Publication
Title
OTC market frictions in stressed markets
Author
Abstract
This research explores the impact of over-the-counter (OTC) market frictions on liquidity within the UK gilt market, utilising the comprehensive MiFID II dataset spanning from September 2019 to November 2020. This period encompasses the critical phase of the COVID-19 pandemic, offering a unique context to analyse the dynamics of inventory, search, and bargaining frictions that are characteristic of OTC markets. Our findings reveal a substantial statistical correlation between the exacerbation of these prevalent OTC frictions and the observable decrease in market liquidity during the heightened stress of the COVID-19 crisis. The study provides a deeper understanding of the resilience of financial markets under stress and offers insights for both policymakers and market participants on market functioning and stability.
Language
English
Source (series)
Occasional paper series / Financial Conduct Authority ; 64
Publication
London : Financial Conduct Authority , 2024
Volume/pages
41 p.
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Record
Identifier
Creation 26.03.2024
Last edited 28.03.2024
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