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

The Microstructure of the UK gilt market

  • James Proudman

This paper is a detailed study of trading patterns in the gilt market - based on all transactions in three gilts (6% Treasury 1999, 9 1/2% Treasury 2005, and 2 1/2% Index-linked 2016) from October 1993 to October 1994. The main finding of the paper is that order flow in the gilt market does not appear to have any significant effect on prices, market makers seem to use other information (such as public announcements and the price of the long gilt future) to set prices. The paper also finds that spreads are far narrower in the gilt market than in the equity market and that there is some tendency for spreads to fall with trade size (rather than rise as is found in the equity markets). Both these findings are consistent with a lack of information in order flow (since market makers are unlikely to lose money to more informed traders in the gilt market and so can offer better prices). Other findings include a tendency for turnover to be highest on Wednesdays and for intra-day turnover to show a 'U'-shaped pattern with trading concentrated in the early morning and late afternoon. It also finds a tendency for spreads to be wider when turnover is high.

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.bankofengland.co.uk/archive/Documents/historicpubs/workingpapers/1995/wp38.pdf
Download Restriction: no

Paper provided by Bank of England in its series Bank of England working papers with number 38.

as
in new window

Length:
Date of creation: Sep 1995
Date of revision:
Handle: RePEc:boe:boeewp:38
Contact details of provider: Postal: Publications Group Bank of England Threadneedle Street London EC2R 8AH
Phone: +44 (0)171 601 4030
Fax: +44 (0)171 601 5196
Web page: http://www.bankofengland.co.uk/
Email:


More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Perraudin,W. & Vitale,P., 1995. "Information Flows in the Foreign Exchange Markets," Cambridge Working Papers in Economics 9412, Faculty of Economics, University of Cambridge.
Full references (including those not matched with items on IDEAS)

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:boe:boeewp:38. 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: (Publications Team)

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.