Journal of Financial and Quantitative Analysis Vol. 55 No. 1 2020
A Survey of the Microstructure of Fixed-Income Markets
Abstract
In this article, we survey the literature that studies fixed-income trading rules and outcomes, including Treasury securities, corporate and municipal bonds, and structured credit products. We compare and contrast the microstructure and regulation of fixed-income markets with equity markets. We highlight the nature of over-the-counter trading in the face of search costs and the associated slow evolution of electronically facilitated intermediation. We discuss the databases available to study fixed-income microstructure, as well as measures and determinants of trading costs, and the important roles dealer networks and limited transparency play. We also highlight unresolved issues.
- DOI
- 10.1017/s0022109019000231
- Volume
- 55
- Issue
- 1
- Pages
- 1-45
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref