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New Insights into Liquidity Resiliency

Author

Listed:
  • Conall O'Sullivan

    (UCD - University College Dublin [Dublin])

  • Vassilios G. Papavassiliou

    (UCD - University College Dublin [Dublin])

  • Ronald Wekesa Wafula

    (UCD - University College Dublin [Dublin])

  • Sabri Boubaker

    (Métis Lab EM Normandie - EM Normandie - École de Management de Normandie)

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)

Suggested Citation

  • Conall O'Sullivan & Vassilios G. Papavassiliou & Ronald Wekesa Wafula & Sabri Boubaker, 2024. "New Insights into Liquidity Resiliency," Post-Print hal-04432411, HAL.
    • Handle: RePEc:hal:journl:hal-04432411
    DOI: 10.1016/j.intfin.2023.101892
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    More about this item

    Keywords

    High-frequency data; LASSO; Liquidity; Market microstructure; Resiliency; Sovereign bond markets;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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