Price discovery in the dual-platform US Treasury market

Zhuowei Sun, Peter Dunne and Youwei Li

Global Finance Journal, 2015, vol. 28, issue C, 95-110

Abstract: Inter-dealer trading in US Treasury securities is almost equally divided between two electronic trading platforms that have only slight differences in terms of their relative liquidity and transparency. BrokerTec is more active in the trading of 2-, 5-, and 10-year T-notes while eSpeed has more active trading in the 30-year bond. Over the period studied, eSpeed provides a more pre-trade transparent platform than BrokerTec. We examine the contribution to ‘price discovery’ of activity in the two platforms using high frequency data. We find that price discovery does not derive equally from the two platforms and that the shares vary across term to maturity. This can be traced to differential trading activities and transparency of the two platforms.

Keywords: Microstructure; Treasury market; Bid–ask spread; Price discovery (search for similar items in EconPapers)
JEL-codes: C32 D4 G10 G12 G14 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:28:y:2015:i:c:p:95-110

DOI: 10.1016/j.gfj.2015.02.001

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