Informed trading in parallel bond markets

Journal of Financial Markets - Tập 26 - Trang 103-121 - 2015
Paola Paiardini1
1Department of Economics, University of Birmingham, Edgbaston, Birmingham B15 2TT, UK

Tài liệu tham khảo

Albanesi, S., Rindi, B., 2000. The quality of the Italian treasury bond market, asymmetric information and transaction costs. Ann. Econ. Stat. 1–19. Arciero, L., 2006. Analysing private information in the Italian government bond market: a structural approach. Bank of Italy. Baker, 2013 Barclay, 2003, Competition among trading venues, J. Finance, 58, 2637, 10.1046/j.1540-6261.2003.00618.x Beber, 2009, Flight-to-quality or flight-to-liquidity? Evidence from the euro-area bond market, Rev. Financ. Stud., 22, 925, 10.1093/rfs/hhm088 BeringPoint, 2005. The Electronic Bond Market 2005: An Analysis of the Electronic Bond Market in the Eurozone. Biais, B., Declerck, F., Dow, J., Portes, R., von Thadden, E., 2006. European Corporate Bond Markets: Transparency, Liquidity, Efficiency. Centre for Economic Policy Research, City of London. Brandt, 2004, Price discovery in the US Treasury market, J. Finance, 59, 2623, 10.1111/j.1540-6261.2004.00711.x Caporale, 2013, Price discovery and trade fragmentation in a multi-market environment, J. Bank. Finance, 37, 227, 10.1016/j.jbankfin.2012.07.027 Cascino, A., Di Veglia, R., 2007. Italian Public Debt Management: The Secondary Market. Technical Report. Casey, 2006, Bond market transparency, ECMI Policy Brief, 4 Casey, J., Lannoo, K., 2005. Europe׳s Hidden Capital Markets: Evolution, Architecture and Regulation of the European Bond Market. Centre for European Policy Studies. Celent, 2004. Electronic Trading in European Fixed-income Markets. Celent, Boston. Celent, 2012. Fixed Income in Europe: Ready for the Tornado? Technical Report, Celent, Boston. Cheung, Y., De Jong, F., Rindi, B., Sarfatti, V., 2005. Trading European sovereign bonds: the microstructure of the MTS trading platforms. ECB Working Paper Series, 432. Coluzzi, C., Ginebri, S., Turco, M., 2008. Measuring and analyzing the liquidity of the Italian treasury security wholesale secondary market. Comerton-Forde, 2009, Anonymity, liquidity and fragmentation, J. Financ. Mark., 12, 337, 10.1016/j.finmar.2008.12.001 Darbha, M., Dufour, A., 2013. Measuring euro area government bond market liquidity and its asset pricing implications. Working Paper, University of Reading. De Jong, 2009 Di Veglia, R., 2007. Monitoring and Evaluating the Activity of Specialists in Italian Government Bonds. Technical Report. Drudi, 2005, Price manipulation in parallel markets with different transparency, J. Bus., 78, 1625, 10.1086/431437 Dufour, 2012, Permanent trading impacts and bond yields, Eur. J. Finance, 18, 841, 10.1080/1351847X.2011.601639 Dunne, 2007, Transparency proposals for European sovereign bond markets, J. Financ. Regul. Compliance, 15, 186, 10.1108/13581980710744075 Dunne, P., Hau, H., Moore, M.J., 2008. A tale of two platforms: dealer intermediation in the European sovereign bond market. CEPR Discussion Papers 6969. Dunne, 2007, Benchmark status in fixed-income asset markets, J. Bus. Finance Account., 34, 1615 Easley, 1997, The information content of the trading process, J. Empir. Finance, 4, 159, 10.1016/S0927-5398(97)00005-4 Easley, 1997, One day in the life of a very common stock, Rev. Financ. Stud., 10, 805, 10.1093/rfs/10.3.805 Easley, 1987, Price, trade size, and information in securities markets, J. Financ. Econ., 19, 69, 10.1016/0304-405X(87)90029-8 Easley, 1992, Time and the process of security price adjustment, J. Finance, 47, 577, 10.1111/j.1540-6261.1992.tb04402.x Favero, 2010, How does liquidity affect government bond yields?, J. Financ. Quant. Anal., 45, 107, 10.1017/S0022109009990494 Foucault, 2007, Does anonymity matter in electronic limit order markets?, Rev. Financ. Stud., 20, 1707, 10.1093/rfs/hhm027 Girardi, A., Impenna, C., 2013. Price discovery in the Italian sovereign bonds market: the role of order flow. Bank of Italy Temi di Discussione (Working Paper) No. 906. Girardi, A., Piga, 2007. On the Functioning of the Italian Secondary Bond Market: Price Discovery, Liquidity and Market Design Issues. University of Rome Tor Vegata. Technical Report, mimeo. Glosten, L., Milgrom, P., 1985. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. J. Financ. Economet. (14), 71–100. Grammig, 2001, Knowing me, knowing you, J. Financ. Mark., 4, 385, 10.1016/S1386-4181(01)00018-0 Green, 2004, Economic news and the impact of trading on bond prices, J. Finance, 59, 1201, 10.1111/j.1540-6261.2004.00660.x Gyntelberg, J., Hördahl, P., Ters, K., Urban, J., 2013. Intraday Dynamics of Euro Area Sovereign CDS and Bonds. Technical Report, Bank for International Settlements. Ito, 1998, Is there private information in the FX market? The Tokyo experiment, J. Finance, 53, 1111, 10.1111/0022-1082.00045 Li, 2009, Are liquidity and information risks priced in the treasury bond market?, J. Finance, 64, 467, 10.1111/j.1540-6261.2008.01439.x Lin, 2011, A computing bias in estimating the probability of informed trading, J. Financ. Mark., 14, 625, 10.1016/j.finmar.2011.03.001 Lojsch, H.D., Vives, R.M., Michal, S., 2011. The Size and Composition of Government Debt in the Euro Area. ECB Occasional Paper (132). Lyons, R., 2001. The microstructure approach to exchange rates. Citeseer. Nardelli, D., 2003. The Italian Experience with Primary Dealers and Secondary Market Development. Technical Report. O׳Hara, 1998 Paiardini, 2014, The impact of economic news on bond prices, J. Bank. Finance, 49, 302, 10.1016/j.jbankfin.2014.08.007 Persaud, A., 2006. Improving efficiency in the European government bond market. ICAP-Intelligence Capital. Rindi, 2008, Informed traders as liquidity providers, Rev. Finance, 12, 497, 10.1093/rof/rfm023 Scalia, A., Vacca, V., 1999. Does market transparency matter? A case study. Temi di discussione (Economic working papers) 359, Bank of Italy, Economic Research Department. Theissen, 2003, Trader anonymity, price formation and liquidity, Eur. Finance Rev., 7, 1, 10.1023/A:1022579423978