Informed trading in parallel bond markets

Paola Paiardini

Journal of Financial Markets, 2015, vol. 26, issue C, 103-121

Abstract: European government bond market segmentation has not been extensively investigated. I contribute to this scant literature by studying the market microstructure of the Italian government bond market, the largest one in the eurozone. Using a sequential trade model, I analyze the probability of informed trading (PIN) in the parallel trading of the same bond on two secondary electronic platforms: the inter-dealer MTS and the dealer-to-customer BondVision; an aspect that has never been investigated before. I find that the PIN is significantly lower in the dealer-to-customer segment than in the inter-dealer one.

Keywords: Market microstructure; Informed trading; Government bonds (search for similar items in EconPapers)
JEL-codes: C51 G10 G14 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (7)

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Related works:
Working Paper: Informed Trading in Parallel Bond Markets (2009)
Working Paper: Informed Trading in Parallel Bond Markets (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:26:y:2015:i:c:p:103-121

DOI: 10.1016/j.finmar.2015.08.002

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