论文信息 - Price Dispersion in the Government Securities Market

Price Dispersion in the Government Securities Market

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.

William L. Silber | Kenneth D. Garbade | W. Silber | K. Garbade

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