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The Market Microstructure of Dealership Equity and Government Securities Markets: How They Differ

In: Market Liquidity: Research Findings and Selected Policy Implications

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  • Toni Gravelle

    (Bank of Canada)

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  • Toni Gravelle, 1999. "The Market Microstructure of Dealership Equity and Government Securities Markets: How They Differ," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-16, Bank for International Settlements.
    • Handle: RePEc:bis:biscgc:11-02
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    File URL: http://www.bis.org/publ/cgfs11gra_b.pdf
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    References listed on IDEAS

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    1. Foster, F Douglas & Viswanathan, S, 1993. "Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, American Finance Association, vol. 48(1), pages 187-211, March.
    2. Toni Gravelle, 1999. "Liquidity of the Government of Canada Securities Market: Stylised Facts and Some Market Microstructure Comparisons to the United States Treasury Market," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-37, Bank for International Settlements.
    3. Victoria Saporta, 1997. "Which Inter-dealer Market Prevails? An analysis of inter-dealer trading in opaque markets," Bank of England working papers 59, Bank of England.
    4. John Board & Charles Sutcliffe, 1996. "Trade Transparency and the London Stock Exchange," European Financial Management, European Financial Management Association, vol. 2(3), pages 355-365, November.
    5. Madhavan, Ananth & Smidt, Seymour, 1991. "A Bayesian model of intraday specialist pricing," Journal of Financial Economics, Elsevier, vol. 30(1), pages 99-134, November.
    6. Leach, J Chris & Madhavan, Ananth N, 1993. "Price Experimentation and Security Market Structure," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 375-404.
    7. Lyons, Richard K., 1996. "Optimal Transparency in a Dealer Market with an Application to Foreign Exchange," Journal of Financial Intermediation, Elsevier, vol. 5(3), pages 225-254, July.
    8. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    9. William Perraudin & Paolo Vitale, 1996. "Interdealer Trade and Information Flows in a Decentralized Foreign Exchange Market," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 73-106, National Bureau of Economic Research, Inc.
    10. Flood, Mark D, et al, 1999. "Quote Disclosure and Price Discovery in Multiple-Dealer Financial Markets," The Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 37-59.
    11. repec:bla:jfinan:v:53:y:1998:i:5:p:1623-1656 is not listed on IDEAS
    12. Vitale, Paolo, 1998. "Two months in the life of several gilt-edged market makers on the London Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 299-324, December.
    13. Pagano, Marco & Roell, Ailsa, 1996. "Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading," Journal of Finance, American Finance Association, vol. 51(2), pages 579-611, June.
    14. Ananth Madhavan & Seymour Smidt, "undated". "An Analysis of Daily Changes in Specialist Inventories and Quotations," Rodney L. White Center for Financial Research Working Papers 22-92, Wharton School Rodney L. White Center for Financial Research.
    15. Mr. Peter Dattels, 1995. "The Microstructure of Government Securities Markets," IMF Working Papers 1995/117, International Monetary Fund.
    16. Michael J. Fleming & Eli M. Remolona, 1999. "Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information," Journal of Finance, American Finance Association, vol. 54(5), pages 1901-1915, October.
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    Cited by:

    1. Medvedev, Alexei, 2001. "International investors, contagion and the Russian crisis," BOFIT Discussion Papers 6/2001, Bank of Finland Institute for Emerging Economies (BOFIT).
    2. Dunne, Peter & Moore, Michael J. & Portes, Richard, 2006. "An Empirical Analysis of Transparency-Related Characteristics of European and US Sovereign Bond Markets," Research Technical Papers 9/RT/06, Central Bank of Ireland.
    3. Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008. "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08044, University of Molise, Department of Economics.

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