An Empirical Analysis of Transparency-Related Characteristics of European and US Sovereign Bond Markets
We examine transparency-related characteristics of European and US sovereign bond markets and relate these to differences in primary issuance approaches and the design of the different trading platforms. We highlight the existence of a winner’s curse problem in the interaction between B2C and B2B segments of the market, and we provide evidence to analyze its prevalence. We examine the problems that can arise as the result of increasing the transparency of the B2B segment of the market and use the experience of the eSpeed platform in the US to obtain insights into these effects. Our analysis is directly relevant to the policy debate about whether to apply MiFID transparency requirements to the EU sovereign bond markets: our results suggest great caution in creating an extremely homogenous and transparent trading environment for sovereign bonds.
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| Length: | 53 pages |
| Date of creation: | Aug 2006 |
| Handle: | RePEc:cbi:wpaper:9/rt/06 |
| Contact details of provider: | Postal: P.O. Box No. 559, Dame Street, Dublin 2 Phone: (01) 671 6666 Fax: (01) 671 6561 Web page: http://www.centralbank.ie Email: More information through EDIRC
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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.:
- Michael J. Fleming, 2003.
"Measuring treasury market liquidity,"
Economic Policy Review,
Federal Reserve Bank of New York, issue Sep, pages 83-108.
- Michael J. Fleming, 2001. "Measuring treasury market liquidity," Staff Reports 133, Federal Reserve Bank of New York.
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- Toni Gravelle, 1999. "The Market Microstructure of Dealership Equity and Government Securities Markets: How They Differ," CGFS Papers chapters,in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-16 Bank for International Settlements.
- S. Baranzoni & P. Bianchi & L. Lambertini, 2000. "Multiproduct Firms, Product Differentiation, and Market Structure," Working Papers 368, Dipartimento Scienze Economiche, Universita' di Bologna.
- Nimalendran, M. & Petrella, Giovanni, 2003. "Do 'thinly-traded' stocks benefit from specialist intervention?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1823-1854, September.
- J.Ramon Martinez-Resano, 2005. "Size And Heterogeneity Matter. A Microstructure-Based Analysis Of Regulation Of Secondary Markets For Government Bonds," Finance 0508007, EconWPA.
- Muscarella, Chris J. & Piwowar, Michael S., 2001. "Market microstructure and securities values: : Evidence from the Paris Bourse," Journal of Financial Markets, Elsevier, vol. 4(3), pages 209-229, June.
- Flood, M.D. & Koedijk, C.G. & van Dijk, M.A. & van Leeuwen, I.W., 2002. "Dividing the Pie," ERIM Report Series Research in Management ERS-2002-101-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. Full references (including those not matched with items on IDEAS)
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