Top

Published in:

2011 | OriginalPaper | Chapter

Corporate and Municipal Bond Market Microstructure in the U.S.

Author : Michael S. Piwowar

Published in: Complex Systems in Finance and Econometrics

Publisher: Springer New York

Activate our intelligent search to find suitable subject content or patents.

search-config

AI-assisted search

Off

Article Outline

Glossary

Definition of the Subject

Introduction

Early Corporate and Municipal Bond Market Microstructure Research

Fixed Income Pricing Service (FIPS) Research

Municipal Bond Market Research

Transaction Reporting and Compliance Engine (TRACE) Research

The Links Between Bond Market Microstructure Research and Other Finance and Economics Research

Bibliography

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 390 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Maschinenbau + Werkstoffe

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

previous chapter Business Policy and Strategy, System Dynamics Applications to

next chapter Delay and Disruption in Complex Projects

Alexander G, Edwards A, Ferri M (2000a) The determinants of trading volume of high-yield corporate bonds. J Financ Mark 3:177–204CrossRef

Alexander G, Edwards A, Ferri M (2000b) What does Nasdaq’s high-yield bond market reveal about bondholderstockholder conflicts? Financ Manag 29:23–39

Amihud Y, Mendelson H (1986) Asset pricing and the bid-ask spread. J Financ Econ 17:223–249CrossRef

Amihud Y, Mendelson H (1991) Liquidity, maturity, and yields on US Treasury securities. J Financ 46:1411–1425CrossRef

Barclay M, Hendershott T, Kotz K (2006) Automation versus intermediation: Evidence from Treasuries going off the run. J Financ 61:2395–2414CrossRef

Bernhardt D, Dvoracek V, Hughson E, Werner I (2005) Why do larger orders receive discounts on the London Stock Exchange? Rev Financ Stud 18:1343–1368CrossRef

Bessembinder H, Maxwell W, Venkataraman K (2006) Optimal market transparency: Evidence from the initiation of trade reporting in corporate bonds. J Financ Econ 82:251–288CrossRef

Biais B, Glosten L, Spatt C (2005) Market microstructure: A survey of microfoundations, empirical results, and policy implications. J Financ Mark 8:217–264CrossRef

Biais B, Green R (2005) The microstructure of the bond market in the 20th century. Working paper, Carnegie Mellon University

10.

Blume M, Keim D, Patel S (1991) Returns and volatility of low-grade bonds. J Financ 46:49–74CrossRef

11.

Carlin B (2007) Strategic price complexity in retail financial markets. Working paper, UCLA

12.

Chakravarty S, Sarkar A (2003) Trading costs in three US bond markets. J Fixed Income 13:39–48CrossRef

13.

Chen L, Lesmond D, Wei J (2007) Corporate yield spreads and bond liquidity. J Financ 52:119–149CrossRef

14.

Cornell B, Green K (1991) The investment performance of low-grade bond funds. J Financ 46:29–48CrossRef

15.

Collin-Dufresne P, Goldstein R, Martin S (2001) The determinants of credit spread changes. J Financ 41:2177–2207CrossRef

16.

Downing C, Zhang F (2004) Trading activity and price volatility in the municipal bond market. J Financ 59:899–931CrossRef

17.

Edwards A, Harris L, Piwowar M (2007) Corporate Bond Market Transaction Costs and Transparency. J Financ 62:1421–1451CrossRef

18.

Elton E, Green C (1998) Tax and liquidity effects in pricing government bonds. J Financ 53:1533–1562CrossRef

19.

Fenn G (2000) Speed of issuance and the adequacy of disclosure in the 144a high-yield debt market. J Financ Econ 56:383–405CrossRef

20.

Goldstein M, Hotchkiss E, Sirri E (2007) Transparency and liquidity: A controlled experiment on corporate bonds. Rev Financ Stud 20:235–273CrossRef

21.

Green R (2007) Issuers, underwriter syndicates, and aftermarket transparency. Presidential Address to the American Finance Association

22.

Green R, Hollifield B, Schurhoff N (2007a) Financial intermediation and the costs of trading in an opaque market. Rev Financ Stud 20:275–314CrossRef

23.

Green R, Hollifield B, Schurhoff N (2007b) Dealer intermediation and price behavior in the aftermarket for new bond issues. J Financ Econ 86:643–682CrossRef

24.

Harris L (2003) Trading and exchanges: market microstructure for practitioners. Oxford University Press, New York

25.

Harris L, Piwowar M (2004) Municipal bond liquidity. Working paper, Available at SSRN: http://ssrn.com/abstract=503062

26.

Harris L, Piwowar M (2006) Secondary trading costs in the municipal bond market. J Financ 61:1361–1397CrossRef

27.

Hasbrouck J (1993) Assessing the quality of a security market: A new approach to transaction-cost measurement. Rev Financ Stud 6:191–212CrossRef

28.

Helwege J, Turner C (1999) The slope of the credit yield curve for speculative-grade issuers. J Financ 54:1869–1884CrossRef

29.

Hong G, Warga A (2000) An empirical study of bond market transactions. Financ Anal J 56:32–46CrossRef

30.

Hong G, Warga A (2004) Municipal marketability. J Fixed Income 14:86–95CrossRef

31.

