Price Discovery in the Dual-Platform US Treasury Market

Zhuowei Sun, Peter G. Dunne, Youwei Li

Research output: Contribution to journalArticle

1 Citation (Scopus)
272 Downloads (Pure)

Abstract

Inter-dealer trading in US Treasury securities is almost equally divided between two electronic trading platforms that have only slight differences in terms of their relative liquidity and transparency. BrokerTec is more active in the trading of 2-, 5-, and 10-year T-notes while eSpeed has more active trading in the 30-year bond. Over the period studied, eSpeed provides a more pre-trade transparent platform than BrokerTec. We examine the contribution to ‘price discovery’ of activity in the two platforms using high frequency data. We find that price discovery does not derive equally from the two platforms and that the shares vary across term to maturity. This can be traced to differential trading activities and transparency of the two platforms.
Original languageEnglish
Pages (from-to)95-110
Number of pages11
JournalGlobal Finance Journal
Volume28
Early online date18 Apr 2015
DOIs
Publication statusPublished - Oct 2015

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