Price discovery in government bond markets

Siri Valseth

Journal of Financial Markets, 2013, vol. 16, issue 1, 127-151

Abstract: Price discovery in government bond markets is explored using Norwegian data including trades from both tiers of the market and dealer identities. The results show that while aggregate interdealer order flow explains one-fourth of daily yield changes, aggregate customer order flow has little explanatory power. Dealers are heterogeneously informed and appear to have different sources of information. While some dealers mainly rely on their customer trades, others appear to rely on skill in acquiring and interpreting other relevant information, suggesting that dealers play an independent role in the price discovery process.

Keywords: Dealers; Government bond markets; Order flow; Price discovery (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1386418112000201
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Price discovery in government bond markets (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:16:y:2013:i:1:p:127-151

DOI: 10.1016/j.finmar.2012.04.005

Access Statistics for this article

Journal of Financial Markets is currently edited by B. Lehmann, D. Seppi and A. Subrahmanyam

More articles in Journal of Financial Markets from Elsevier
Bibliographic data for series maintained by Catherine Liu ().