Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
960847 | Journal of Financial Markets | 2015 | 19 Pages |
Abstract
European government bond market segmentation has not been extensively investigated. I contribute to this scant literature by studying the market microstructure of the Italian government bond market, the largest one in the eurozone. Using a sequential trade model, I analyze the probability of informed trading (PIN) in the parallel trading of the same bond on two secondary electronic platforms: the inter-dealer MTS and the dealer-to-customer BondVision; an aspect that has never been investigated before. I find that the PIN is significantly lower in the dealer-to-customer segment than in the inter-dealer one.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Paola Paiardini,