This work investigates liquidity in European sovereign bond markets. Liquidity in financial markets is often neglected
when it is abounded, yet evaporating liquidity results in higher costs of transacting and lower information quality of financial
markets. The analysis studies liquidity supplying trading strategies in debt markets and the impact of unconventional
central bank policies on the time variations in market liquidity. Unconventional policies have been introduced
since the global financial crisis and include asset purchase programs and long-term refinancing operations. The findings
show that liquidity supply in European bond market declines during periods of financial stress and uncertainty. Moreover,
expansive monetary policies and asset purchases can be associated with an improvement in market liquidity.