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on Market Microstructure |
| By: | Michael J. Fleming; Bruce Mizrach |
| Abstract: | This paper assesses the microstructure of the U.S. Treasury securities market, using newly available tick data from the BrokerTec electronic trading platform. Examining trading activity, bid-ask spreads, and depth for on-the-run two-, three-, five-, ten-, and thirty-year Treasury securities, we find that market liquidity is greater than that found in earlier studies that use data only from voice-assisted brokers. We find that the price effect of trades on BrokerTec is quite small and is even smaller once order-book information is considered. Moreover, order-book information itself is shown to affect prices. We also explore a novel feature of BrokerTec—the ability to enter hidden (“iceberg”) orders—and find that, as predicted by theory, such orders are more common when price volatility is higher. |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:381&r=mst |
| By: | Schulz, Alexander; Wolff, Guntram B. |
| Abstract: | We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German states (Länder) since 1992. At a low frequency bond market integration has increased gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Länder. The current financial turmoil has abated low frequency euroarea sovereign bond bond market integration, while it has had little effect on the integration with the US and UK. Bond market integration at a high frequency band remains relatively low until October 2000, when a sharp increase in integration can be observed in all samples. The increase in high frequency integration can be attributed to electronic trading platforms becoming functional. The financial crisis does not effect high frequency integration, as no technology shock occurs. |
| Keywords: | sovereign bond market; bond market integration; EMU; electronic trading |
| JEL: | E42 G15 E44 F33 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:16900&r=mst |