Title: Price Discovery in the U.S. Treasury Market: Automation Versus Intermediation
Abstract: We examine the contribution to price discovery by electronic and voice-based trading systems in the U.S. Treasury market. We find that the preponderance of price discovery in the Treasury market takes place in the electronic trading system. The contribution of a trading system to price discovery depends on liquidity, volatility, trade size, volume and order imbalance. Although overall the electronic trading system has the most price discovery, the voice-based trading system contributes more to price discovery in the segment of large-size trades. Moreover, prices generated from the voice-based trading system appear to be less noisy, which is attributable to information search by voice brokers.
Publication Year: 2010
Publication Date: 2010-01-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 1
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