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END‐OF‐DAY PRICING IN THE U.S. TREASURY MARKET: A COMPARISON OF GovPX AND THE FEDERAL RESERVE BANK OF NEW YORK

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  • Susan D. Jordan
  • David R. Kuipers

Abstract

We compare end‐of‐day indicative U.S. Treasury prices from GovPX and the Federal Reserve Bank of New York (FRBNY). We find that the two sources rarely quote identical prices, and differences are not simply due to noise or rounding. The average bid price differential is 2 cents for notes and bonds, but it is only 1/10 of 1 cent for bills. Bid‐ask spreads in both sources appear to be largely artificial and contain limited information. Finally, we find that the end‐of‐day indicative FRBNY bid prices are closer to true intraday GovPX market quotes than end‐of‐day indicative quotes provided by GovPX itself.

Suggested Citation

  • Susan D. Jordan & David R. Kuipers, 2005. "END‐OF‐DAY PRICING IN THE U.S. TREASURY MARKET: A COMPARISON OF GovPX AND THE FEDERAL RESERVE BANK OF NEW YORK," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 28(1), pages 97-113, March.
    • Handle: RePEc:bla:jfnres:v:28:y:2005:i:1:p:97-113
    DOI: 10.1111/j.1475-6803.2005.00116.x
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    Cited by:

    1. Griffiths, Mark D. & Lindley, James T. & Winters, Drew B., 2010. "Market-making costs in Treasury bills: A benchmark for the cost of liquidity," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2146-2157, September.
    2. Antonio Díaz, 2009. "Retail Investors and the Trading of Treasury Securities," Journal of Financial Services Research, Springer;Western Finance Association, vol. 36(1), pages 45-63, August.

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