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).
Read the short — "Six microstructure measures, one composite"How to read this page (methodology and glossary)
Microstructure liquidity measures computed at the bond-day level on the BondSpot mid- and quote panel and aggregated to monthly cross-sections from January 2005 onward. Each measure is computed under the original author's definition and then aligned on a common monthly grid so they can be combined into a single composite z-score. The composite is the equal-weight mean of within-measure z-scores (after sign-flipping the measures where lower = less liquid), so a positive composite reads as "less liquid than the sample mean".
Glossary
| BAS | Bid-ask spread, basis points of yield, from BondSpot best bid and best ask fixings; cross-sectional median per month. |
| ZTD | Zero-trading-day share, percent of bond-days in the month with no recorded BondSpot trade. |
| Amihud | Price-impact measure of Amihud (2002): absolute return divided by traded volume; sign-flipped so up = less liquid. |
| Roll | Roll (1984) effective spread from the autocovariance of price changes. |
| PS γ | Pastor-Stambaugh (2003) gamma: regression-based reversal coefficient on lagged signed volume; more negative = less liquid (sign-flipped here so up = less liquid). |
| CS | Corwin-Schultz (2012) high-low spread estimator; basis points of yield. |
| Composite z | Equal-weight mean of within-measure standardised scores. Positive = less liquid than sample mean; zero = at the sample mean. |
| Turnover | Monthly secondary-market turnover per ISIN in PLNbn; sourced from KDPW (T+0 lag) and the Min-Fin monthly bulletin (up to 2-month lag), with forward-fill on non-zero observations per ISIN. |
What each panel shows
Bid-ask spread. Cross-sectional median (line) plus 25th-75th percentile band each month, in basis points of yield.
Zero-trading-day share. Mean across the bond panel each month of the per-bond fraction of trading days with no BondSpot trade.
Composite z-index. The combined liquidity stress index; rising values signal market-wide deterioration.
Per-bond turnover. The bond-level monthly turnover panel split by source (KDPW vs Min-Fin) with the publication-lag filling logic visible.
Interpretation note: an upward arrow on the BAS, ZTD or composite-z tile means the measure rose vs the prior monthly observation, which on these particular measures means liquidity worsened. The tile colours follow the universal up = green / down = red convention; the panel notes explain the metric-specific direction of "good".
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.
Secondary-market turnover
Monthly turnover decomposition by maturity segment, BondSpot venue share of the total, and a per-bond drill-down. Min-Fin total is the universe of secondary-market trades reported by KDPW to the Polish Ministry of Finance; BondSpot is the regulated-venue subset only.
Monthly turnover by segment — Min-Fin total
Sum of monthly turnover in PLN bn, stacked by maturity segment. Short ≤1.5y, belly 1.5–7y, long >7y. Segments computed at month-start TTM, so bonds migrate between buckets as they age.
BondSpot venue share of total secondary turnover
BondSpot venue monthly turnover divided by the Min-Fin total for the same month, in percent. Tells you how much of the Polish sovereign secondary-market flow goes through the BondSpot regulated venue versus elsewhere (interbank, broker-dealer networks, foreign venues).
Outstanding stock by segment (PLN bn)
Polish State Treasury bond stock outstanding at end of month, stacked by maturity segment using TTM at month-start. Short ≤1.5y, belly 1.5–7y, long >7y. The total reflects the universe in the BondSpot panel (active sovereign bonds with at least one fixing recorded that month). Auctions add to the stock, redemptions remove from it, segment migrations move stock from long → belly → short as bonds age.
Per-bond monthly turnover history
Monthly turnover history for a chosen bond, Min-Fin outright versus BondSpot venue side by side (both outright, like-for-like). The "Live only" toggle hides bonds that have already matured.
Aggregate price of liquidity (debt & macro on BAS, TP)
Monthly time-series regressions of the outstanding-weighted bid-ask spread (BAS, in bp) and ACM term premia (in bp) on the supply and macro block, 2012:01 to 2025:12, n = 167 months, Newey-West standard errors with 12 lags. TP 10Y BC is the BRW bias-corrected ten-year term premium. Controls beyond the NBP rate (CPI YoY, EUR/PLN log-return, nominal GDP YoY, COVID dummy) are included but suppressed. Two headline results: (1) total State Treasury debt is priced into the term premium, not into the quoted spread — venue caps on BAS bind, while TP absorbs supply pressure; (2) the maturity gradient on debt and debt-to-GDP is monotonically increasing, the empirical signature of a preferred-habitat mechanism rather than a uniform additive risk channel.
| Regressor | BAS agg. (bp) | TP 2Y (bp) | TP 5Y (bp) | TP 10Y (bp) | TP 10Y BC (bp) |
|---|---|---|---|---|---|
| Total debt (per 1bn PLN) | −0.002 | 0.058* | 0.202*** | 0.231*** | 0.231** |
| SE | (0.004) | (0.034) | (0.068) | (0.089) | (0.090) |
| Foreign share (pp) | 0.141 | 0.269 | 1.279 | 1.635 | 1.298 |
| SE | (0.086) | (0.856) | (1.698) | (2.280) | (2.326) |
| NBP share (pp) | −0.244 | 0.071 | 3.946 | 3.932 | 1.426 |
| SE | (0.367) | (1.207) | (2.490) | (2.979) | (3.099) |
| Debt/GDP (pp) | 0.086 | 3.292** | 5.404** | 8.055** | 7.758** |
| SE | (0.148) | (1.437) | (2.707) | (3.726) | (3.720) |
| Gross issue 12m (per 1bn PLN) | −0.007 | −0.174 | −0.432 | −0.515 | −0.561 |
| SE | (0.017) | (0.141) | (0.302) | (0.383) | (0.392) |
| NBP rate (pp) | 0.246 | 20.71*** | 40.68*** | 53.08*** | 52.73*** |
| SE | (0.196) | (1.827) | (3.769) | (5.058) | (4.889) |
| R² | 0.315 | 0.879 | 0.897 | 0.886 | 0.882 |
| N months | 167 | 167 | 167 | 167 | 167 |
Source: Dec (2026), liquidity_paper, price-of-liquidity regressions. Significance codes: * p < 0.10, ** p < 0.05, *** p < 0.01.
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.
Source-by-source observation timestamps for every input feeding this page are listed in the Data lineage & freshness block on the home page.