A Survey of the Microstructure of Fixed-Income Markets

Hendrik Bessembinder, Chester Spatt and Kumar Venkataraman

Journal of Financial and Quantitative Analysis, 2020, vol. 55, issue 1, 1-45

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.

Date: 2020
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