Informed trading in parallel bond markets

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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 languageEnglish
Pages (from-to)103–121
Number of pages18
JournalJournal of Financial Markets
Early online date8 Sep 2015
Publication statusPublished - Nov 2015