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

Susan D. Jordan and David R. Kuipers

Journal of Financial Research, 2005, vol. 28, issue 1, 97-113

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.

Date: 2005
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