Order Flow and the Formation of Dealer Bids: An Analysis of Information and Strategic Behavior in the Government of Canada Securities Auctions

Samita Sareen () and Ali Hortacsu

No 2004.145, Working Papers from Fondazione Eni Enrico Mattei

Abstract: Using data on Government of Canada securities auctions, this paper shows that in countries where direct access to primary issuance is restricted to government securities dealers, Order-flow" information is a key source of private information for these security dealers. Order-flow information is revealed to a security dealer through his interactions with customers, who can place bids in the auctions only through the security dealer. Since each dealer interacts with a different set of customers, they, in effect, see different portions of the market demand and supply curves, leading to differing private inferences of where the equilibrium price might.

Keywords: Treasury auctions; Behavioural finance (search for similar items in EconPapers)
JEL-codes: D82 G14 L88 (search for similar items in EconPapers)
Date: 2004-12
New Economics Papers: this item is included in nep-fmk and nep-gth
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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