Daily data from intra-dealer government bond brokers is examined for tax and liquidity effects. Utilizing actual trade prices rather than dealer estimated quotes gives us a more accurate measure of market clearing prices. Daily trading volume is also available, which provides us with a robust...

This paper examines newly-available intra-day data from the inter-dealer government bond market to investigate the effects of economic-news announcements on prices, trading volume, and bid-ask spreads. The use of intra-day price data together with data on market expectations allows us to obtain...