JOURNAL: When dealers trade faster: Duration-based liquidity in European electronic bond markets
Summary
Authors:
David J. Dekker
Mary Pieterse-Bloem
Rik Lustermans
Amir Amel-Zadeh
Dimitris Christopoulos
Heriot-Watt University
Erasmus Research Institute of Management (ERIM)
Vrije Universiteit Amsterdam, School of Business and Economics
University of Oxford
When dealers trade faster: Duration-based liquidity in European electronic bond markets
October 2025
This paper investigates how easily and how quickly European corporate bonds are traded on electronic markets. It explores liquidity using a framework that looks not only at whether a trade is likely to happen, but also at how long it takes. Using detailed data from a major trading platform, the study measures both the probability of a trade and the time it takes to complete one. The findings show that dealers’ decisions when responding to trade requests play a major role in shaping liquidity, on a level similar to well-known factors such as bond features and market conditions.