Skip to main content
Article thumbnail
Location of Repository

An Empirical Analysis of Transparency-Related Characteristics of European and US Sovereign Bond Markets

By Peter Dunne, Michael J. Moore and Richard Portes

Abstract

We examine transparency-related characteristics of European and US sovereign bond markets and relate these to differences in primary issuance approaches and the design of the different trading platforms. We highlight the existence of a winner’s curse problem in the interaction between B2C and B2B segments of the market, and we provide evidence to analyze its prevalence. We examine the problems that can arise as the result of increasing the transparency of the B2B segment of the market and use the experience of the eSpeed platform in the US to obtain insights into these effects. Our analysis is directly relevant to the policy debate about whether to apply MiFID transparency requirements to the EU sovereign bond markets: our results suggest great caution in creating an extremely homogenous and transparent trading environment for sovereign bonds.

OAI identifier:

Suggested articles

Citations

  1. (2003). Do Thinly-Traded Stocks Benefit from Specialist Intervention?
  2. (2006). Market Design and Execution Cost for Matched Securities Across Seven Tier-One Markets.” Mimeo available at http://wwwdocs.fce.unsw.edu.au/banking/seminar/2006/Rick_Harris.pdf
  3. (2001). Market Microstructure and Securities Values:Evidence from the Paris Bourse”,
  4. (2003). Measuring Treasury Market Liquidity.” Federal Reserve Bank of
  5. (2002). Micro and Macro Structures in Fixed Income Markets: The Issues at Stake
  6. (2005). Size and Heterogeneity Matter: A MicrostructureBased Analysis of Regulation of Secondary Markets for Government Bonds.”
  7. (2001). The Development of Alternative Trading Systems in the UK Gilt Market: Lessons and Implications.” Paper prepared for the financial market structure and dynamics conference at the Bank of Canada,
  8. (2000). The Market Microstructure of Dealership Equity and Government Securities Markets: How They Differ.” Financial Markets Department, Bank of Canada
  9. (2004). The Market Quality of Moderately Liquid Securities in a Hybrid Market: The Evidence”, Working paper.
  10. (2005). Transparency Generally Beats Opacity: How Transparency Choice Impacts Global Equity Market Performance.” School of Banking and Finance working paper,

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.