IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

The Quality of the Italian Treasury Bond Market, Asymmetric Information and Transaction Costs

  • Stefania ALBANESI
  • Barbara RINDI

This paper analyzes the microstructure of the Italian secondary bond market and of the effects of the 1994 reform and of the introduction of anonymity in 1997. Based on a microstructure model of price formation, we evaluate the relevance of asymmetric information and other microstructure effects, by estimating the VAR representation of the model. We find that market quality improves over time, which we interpret as resulting from the 1994 reform. This is captured both by decreased first order return autocorrelation and by improvement of our market quality indicators. The introduction of anonymity substantially reduces order fragmentation by investors trying to avoid free-riding by less sophisticated traders. No significant evidence of asymmetric information is found.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.jstor.org/stable/20076253
Download Restriction: no

Article provided by ENSAE in its journal Annals of Economics and Statistics.

Volume (Year): (2000)
Issue (Month): 60 ()
Pages: 1-19

as
in new window

Handle: RePEc:adr:anecst:y:2000:i:60:p:01
Contact details of provider: Postal: 3, avenue Pierre Larousse, 92245 Malakoff Cedex
Phone: 01.41.17.51.55
Web page: http://annales.ensae.fr/
Email:


More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:adr:anecst:y:2000:i:60:p:01. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Robert Gary-Bobo)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.