Paiardini, Paola (2009) Informed trading in parallel bond markets. Working Paper. Birkbeck College, University of London, London, UK.
|
Text
7614.pdf - Published Version of Record Download (885kB) | Preview |
Abstract
In this paper we investigate the presence of asymmetric information in the parallel trading of ten-year government fixed rate bonds (BTP) on two secondary electronic platforms: the business-to-business (B2B) MTS platform and the business-to-customer (B2C) BondVision one. The two platforms are typified by a different degree of transparency. We investigate whether the probability to encounter an informed trader on the less transparent market is higher than the corresponding probability on the more transparent one. Our results show that on BondVision, that is the less transparent platform, the probability of encountering an informed trader is higher. Finally we perform a series of tests to check the robustness of our estimates. Two tests do not meet the hypothesis of independence. Nevertheless, these findings do not controvert the hypothesis of our model, but call for further analysis.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Additional Information: | BWPEF 0908 |
| Keyword(s) / Subject(s): | Market microstructure, Informed trading, Parallel trading, Transparency |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 10 Jul 2013 13:18 |
| Last Modified: | 02 Aug 2023 17:06 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/7614 |
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
