Informed trading in parallel bond markets

Paola Paiardini

doi:10.1016/j.finmar.2015.08.002

Informed trading in parallel bond markets

Paola Paiardini

Economics

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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.

Original language	English
Pages (from-to)	103–121
Number of pages	18
Journal	Journal of Financial Markets
Volume	26
Early online date	8 Sept 2015
DOIs	https://doi.org/10.1016/j.finmar.2015.08.002
Publication status	Published - Nov 2015

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title = "Informed trading in parallel bond markets",

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.",

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AB - 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.

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Informed trading in parallel bond markets

Abstract

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