Automation versus Intermediation: Evidence from Treasuries Going Off the Run
This paper examines the choice of trading venue by dealers in U.S. Treasury securities to determine when services provided by human intermediaries are difficult to replicate in fully automated trading systems. When Treasury securities go "off the run" their trading volume drops by more than 90%. This decline in trading volume allows us to test whether intermediaries' knowledge of the market and its participants can uncover hidden liquidity and facilitate better matching of customer orders in less active markets. Consistent with this hypothesis, the market share of electronic intermediaries falls from 81% to 12% when securities go off the run. Copyright 2006 by The American Finance Association.
Year of publication: |
2006
|
---|---|
Authors: | BARCLAY, MICHAEL J. ; HENDERSHOTT, TERRENCE ; KOTZ, KENNETH |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 61.2006, 5, p. 2395-2414
|
Publisher: |
American Finance Association - AFA |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Automation versus intermediation : evidence from treasuries going off the run
Barclay, Michael J., (2006)
-
Automation versus Intermediation: Evidence from Treasuries Going Off the Run
Barclay, Michael J., (2006)
-
A comparison of trading and non-trading mechanisms for price discovery
Barclay, Michael J., (2008)
- More ...