Information-based trading in the treasury note interdealer broker market
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
Original language | English |
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Pages (from-to) | 269-296 |
Journal / Publication | Journal of Financial Intermediation |
Volume | 11 |
Issue number | 3 |
Publication status | Published - Jul 2002 |
Link(s)
Abstract
Despite its pervasive presence in world financial markets, there are few studies of interdealer broker markets. This paper examines the trading behavior of primary dealers in the 5-year Treasury note interdealer broker market. The analysis examines trading patterns, announcement effects, and volatility-volume relations. The results show that trading frequency is consistent with activity motivated by public information or dealer's private knowledge of inventory or order flow information. Additionally, although the interdealer broker market is an anonymous electronic compilation and matching system without designated market makers, trade size does not appear to have any information content. © 2002 Elsevier Science (USA).
Research Area(s)
- Announcement effects, Information, Interdealer broker market, Volatility
Citation Format(s)
Information-based trading in the treasury note interdealer broker market. / Huang, Roger D.; Cai, Jun; Wang, Xiaozu.
In: Journal of Financial Intermediation, Vol. 11, No. 3, 07.2002, p. 269-296.
In: Journal of Financial Intermediation, Vol. 11, No. 3, 07.2002, p. 269-296.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review