Informed trading in parallel bond markets
Research output: Contribution to journal › Article › peer-review
Colleges, School and Institutes
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.
|Number of pages||18|
|Journal||Journal of Financial Markets|
|Early online date||8 Sep 2015|
|Publication status||Published - Nov 2015|