Did long-memory of liquidity signal the European sovereign debt crisis?

This paper analyses high frequency MTS data to comprehensively evaluate the liquidity of the European sovereign bond markets before and during the European sovereign debt crisis for eleven countries. The Hill index, Generalized Hurst exponent and Dynamic Conditional Score are employed to evaluate the properties of the bid-ask spread. Sovereign bonds exhibit the stylized facts reported for a range of financial markets. The 1-min interval analysis...