The Microstructure of the UK gilt market

James Proudman

Bank of England working papers from Bank of England

Abstract: This paper is a detailed study of trading patterns in the gilt market - based on all transactions in three gilts (6% Treasury 1999, 9 1/2% Treasury 2005, and 2 1/2% Index-linked 2016) from October 1993 to October 1994. The main finding of the paper is that order flow in the gilt market does not appear to have any significant effect on prices, market makers seem to use other information (such as public announcements and the price of the long gilt future) to set prices. The paper also finds that spreads are far narrower in the gilt market than in the equity market and that there is some tendency for spreads to fall with trade size (rather than rise as is found in the equity markets). Both these findings are consistent with a lack of information in order flow (since market makers are unlikely to lose money to more informed traders in the gilt market and so can offer better prices). Other findings include a tendency for turnover to be highest on Wednesdays and for intra-day turnover to show a 'U'-shaped pattern with trading concentrated in the early morning and late afternoon. It also finds a tendency for spreads to be wider when turnover is high.

Date: 1995-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.bankofengland.co.uk/archive/Documents/h ... papers/1995/wp38.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.bankofengland.co.uk/archive/Documents/historicpubs/workingpapers/1995/wp38.pdf [301 Moved Permanently]--> https://www.bankofengland.co.uk/archive/Documents/historicpubs/workingpapers/1995/wp38.pdf)

Related works:
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:boe:boeewp:38

Access Statistics for this paper

More papers in Bank of England working papers from Bank of England Bank of England, Threadneedle Street, London, EC2R 8AH. Contact information at EDIRC.
Bibliographic data for series maintained by Digital Media Team (webmaster@bankofengland.co.uk).