rights reserved.

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Copyright Statement
© 2019. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/





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