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The transition to electronic communications networks in the secondary treasury market

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  • Bruce Mizrach
  • Christopher J. Neely

Abstract

This article reviews the history of the recent shift to electronic trading in equity, foreign exchange, and fixed-income markets. The authors analyze a new data set: the eSpeed electronic Treasury network. They contrast the market microstructure of the eSpeed trading platform with the traditional voice-assisted networks that report through GovPX. The electronic market (eSpeed) has greater volume, smaller spreads, and a lower estimated trade impact than the voice market (GovPX). ; Appeared earlier as Working Paper 2006-012

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File URL: http://research.stlouisfed.org/publications/review/06/11/Mizrach.pdf
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Bibliographic Info

Article provided by Federal Reserve Bank of St. Louis in its journal Review.

Volume (Year): (2006)
Issue (Month): Nov ()
Pages: 527-542

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Handle: RePEc:fip:fedlrv:y:2006:i:nov:p:527-542:n:v.88no.6

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Keywords: Electronic commerce ; Electronic funds transfers;

References

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  1. Nyborg, Kjell G. & Sundaresan, Suresh, 1996. "Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions," Journal of Financial Economics, Elsevier, Elsevier, vol. 42(1), pages 63-104, September.
  2. Nicholas Economides & Robert A. Schwartz, 1993. "Electronic Call Market Trading," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 93-19, New York University, Leonard N. Stern School of Business, Department of Economics.
  3. Bruce Mizrach, 2006. "Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility," Departmental Working Papers, Rutgers University, Department of Economics 200602, Rutgers University, Department of Economics.
  4. repec:rus:hseeco:72158 is not listed on IDEAS
  5. Bruce Mizrach & Christopher J. Neely, 2007. "Information shares in the U.S. treasury market," Working Papers, Federal Reserve Bank of St. Louis 2005-070, Federal Reserve Bank of St. Louis.
  6. Gardner Ackley & Alan S. Greenspan & Franco Modigliani, 1978. "Implications for Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 9(2), pages 507-523.
  7. Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Proceedings, Federal Reserve Bank of Cleveland, Federal Reserve Bank of Cleveland, pages 707-739.
  8. John Rust & George Hall, 2003. "Middlemen versus Market Makers: A Theory of Competitive Exchange," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 111(2), pages 353-403, April.
  9. Michael J. Fleming, 2003. "Measuring treasury market liquidity," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Sep, pages 83-108.
  10. Bank for International Settlements, 2001. "The implications of electronic trading in financial markets," CGFS Papers, Bank for International Settlements, number 16.
  11. Kenneth D. Garbade & Jeffrey F. Ingber, 2005. "The Treasury auction process: objectives, structure, and recent acquisitions," Current Issues in Economics and Finance, Federal Reserve Bank of New York, Federal Reserve Bank of New York, vol. 11(Feb).
  12. Michael J. Fleming, 1997. "The round-the-clock market for U.S. Treasury securities," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Jul, pages 9-32.
  13. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, American Finance Association, vol. 46(1), pages 179-207, March.
  14. Michael J. Barclay & Terrence Hendershott & Kenneth Kotz, 2006. "Automation versus Intermediation: Evidence from Treasuries Going Off the Run," Journal of Finance, American Finance Association, American Finance Association, vol. 61(5), pages 2395-2414, October.
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Citations

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Cited by:
  1. Dungey, Mardi & Henry, Olan & McKenzie, Michael, 2010. "From Trade-to-Trade in US Treasuries," Working Papers, University of Tasmania, School of Economics and Finance 10446, University of Tasmania, School of Economics and Finance, revised 01 May 2010.
  2. Mardi Dungey & Michael McKenzie & Vanessa Smith, 2007. "Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market," CAMA Working Papers 2007-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  3. Susan Thomas, 2010. "Call Auctions: A Solution to Some Difficulties in Indian Finance," Working Papers id:2597, eSocialSciences.
  4. Bongjin Kim & Mark M. Suazo & John E. Prescott, . "Exploring the Cognitive Nature of Boards of Directors and Its Implication for Board Effectiveness," Working Papers, College of Business, University of Texas at San Antonio 0032, College of Business, University of Texas at San Antonio.
  5. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers, Federal Reserve Bank of St. Louis 2007-052, Federal Reserve Bank of St. Louis.
  6. Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, Elsevier, vol. 92(1), pages 1-24, April.
  7. Robert Engle & Michael Fleming & Eric Ghysels & Giang Nguyen, 2012. "Liquidity, volatility, and flights to safety in the U.S. treasury market: evidence from a new class of dynamic order book models," Staff Reports, Federal Reserve Bank of New York 590, Federal Reserve Bank of New York.
  8. Chatrath, Arjun & Christie-David, Rohan A. & Lee, Kiseop & Moore, William T., 2009. "Competitive inventory management in Treasury markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(5), pages 800-809, May.
  9. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports, Federal Reserve Bank of New York 299, Federal Reserve Bank of New York.

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