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Please use this identifier to cite or link to this item: http://hdl.handle.net/2192/116

 
Title: Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market
Authors: Coluzzi, Chiara
Ginebri, Sergio
Turco, Manuel
Keywords: Liquidity
liquidity measures
Government securities
market microstructure
benchmark status.
Issue Date: 11-May-2008
Abstract: Although its importance, only recently the issue of liquidity in Treasury markets has received greater attention. We survey the literature about market liquidity and liquidity measures, and we put forward new measures. The aim is to provide a description of the liquidity of the Italian wholesale secondary market, which we describe thoroughly. We apply a large set of measures on a unique dataset, which gives us a complete view of the market. Even though the market provides an amount of liquid
...more
URI: http://hdl.handle.net/2192/116
Appears in Collections:4 - REPEC
Econpapers

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