Price discovery in government bond markets
AbstractPrice discovery in government bond markets is explored using Norwegian data including trades from both tiers of the market and dealer identities. The results show that while aggregate interdealer order flow explains one-fourth of daily yield changes, aggregate customer order flow has little explanatory power. Dealers are heterogeneously informed and appear to have different sources of information. While some dealers mainly rely on their customer trades, others appear to rely on skill in acquiring and interpreting other relevant information, suggesting that dealers play an independent role in the price discovery process.
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Bibliographic InfoPaper provided by University of Stavanger in its series UiS Working Papers in Economics and Finance with number 2011/3.
Length: 38 pages
Date of creation: 06 Apr 2011
Date of revision:
Price Discovery; Microstructure; Government Bonds; Norway;
Other versions of this item:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G30 - Financial Economics - - Corporate Finance and Governance - - - General
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