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A descriptive analysis of the Finnish treasury bond market 1991–1999

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Author Info

  • Matti Keloharju

    (Helsinki School of Economics, Finland.)

  • Markku Malkamäki

    (Evli Bank Plc)

  • Kjell G. Nyborg

    (London Business School)

  • Kristian Rydqvist

    (Norwegian School of Management)

Abstract

This paper presents a descriptive analysis of the primary and secondary market for Finnish treasury bonds. The paper focuses on three issues. First, we report basic descriptive statistics such as auction volumes and secondary market yields and volumes. Second, we estimate the revenues earned by primary dealers from the treasury bond market. Third, we analyse the development of the price of the auctioned bonds, relative to other benchmark bonds, around the time of the auction. We find evidence of a price decrease in the auctioned bond series before the auction and a price increase after the auction. This pattern is strongest for 1992–1994 when Treasury funding needs were heavy and secondary market trading volume of treasury bonds was modest.

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File URL: http://128.118.178.162/eps/fin/papers/0405/0405017.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0405017.

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Date of creation: 14 May 2004
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Handle: RePEc:wpa:wuwpfi:0405017

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Web page: http://128.118.178.162

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Keywords: treasury bond auctions; secondary market;

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References

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  1. Hasan, Iftekhar & Malkamaki, Markku & Schmiedel, Heiko, 2003. "Technology, automation, and productivity of stock exchanges: International evidence," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1743-1773, September.
  2. Ari Hyytinen & Iikka Kuosa & Tuomas Takalo, 2003. "Law or Finance: Evidence from Finland," European Journal of Law and Economics, Springer, vol. 16(1), pages 59-89, July.
  3. Kanniainen, Vesa & Leppämäki, Mikko, 2002. "Financial institutions and the allocation of talent," Research Discussion Papers 5/2002, Bank of Finland.
  4. Hasan , Iftekhar & Sarkar, Sudipto, 2002. "Banks’ option to lend, interest rate sensitivity, and credit availability," Research Discussion Papers 15/2002, Bank of Finland.
  5. Francis, Bill B & Hasan, Iftekhar & Hunter , Delroy M., 2002. "Return-volatility linkages in the international equity and currency markets," Research Discussion Papers 9/2002, Bank of Finland.
  6. Honkapohja, Seppo & Mitra, Kaushik, 2002. "Performance of monetary policy with internal central bank forecasting," Working Paper Series 0127, European Central Bank.
  7. Välimäki, Tuomas, 2002. "Bidding in fixed rate tenders: theory and experience with the ECB tenders," Research Discussion Papers 1/2002, Bank of Finland.
  8. Junttila, Juha, 2002. "Forecasting the macroeconomy with current financial market information: Europe and the United States," Research Discussion Papers 2/2002, Bank of Finland.
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Cited by:
  1. Andrea Coppola & Alessandro Girardi & Gustavo Piga, 2013. "Overcrowding Versus Liquidity In The Euro Sovereign Bond Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(4), pages 307-318, October.
  2. Keloharju, Matti & Nyborg, Kjell G & Rydqvist, Kristian, 2002. "Strategic Behaviour and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," CEPR Discussion Papers 3586, C.E.P.R. Discussion Papers.
  3. Karlo Kauko, 2004. "Links between securities settlement systems: An oligopoly theoretic approach," Industrial Organization 0405003, EconWPA.
  4. Peik Granlund, 2004. "Bank exit legislation in US, EU and Japanese financial centres," Finance 0405015, EconWPA.
  5. Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008. "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08044, University of Molise, Dept. EGSeI.
  6. Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2003. "Strategic Behavior and Underpricing in Uniform Price Auctions," Working Papers 2003.25, Fondazione Eni Enrico Mattei.
  7. Mikko Niskanen, 2004. "Lender of last resort and the moral hazard problem," Macroeconomics 0405016, EconWPA.

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