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Caporale, Guglielmo Maria, 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.
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.
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