Inter-dealer trading in US Treasury Securities is almost equally divided between two similar electronic trading platforms. This provides a natural experiment within which to test the propositions of Bloomfield & O'Hara (1999 and 2000) about price discovery in fragmented markets. We examine the...

Inter-dealer trading in US Treasury Securities is almost equally divided between two similar electronic trading platforms. 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. eSpeed provides a more pre-trade transparent...

We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of bonds issued by Refcorp, a U.S. Government agency, which are guaranteed by the Treasury. We find a large liquidity premium in Treasury bonds, which can be more than fifteen percent...

The purpose of this paper is to empirically analyze the risk and return characteristics of relative value strategies in bonds. Three different yield curve models and three different strategies have been tested. We show that combining the information content from different yield curve models...

Volatility is a concern of many investors. In turbulent financial times there can be a flight from the equity market to treasury bonds in order to provide greater security, liquidity and guarantee of returns. Calculated as a weighted average of put and call options on the S&P 500 Index, the VIX...