Caporale, Guglielmo Maria and Girardi, Alessandro and Paesani, Paolo (2011) Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2011 (12). pp. 4-30.
CentreforEMEABankingFinanceAndEconomicsWorkingPaperSeries No.12 11.pdf - Published Version
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Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalance. It is also found that the probability of being in a specific regime is related to observable bond market characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities.
|Uncontrolled Keywords:||Centre for EMEA Banking, Finance and Economics Working Paper Series, Liquidity, trading activity, Treasury bond market, Europe, commonality|
|Subjects:||300 Social sciences > 330 Economics|
|Department:||Guildhall School of Business and Law|
|Depositing User:||David Pester|
|Date Deposited:||20 Apr 2015 10:33|
|Last Modified:||20 Apr 2015 10:33|
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