New Insights into Liquidity Resiliency

Conall O'Sullivan, Vassilios Papavassiliou, Ronald Wafula and Sabri Boubaker
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Conall O'Sullivan: UCD - University College Dublin [Dublin]

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Abstract: 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. \textcopyright 2023 The Author(s)

Keywords: High-frequency data; LASSO; Liquidity; Market microstructure; Resiliency; Sovereign bond markets (search for similar items in EconPapers)
Date: 2024
Note: View the original document on HAL open archive server: https://hal.science/hal-04432411v1
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Published in Journal of International Financial Markets, Institutions and Money, 2024, 90, ⟨10.1016/j.intfin.2023.101892⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04432411

DOI: 10.1016/j.intfin.2023.101892

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