Price Discovery in the U.S. Treasury Market: Automation vs. Intermediation

• 成果类型: Article
• 署名作者: Man, Kasing; Wang, Junbo; Wu, Chunchi
• 署名单位: Western Illinois University; City University of Hong Kong; State University of New York (SUNY) System; University at Buffalo, SUNY
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1120.1559
• 发表日期: 2013
• 页码: 695-714
• 关键词: Price discovery; Electronic trading; information share; liquidity; error correction

摘要

This paper examines the contribution to price discovery by electronic and voice-based trading systems in the U.S. Treasury market. Evidence shows that the electronic trading system has more price discovery and that trading automation increases the speed of incorporating information into prices. However, human trading generates significant price discovery, though its volume is low. The relative contribution of a trading system to price discovery depends on liquidity, volatility, volume, trade size, and order imbalance. The voice-based trading system contributes more to price discovery when trade size is large and liquidity is low. These findings provide important implications for the design of electronic markets for securities with different characteristics and trading environments.