Erschienen in:WBS Finance Group Research Paper ; No. 117
Umfang:
1 Online-Ressource (54 p)
Sprache:
Ohne Angabe
DOI:
10.2139/ssrn.1359404
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March, 13 2009 erstellt
Beschreibung:
European sovereign bond trading occurs in a highly liquid interdealer market and a parallel dealer-customer market in which buy-side financial institutions request quotes from primary dealers. Synchronized price data from both market segments allow us to compare market quality. We find that customer transactions (i) are on average priced very favourable relative to the best interdealer quotes, (ii) feature a relatively high price dispersion at any given moment and (iii) are less price sensitive to volatility increases than the best interdealer quotes. We develop a simple dynamic model of dealer intermediation which can account for these findings. The dealers' inventory management concerns are shown to be an important determinant of customer transaction quality both in the model and in the data