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https://doi.org/10.21256/zhaw-24052| Publication type: | Article in scientific journal |
| Type of review: | Peer review (publication) |
| Title: | Liquidity commonality in sovereign bond markets |
| Authors: | Richter, Thomas Julian |
| et. al: | No |
| DOI: | 10.1016/j.iref.2021.12.001 10.21256/zhaw-24052 |
| Published in: | International Review of Economics & Finance |
| Volume(Issue): | 78 |
| Page(s): | 501 |
| Pages to: | 518 |
| Issue Date: | 2022 |
| Publisher / Ed. Institution: | Elsevier |
| ISSN: | 1059-0560 1873-8036 |
| Language: | English |
| Subjects: | Commonality; Flight-to-safety; Liquidity; Sovereign bond |
| Subject (DDC): | 332.6: Investment |
| Abstract: | This paper documents commonality in the liquidity of sovereign bonds. We show that local market-level liquidity changes exert a substantial influence on the liquidity of single bonds. Unlike in equity markets there is only little evidence that changes in global liquidity affect the liquidity of individual sovereign bond markets. Instead, we document the occurrence of negative cross-market correlations of liquidity across several markets and time periods. The results further suggest that diverging monetary policy and the flight-to-safety phenomenon contribute to this decoupling in liquidity correlations. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/24052 |
| Fulltext version: | Published version |
| License (according to publishing contract): | CC BY-NC-ND 4.0: Attribution - Non commercial - No derivatives 4.0 International |
| Departement: | School of Management and Law |
| Appears in collections: | Publikationen School of Management and Law |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| 2022_Richter_Liquidity-commonality-sovereign-bond-markets.pdf | 1.25 MB | Adobe PDF |  View/Open |
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Richter, T. J. (2022). Liquidity commonality in sovereign bond markets. International Review of Economics & Finance, 78, 501–518. https://doi.org/10.1016/j.iref.2021.12.001
Richter, T.J. (2022) ‘Liquidity commonality in sovereign bond markets’, International Review of Economics & Finance, 78, pp. 501–518. Available at: https://doi.org/10.1016/j.iref.2021.12.001.
T. J. Richter, “Liquidity commonality in sovereign bond markets,” International Review of Economics & Finance, vol. 78, pp. 501–518, 2022, doi: 10.1016/j.iref.2021.12.001.
RICHTER, Thomas Julian, 2022. Liquidity commonality in sovereign bond markets. International Review of Economics & Finance. 2022. Bd. 78, S. 501–518. DOI 10.1016/j.iref.2021.12.001
Richter, Thomas Julian. 2022. “Liquidity Commonality in Sovereign Bond Markets.” International Review of Economics & Finance 78: 501–18. https://doi.org/10.1016/j.iref.2021.12.001.
Richter, Thomas Julian. “Liquidity Commonality in Sovereign Bond Markets.” International Review of Economics & Finance, vol. 78, 2022, pp. 501–18, https://doi.org/10.1016/j.iref.2021.12.001.
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