On Liquidity Spillovers in Sovereign Bond Spot and Futures Markets During the COVID‐19 Outbreak

ABSTRACT We examine liquidity spillovers within and between the sovereign bond spot and futures markets in the euro area, covering the periods before, during, and after the COVID‐19‐induced dash for cash episode. Our results indicate that while liquidity spillovers were significantly amplified during the height of the crisis, the magnitude of these effects abated within a month, suggesting a rapid recovery in market liquidity conditions. Our research findings have implications for policy and can support decision‐making.