Volker Flogel's The Microstructure of European Bond Markets: Organization, PDF

By Volker Flogel

ISBN-10: 3835004239

ISBN-13: 9783835004238

The volumes amazing in bond markets are via a long way greater than in fairness markets. regardless of this truth, examine at the microstructure of monetary markets is especially interested in fairness markets. as a result alterations among bond and fairness markets, theoretical in addition to empirical effects from fairness markets can't be transferred to bond markets.

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Extra resources for The Microstructure of European Bond Markets: Organization, Price Formation and Cost of Liquidity

Example text

This aspect is considered in the following two sections in the context of the econometric modeling of the probabilities, with which the market participants execute their transactions in different trading segments. The hypothesis of identical average trading volumes in the customer-dealer and the interdealer-market can be rejected on a 1% significance level using parametric as well as nonparametric tests. 1: Descriptive Statistics This table exhibits the descriptive statistic of the transaction data provided by the Federal Financial Supervisory Authority (BAFin) for the half-yearly period from January 2, 2001 until June 29, 2001.

The representation follows Wilhamson (1991), p. 284. 21 In this section, we motivated the crucial systematic influence of transaction specificity on the choice of the trading segment. In the following three sections the systematic relationship formulated in hypotheses HI and H2 is examined on the basis of a unique dataset. 24 billion for the period from January 2001 to June 2001. The trading volume in 52 fixed coupon federal bonds and five-year special federal bonds (Bundesobligationen) refer to an issued volume of euro 508 billion.

In the third column, brokered OTC trade is the reference category. The Wald-test is applied to test the statistical significance of the regression coefficients. Respectively, ***, **, and * denote statistical significance at the 1%, 5%, and 10% level. 4: Estimation Results for the Interdealer Market (April 3, 2001 - June 29,2001) This table exhibits the results from the multinomial logit model in Eq. 3) estimated for the period from April 3, 2001 until June 29, 2001. The explanatory variables are shown in Eq.

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The Microstructure of European Bond Markets: Organization, Price Formation and Cost of Liquidity by Volker Flogel


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