Article ID Journal Published Year Pages File Type
7374310 Pacific-Basin Finance Journal 2017 20 Pages PDF
Abstract
Using bond transaction data from TRACE from 2005 to 2015, we investigate the impact of pre-trade transparency on over-the-counter bond markets, and find that NYSE pre-trade transparency reduces US corporate bond transaction costs by $846 million per year. NYSE pre-trade transparent bonds also maintain smaller standard deviation in bid-ask spreads and institutional investors face smaller bid-ask spreads when trading the pre-trade transparent bonds, suggesting that pre-trade transparency tends to favor traders rather than dealers by enhancing traders' bargaining capability.
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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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