Is order-flow an important component of private information possessed by traders in government securities markets? Utilizing a detailed data set on Government of Canada securities auctions, we argue that the answer is yes. Direct participation in these auctions is limited to government securities dealers. However, non-dealer customers can also submit bids through dealers. We document patterns of strategic behavior by both sides of the market, dealers and customers, that support the hypothesis that customer bids provide valuable order-flow information to dealers. Dealer bids respond to privately observed customer bids, and dealers observing customer bid can predict the auction cutoff price better. Customers also respond strategically to dealers' use of the information contained in their bids


    Zugriff

    Download


    Exportieren, teilen und zitieren



    Titel :

    Order Flow and the Formation of Dealer Bids : Information Flows and Strategic Behavior in the Government of Canada Securities Auctions



    Erschienen in:

    Erscheinungsdatum :

    2005


    Format / Umfang :

    1 Online-Ressource


    Anmerkungen:

    Campusweiter Zugriff (Universität Hannover) - Vervielfältigungen (z.B. Kopien, Downloads) sind nur von einzelnen Kapiteln oder Seiten und nur zum eigenen wissenschaftlichen Gebrauch erlaubt. Keine Weitergabe an Dritte. Kein systematisches Downloaden durch Robots.



    Medientyp :

    Buch


    Format :

    Elektronische Ressource


    Sprache :

    Englisch





    Primary Dealers in Government Securities

    Arnone, Marco | TIBKAT | 2005

    Freier Zugriff


    Dealer listing

    Online Contents | 2005