The Transition to Electronic Trading in the Secondary Treasury Market

Bruce Mizrach () and Christopher Neely ()

Departmental Working Papers from Rutgers University, Department of Economics

Abstract: This article reviews the history of the recent shift to electronic trading in equity, foreign ex- change and fixed-income markets. We analyze a new data set: the eSpeed (Cantor Fitzgerald) electronic Treasury network. We contrast the market microstructure of eSpeed with the tradi- tional voice assisted networks that report through GovPX. The electronic market (eSpeed) has greater volume, smaller spreads and a lower estimated impact of a trade than the voice market (GovPX).

Keywords: spread; market impact; Treasury bond; microstructure; ECN (search for similar items in EconPapers)
JEL-codes: G14 G12 D4 (search for similar items in EconPapers)
Date: 2006-01-30
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Persistent link: http://EconPapers.repec.org/RePEc:rut:rutres:200603

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