Liquidity measures on the Polish sovereign panel
Cross-sectional medians of standard microstructure liquidity measures across the BondSpot panel, monthly from 2005 to today. Data are computed at the bond-day level and aggregated to monthly cross-sectional medians (means for ZTD and the composite z-score).
Bid-ask spread (basis points)
Cross-sectional median (line) plus 25th–75th percentile band across the BondSpot panel each month. Spreads in basis points of yield, computed from BondSpot best bid and best ask fixings.
Zero-trading-day share (% of bond-days)
Average share of bond-days within the cross-section for which no trades occurred. A higher series indicates a less continuously-traded panel.
Composite liquidity z-index
Standardised average of the underlying liquidity measures (BAS, Amihud, Roll, gamma, Corwin-Schultz, ZTD), with positive values indicating less liquid markets and negative values indicating more liquid markets relative to the panel-period mean.
Amihud illiquidity (median)
Cross-sectional median of the Amihud (2002) ratio: |daily return| / daily turnover. Higher values indicate larger price impact per unit traded.
Roll implicit spread (median)
Cross-sectional median of the Roll (1984) implicit spread estimator: 2 × √(-cov(Δp_t, Δp_{t-1})). Set to NA where the autocovariance is positive.
Corwin-Schultz high-low spread (median)
Cross-sectional median of the Corwin-Schultz (2012) high-low spread estimator. A robust intra-day spread proxy that doesn't require quote data.
Cross-section size — bonds in the monthly panel
Number of distinct ISINs included in the BondSpot panel each month. Drives the precision of the cross-sectional medians and means above.
Methodology: bid-ask spread (BAS) computed from BondSpot best-bid / best-ask fixings; zero-trading-day (ZTD) frequency from BondSpot turnover-volume records; Amihud (2002) illiquidity ratio; Roll (1984) implicit spread; Pastor-Stambaugh γ from daily return-on-flow regressions; Corwin-Schultz (2012) high-low spread estimator; composite z-score = mean of standardised measures. All measures computed at the bond-day level and aggregated to monthly cross-sectional medians (or means for ZTD and composite). See about page for full methodology references.