Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by … that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger …-causality tests and impulse responses suggest that this relationship is stronger and more persistent, and liquidity spillovers are …

Treasury securities normally possess unparalleled safety and liquidity and, consequently, carry a money premium. We use … the money premium, safety, and liquidity. Our results shed light on Treasury market dynamics specifically, and debt more …. Meanwhile, changes in liquidity only affected the money premium during the impasses. Next, we show that Treasury safety and …

the market liquidity effects of enhanced information disclosure induced by the public registration of 144A bonds. Using … the regulatory version of TRACE data for the period 2002-2013, we find that following public registration of 144A bonds … results are consistent with existing theories that disclosure reduces information risk and thus improves market liquidity …

controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …