全球智库信息集成服务系统(G2TT): Order Flow and the Formation of Dealer Bids: Information Flows and Strategic Behavior in the Government of Canada Securities Auctions

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w11116
来源ID	Working Paper 11116
	Order Flow and the Formation of Dealer Bids: Information Flows and Strategic Behavior in the Government of Canada Securities Auctions
	Ali Hortacsu; Samita Sareen
发表日期	2005-02-14
出版年	2005
语种	英语
摘要	Is order-flow an important component of private information possessed by traders in government securities markets? Utilizing a detailed data set on Government of Canada securities auctions, we argue that the answer is yes. Direct participation in these auctions is limited to government securities dealers. However, non-dealer customers can also submit bids through dealers. We document patterns of strategic behavior by both sides of the market, dealers and customers, that support the hypothesis that customer bids provide valuable order-flow information to dealers. Dealer bids respond to privately observed customer bids, and dealers observing customer bid can predict the auction cutoff price better. Customers also respond strategically to dealers' use of the information contained in their bids.
主题	Financial Economics ; Financial Markets ; Industrial Organization ; Market Structure and Firm Performance
URL	https://www.nber.org/papers/w11116
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/568753
推荐引用方式 GB/T 7714	Ali Hortacsu,Samita Sareen. Order Flow and the Formation of Dealer Bids: Information Flows and Strategic Behavior in the Government of Canada Securities Auctions. 2005.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w11116.pdf（733KB）	智库出版物		限制开放	CC BY-NC-SA	浏览