Two months in the life of several gilt-edged market makers on the London Stock Exchange

Vitale, Paolo

doi:10.1016/s1042-4431(98)00038-9

Cited by 19 publications

(9 citation statements)

References 44 publications

(53 reference statements)

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“…The strong information effect and weak price effect from inventory is similar to evidence in Vitale (1998) for the UK gilt market and in several studies of stock markets, e.g. Smidt (1991, 1993) and Hasbrouck and Sofianos (1993).…”

Section: Introductionsupporting

confidence: 82%

Dealer behavior and trading systems in foreign exchange markets

Bjønnes

Rime²

2005

Journal of Financial Economics

201

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We study dealer behavior in the foreign exchange spot market using a detailed data set on the complete transactions of four dealers. There is strong support for an information effect in incoming trades. Although there is evidence that the information effect increases with trade size in direct bilateral trades, the direction of a trade seems to be more important. The large share of electronically brokered trades is probably responsible for this finding. In direct trades it is the initiating dealer that determines trade size, while in broker trades it is the dealer submitting the limit order that determines the maximum trade size. We also find strong evidence of inventory control for all the four dealers. Inventory control is not, however, manifested through a dealer's own prices as suggested in inventory models. This is different from the strong price effect from inventory control found in previous work by Lyons [J. Fin. Econ 39(1995) 321]. A possible explanation for this finding is that the introduction of electronic brokers allowed more trading options. Furthermore, we document differences in trading styles among the four dealers, especially how they actually control their inventories.

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Section: Introductionsupporting

confidence: 82%

Dealer behavior and trading systems in foreign exchange markets

Bjønnes

Rime²

2005

Journal of Financial Economics

201

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“…He finds no indication for either asymmetric information or inventory control. This is partly in contrast with the results obtained by Vitale (1998), who finds that while customer orders do not seem to provide any information to market makers, this is not the case for inter-dealer transactions, which do seem to carry information. This is exactly what we would expect from the modified adverse selection story informally set out in the previous paragraph.…”

Section: +Rz 6dih Zdv Wkh 6dih +Dyhq " )Lqdqfldo 0dunhw /Ltxlglw\ 'Xucontrasting

confidence: 94%

“…7 However, with the exception of the work of Proudman (1995) and Vitale (1998) on the UK gilt market, so far mainly equity markets have been looked at. This may be due to the fact that data is more easily available for equities, which tend to be traded on organised exchanges, than for bonds, which are mostly 5 A survey of the theoretical literature on market microstructure is O'Hara (1995).…”

Section: +Rz 6dih Zdv Wkh 6dih +Dyhq " )Lqdqfldo 0dunhw /Ltxlglw\ 'Xumentioning

confidence: 99%

How Safe Was the 'Safe Haven'? Financial Market Liquidity During the 1998 Turbulences

Upper

2000

SSRN Journal

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“…Isolating the effects of inventories on the spread is not possible due to the anonymous trading environment of the interdealer market, which prevents tracking dealer inventories. Vitale (1998) indicates this may not be a serious concern. He finds no evidence of inventory effects in the U.K. Treasury market and suggests that this may be due to the availability of many hedging instruments.…”

Section: Methodsmentioning

confidence: 99%

Economic News and the Impact of Trading on Bond Prices

Green

2004

The Journal of Finance

347

208

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This paper studies the impact of trading on government bond prices surrounding the release of macroeconomic news. The results show a significant increase in the informational role of trading following economic announcements, which suggests the release of public information increases the level of information asymmetry in the government bond market. The informational role of trading is greater after announcements with a larger initial price impact, and the relation is associated with the surprise component of the announcement and the precision of the public information. The results provide evidence that government bond order f low reveals fundamental information about riskless rates.

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Two months in the life of several gilt-edged market makers on the London Stock Exchange

Cited by 19 publications

References 44 publications

Dealer behavior and trading systems in foreign exchange markets

Dealer behavior and trading systems in foreign exchange markets

How Safe Was the 'Safe Haven'? Financial Market Liquidity During the 1998 Turbulences

Economic News and the Impact of Trading on Bond Prices

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