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A Survey of the Microstructure of Fixed-Income Markets

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  • Bessembinder, Hendrik
  • Spatt, Chester
  • Venkataraman, Kumar

Abstract

In this article, we survey the literature that studies fixed-income trading rules and outcomes, including Treasury securities, corporate and municipal bonds, and structured credit products. We compare and contrast the microstructure and regulation of fixed-income markets with equity markets. We highlight the nature of over-the-counter trading in the face of search costs and the associated slow evolution of electronically facilitated intermediation. We discuss the databases available to study fixed-income microstructure, as well as measures and determinants of trading costs, and the important roles dealer networks and limited transparency play. We also highlight unresolved issues.

Suggested Citation

  • Bessembinder, Hendrik & Spatt, Chester & Venkataraman, Kumar, 2020. "A Survey of the Microstructure of Fixed-Income Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 1-45, February.
    • Handle: RePEc:cup:jfinqa:v:55:y:2020:i:1:p:1-45_1
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