Liquidity Resilience in the UK Gilt Futures Market: Evidence from the Order Book
42 Pages Posted: 14 Aug 2018
Date Written: July 27, 2018
We analyse liquidity dynamics in the UK long gilt futures market. We use a novel order book dataset to assess liquidity resilience to sources of pressure such as policy operations or episodes of financial distress. Our results provide evidence in favour of resilience. We further show that this resilience does not come at the expense of a negative liquidity trend. These findings mitigate the potential trade-off faced by policy makers such as regulators in maintaining an adequate level of liquidity in the UK long gilt futures market.
Keywords: Gilt Future, Liquidity, Order Book, Resilience
JEL Classification: G10, G14, G18
Suggested Citation: Suggested Citation