Browsing Trinity Business School (Scholarly Publications) by Subject "Liquidity"

Now showing items 1-2 of 2

    • An analysis of liquidity skewness for European sovereign bond markets 

      Vigne, Samuel; Yan, Wei; Hamill, Philip; Li, Youwei; Waterworth, James (2018)
      We examine liquidity skewness by providing an analysis of bid-ask spreads for a comprehensive high-frequency dataset comprising Eurozone countries’ sovereign bonds. European sovereign bond markets exhibited increasing ...

    • Did long-memory of liquidity signal the European sovereign debt crisis? 

      Vigne, Samuel; Sun, Z.; Hamill, A.; Li, Y.; Yang, Y.C. (2019)
      This paper analyses high frequency MTS data to comprehensively evaluate the liquidity of the European sovereign bond markets before and during the European sovereign debt crisis for eleven countries. The Hill index, ...