1,721,205 research outputs found
The liquidity of corporate and government bonds: drivers and sensitivity to different market conditions
No full textIn this report we investigate the liquidity of the European fixed income market using a large sample of government, corporate and covered bonds. We construct a robust liquidity index, based on PCA, to aggregate several measures and proxies for liquidity and estimate a multivariate regression models to identify the main factors driving bond liquidity in ordinary times as well as in times of market stress.
We find that European bond liquidity is driven by bonds’ specific characteristics such as duration, rating, amount issued and time to maturity. The sensitivity of bond liquidity to these factors is larger
when markets are under stress
Basilea 3 e la liquidità delle obbligazioni governative in Europa
No full textÈ presentata un’analisi empirica finalizzata a identificare i fattori che guidano la liquidità delle obbligazioni societarie e dei titoli di Stato europei sia nelle fasi ordinarie sia nelle fasi di tensione di mercato. L’analisi condotta solleva interessanti implicazioni di policy circa il ruolo del rating, dell’ammontare emesso e della duration dei titoli in portafoglio delle banche e della loro idoneità a fronteggiare eventuali deflussi di cassa in caso di tensioni di liquidità. Emergono serie perplessità circa l’assenza di limiti alla concentrazione in titoli di Stato domestici, che peraltro non viene calmierata dalla previsione di limiti minimi di ratin
Order flow fragmentation and flight-to-transparency during stressed market conditions: Evidence from COVID-19
No full textThe proliferation of trading venues has resulted in a fragmented secondary markets landscape both in the US and Europe. Different factors drive the fragmentation of order flow during normal market conditions. This paper studies the composition of order flow during stressed market conditions based on the COVID-19 outbreak. We specifically investigate two related questions. Firstly, we assess whether stressed market conditions alter the level of fragmentation and, secondly, we study the choice of lit vs. dark trading when markets are under stress. As for the first question, we construct a measure to capture order flow fragmentation and find that fragmentation strongly decreases when markets are under stress (i.e., traders concentrate their order flow in fewer venues in times of market stress). This is especially the case for stocks experiencing a deeper shock in volatility. As for the second question, we find a migration of order flow from dark to lit venues when markets are under stress. Our interpretation of this finding is that traders tend to move to lit venues, where the probability of trading with an informed trader is less severe, during times of hyper-volatility. We call this evidence 'flight-to-transparency'
The conductance of alkali halides. II. Potassium chloride in sulfolane-water mixture at 35°C
No full text
Interazioni soluto-solvente. Entalpie di soluzione di alcuni elettroliti in miscele acqua-solfolano.
No full textIstituto Chimico "G. Ciamician" Università di Bologn
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