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of finance at the School of Business and Economics

By At Wilfrid and Arthur WargaIs Dean, Judge James, Madhu Kalimipalli and Arthur Warga

Abstract

This article provides the first microstructure analysis of the time series relationship between bid-ask spreads and volatility and volume in the market for corporate bonds. The market we examine is the New York Stock Exchange, which maintains the Automated Bond System (ABS). ABS is a fully automated electronic trading and information system with completely transparent schedules of bid and ask prices. The dealer market in corporate bonds, which to this date has no central trade or reporting system, accounts for most of the dollar volume of corporate bond transactions. In general, trading on ABS is relatively thin, with typicall

Year: 2011
OAI identifier: oai:CiteSeerX.psu:10.1.1.198.259
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