Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/236589 
Authors: 
Year of Publication: 
2018
Citation: 
[Journal:] Open Economics [ISSN:] 2451-3458 [Volume:] 1 [Issue:] 1 [Publisher:] De Gruyter [Place:] Warsaw [Year:] 2018 [Pages:] 154-166
Publisher: 
De Gruyter, Warsaw
Abstract: 
The purpose of this paper is to determine the factors that shape the liquidity levels of euro area sovereign bonds. The values of liquidity measure and explanatory variables were calculated from the limitorder book dataset for almost five hundred bonds from six largest euro area sovereign bond markets. The created variables were used in a cross-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity levels, and these effects become even stronger during the regimes of lower market liquidity. Contrary to the statements of market participants and findings of many other studies, the magnitude of trading automation and obligatory requirements imposed on dealers were found to be negatively linked with the liquidity level of sovereign bonds.
Subjects: 
bond characteristics
cross-sectional regression
liquidity level
sovereign bonds
trading features
JEL: 
C21
G12
G14
G21
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
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