The Transition to Electronic Trading in the Secondary Treasury Market
AbstractThis article reviews the history of the recent shift to electronic trading in equity, foreign ex- change and fixed-income markets. We analyze a new data set: the eSpeed (Cantor Fitzgerald) electronic Treasury network. We contrast the market microstructure of eSpeed with the tradi- tional voice assisted networks that report through GovPX. The electronic market (eSpeed) has greater volume, smaller spreads and a lower estimated impact of a trade than the voice market (GovPX).
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Bibliographic InfoPaper provided by Rutgers University, Department of Economics in its series Departmental Working Papers with number 200603.
Length: 20 pages
Date of creation: 30 Jan 2006
Date of revision:
Publication status: Published in Federal Reserve Bank of St. Louis Review, 88, 2006, 527-41.
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spread; market impact; Treasury bond; microstructure; ECN;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D4 - Microeconomics - - Market Structure and Pricing
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