Journal of Political Economy Vol. 84 No. 4, Part 1 1976
Price Dispersion in the Government Securities Market
Abstract
This paper investigates the characteristics of price dispersion in the U.S. Treasury securities market. After a theoretical treatment of why such dispersion exists, empirical evidence is presented which shows that dispersion is influenced by characteristics of securities (such as volume and maturity) and by market supply-demand conditions (as reflected in price-level changes). It is also shown that the cost of liquidity services in a competitive market is determined by price dispersion and is not equal to the bid-ask spread.
- DOI
- 10.1086/260473
- Volume
- 84
- Issue
- 4, Part 1
- Pages
- 721-740
- Language
- en
- Sources
- openalex crossref