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The transition to electronic communications networks in the secondary treasury market

Author Info

  • 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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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 listed on IDEAS
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  1. Bruce Mizrach & Christopher J. Neely, 2007. "Information shares in the U.S. treasury market," Working Papers 2005-070, Federal Reserve Bank of St. Louis.
  2. 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.
  3. repec:rus:hseeco:72158 is not listed on IDEAS
  4. John Rust & George Hall, 2003. "Middlemen versus Market Makers: A Theory of Competitive Exchange," Journal of Political Economy, University of Chicago Press, vol. 111(2), pages 353-403, April.
  5. 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, vol. 11(Feb).
  6. Fleming, Michael J, 2002. "Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 707-35, August.
  7. Nicholas Economides & Robert A. Schwartz, 1993. "Electronic Call Market Trading," Working Papers 93-19, New York University, Leonard N. Stern School of Business, Department of Economics.
  8. Nyborg, Kjell G. & Sundaresan, Suresh, 1996. "Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions," Journal of Financial Economics, Elsevier, vol. 42(1), pages 63-104, September.
  9. Bank for International Settlements, 2001. "The implications of electronic trading in financial markets," CGFS Papers, Bank for International Settlements, number 16, March.
  10. Bruce Mizrach, 2006. "Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility," Departmental Working Papers 200602, Rutgers University, Department of Economics.
  11. Michael J. Fleming, 1997. "The round-the-clock market for U.S. Treasury securities," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 9-32.
  12. Michael J. Barclay & Terrence Hendershott & Kenneth Kotz, 2006. "Automation versus Intermediation: Evidence from Treasuries Going Off the Run," Journal of Finance, American Finance Association, vol. 61(5), pages 2395-2414, October.
  13. Michael J. Fleming, 2003. "Measuring treasury market liquidity," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 83-108.
  14. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
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Cited by:

  1. Romans Pancs, 2014. "Workup," Review of Economic Design, Springer;Society for Economic Design, vol. 18(1), pages 37-71, March.
  2. Tetsuo Kurosaki & Yusuke Kumano & Kota Okabe & Teppei Nagano, 2015. "Liquidity in JGB Markets: An Evaluation from Transaction Data," Bank of Japan Working Paper Series 15-E-2, Bank of Japan.
  3. 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.
  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 0032, College of Business, University of Texas at San Antonio.
  5. Susan Thomas, 2010. "Call auctions : A solution to some difficulties in Indian finance," Finance Working Papers 23028, East Asian Bureau of Economic Research.
  6. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
  7. Jose Gutierrez & Yiuman Tse, 2009. "NYSE execution quality subsequent to migration to hybrid," Review of Quantitative Finance and Accounting, Springer, vol. 33(1), pages 59-81, July.
  8. Sun, Zhuowei & Dunne, Peter G. & Li, Youwei, 2015. "Price discovery in the dual-platform US Treasury market," Global Finance Journal, Elsevier, vol. 28(C), pages 95-110.
  9. Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
  10. Dungey, Mardi & Henry, Olan & McKenzie, Michael, 2010. "From Trade-to-Trade in US Treasuries," Working Papers 10446, University of Tasmania, Tasmanian School of Business and Economics, revised 01 May 2010.
  11. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.
  12. Robert Engle & Michael J. 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 590, Federal Reserve Bank of New York.
  13. Chatrath, Arjun & Christie-David, Rohan A. & Lee, Kiseop & Moore, William T., 2009. "Competitive inventory management in Treasury markets," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 800-809, May.

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