TY  - UNPD
A1  - Jappelli, Ruggero
A1  - Lucke, Konrad
A1  - Pelizzon, Loriana
T1  - Price and liquidity discovery in european sovereign bonds and futures
T2  - SAFE working paper ; No. 350
N2  - This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on European governments obligations and derivatives. We split the 2019-2021 sample into three subperiods to appreciate changes in the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery occurs on the futures market, and document strong empirical support for liquidity spillovers both from the futures to the cash market as well as from the cash to the futures market.
T3  - SAFE working paper - 350 
KW  - Fixed Income
KW  - Limits to Arbitrage
KW  - Market Liquidity
Y1  - 2022
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/64604
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-646042
UR  - https://ssrn.com/abstract=4107633
IS  - May 13, 2022
PB  - SAFE
CY  - Frankfurt am Main
ER  -