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A Survey of the Microstructure of Fixed-Income Markets

Published online by Cambridge University Press:  28 March 2019

Hendrik Bessembinder Open the ORCID record for Hendrik Bessembinder [Opens in a new window] ,
Chester Spatt  and
Kumar Venkataraman
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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.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 55 , Issue 1 , February 2020 , pp. 1 - 45
Copyright
Copyright © Michael G. Foster School of Business, University of Washington 2019 

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Footnotes

1

We thank Jack Bao, Jennifer Conrad (the editor), Darrell Duffie, Michael Fleming, Terry Hendershott, Edie Hotchkiss, David Krein, Amar Kuchinad, Ananth Madhavan, Artem Neklyudov, Paul Schultz, and Alex Sedgwick for their valuable comments.

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