Sun, Zhuowei and Dunne, Peter G. and Li, Youwei (2015): Price Discovery in the DualPlatform US Treasury Market.

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Abstract
Interdealer trading in US Treasury securities is almost equally divided between two electronic trading platforms that have only slight differences in terms of their relative liquidity and transparency. BrokerTec is more active in the trading of 2, 5, and 10year Tnotes while eSpeed has more active trading in the 30year bond. Over the period studied, eSpeed provides a more pretrade transparent platform than BrokerTec. We examine the contribution to ‘price discovery’ of activity in the two platforms using high frequency data. We find that price discovery does not derive equally from the two platforms and that the shares vary across term to maturity. This can be traced to differential trading activities and transparency of the two platforms.
Item Type:  MPRA Paper 

Original Title:  Price Discovery in the DualPlatform US Treasury Market 
Language:  English 
Keywords:  Microstructure; Treasury market; Bidask spread; Price discovery 
Subjects:  C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models D  Microeconomics > D4  Market Structure, Pricing, and Design G  Financial Economics > G1  General Financial Markets > G10  General G  Financial Economics > G1  General Financial Markets > G12  Asset Pricing ; Trading Volume ; Bond Interest Rates G  Financial Economics > G1  General Financial Markets > G14  Information and Market Efficiency ; Event Studies ; Insider Trading 
Item ID:  61440 
Depositing User:  Dr Youwei Li 
Date Deposited:  06 Feb 2015 22:38 
Last Modified:  29 Sep 2019 08:23 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/61440 