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| Author: | Jankowitsch, R. Mösenbacher, H. Pichler, S. |
| Title: | Measuring the liquidity impact on EMU government bond prices |
| Journal: | European Journal of Finance
2006 : FEB, VOL. 12:2, p. 153-169 |
| Index terms: | bond markets EUROPEAN MONETARY SYSTEM government bonds liquidity prices |
| Language: | eng |
| Abstract: | In this article, the authors measure the effect of liquidity on European Monetary Union (EMU) government bond prices. The analysis is based on individual bond data from six major EMU government bond markets. The results suggest that the most promising liquidity proxies are the benchmark property and the number of contributors. The evidence did not support such measures as issue size or bid-ask spread to have a persistent price impact. |
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