Hotchkiss E, Ronen T (2002) The informational efficiency of the corporate bond market: An intraday analysis. Rev Financ Stud 15:1325–1354CrossRef

32.

Hotchkiss E, Warga A, Jostova G (2002) Determinants of corporate bond trading: A comprehensive analysis. Working paper, Boston College

33.

Huang R, Stoll H (1997) The components of the bid-ask spread: A general approach. R Financ Stud 10:995–1034CrossRef

34.

Kalimipalli M, Warga A (2002) Bid/ask spread, volatility and volume in the corporate bond market. J Fixed Income 12:31–42

35.

Karolyi GA (2004) The world of cross‐listings and cross‐listings of the world: Challenging conventional wisdom. Working paper, Ohio State University

36.

Lesmond D, Ogden J, Trzcinka C (1999) A new estimate of transaction costs. Rev Financ Stud 12:1113–1141CrossRef

37.

Levitt A (1998) The importance of transparency in America’s debt market. Remarks at the Media Studies Center, New York, September 9, 1998

38.

Madhavan A (2000) Market microstructure: A survey. J Financ Mark 3:205–208CrossRef

39.

Madhavan A, Richardson M, Roomans M (1997) Why do security prices change? A transaction-level analysis of NYSE stocks. R Financ Stud 10:1035–1064CrossRef

40.

Reiss P, Werner I (1996) Transaction costs in dealer markets: Evidence from the London Stock Exchange. In: Lo A (ed) The industrial organization and regulation of the securities industry. University of Chicago Press, Chicago

41.

Sarig O, Warga A (1989) Bond price data and bond market liquidity. J Financ Quant Anal 24:367–378CrossRef

42.

Schultz P (2001) Corporate bond trading costs: A peek behind the curtain. J Financ 56:677–698CrossRef

43.

Shilony Y (1977) Mixed pricing in oligopoly. J Econ Theory 14:373–88CrossRef

44.

Warga A (1991) Corporate bond price discrepancies in the dealer and exchange markets. J Fixed Income 1:7–16CrossRef

45.

Warga A (1992) Bond returns, liquidity and missing data. J Financ Quant Anal 27:605–616CrossRef

46.

Greene W (1993) Econometric Analysis, 2nd edn. Macmillan, New York

47.

O’Hara M (1997) Market microstructure theory. Basil Blackwell, Cambridge

48.

Shultz B (1946) The securities market and how it works. Harper, New York

49.

US Securities and Exchange Commission (2004) Report on transactions in municipal securities. http://www.sec.gov/news/studies/munireport2004.pdf

50.

September 9, 1998, The Importance of Transparency in America’s Debt Market, Remarks of SEC Chairman Arthur Levitt at the Media Studies Center, New York, NY, http://www.sec.gov/news/speech/speecharchive/1998/spch218.htm

51.

April 23, 1999, Remarks of SEC Chairman Arthur Levitt Before the Bond Market Association, San Francisco, CA, http://www.sec.gov/news/speech/speecharchive/1999/spch268.htm

52.

October 28, 1999, Electronic Trading Technology’s Impact on the Fixed‐Income Markets, Remarks of SEC Commissioner Laura S. Unger at The Bond Market Association, Fifth Annual Legal and Compliance Seminar, New York, NY, http://www.sec.gov/news/speech/speecharchive/1999/spch313.htm

53.

January 8, 2002, Remarks Before the Bond Market Association Legal and Compliance Conference, by Annette L. Nazareth, SEC Director, Division of Market Regulation, http://www.sec.gov/news/speech/spch532.htm

54.

April 25, 2002, Remarks Before the Annual Meeting of the Bond Market Association, by SEC Chairman Harvey L. Pitt, New York, NY, http://www.sec.gov/news/speech/spch553.htm

55.

February 3, 2004, Legal & Compliance Conference – The Bond Market Association, by SEC Commissioner Cynthia A. Glassman, New York, NY, http://www.sec.gov/news/speech/spch020304cag.htm

56.

June 17, 2004, US Senate Committee on Banking, Housing, and Urban Affairs, Hearing on “An Overview of the Regulation of the Bond Markets”, http://banking.senate.gov/public

57.

September 9, 2004, Remarks before the 2004 Bond Attorney’s Workshop of the National Association of Bond Lawyers, by Martha Mahan Haines, SEC Assistant Director, Office of Municipal Securities, Division of Market Regulation, Chicago, IL, http://www.sec.gov/news/speech/spch090904mmh.htm

58.

October 1, 2004, Keynote Address before the NASD Conference on Fixed Income Markets, by Annette L. Nazareth, SEC Director, Division of Market Regulation, New York City, NY, http://www.sec.gov/news/speech/spch100104aln.htm

59.

December 16, 2004, Second MTS Conference on Financial Markets: “The Organization and Performance of Fixed‐Income Markets”, by Chester Spatt, SEC Chief Economist and SEC Director, Office of Economic Analysis, Vienna, Austria, http://www.sec.gov/news/speech/spch121604cs.htm

60.

February 1, 2005, Remarks before the Bond Market Association 2005 Legal & Compliance Conference, by SEC Commissioner Paul S. Atkins, New York, NY, http://www.sec.gov/news/speech/spch020105psa.htm

61.

February 2, 2005, Keynote Address at the Bond Market Association 2005 Legal & Compliance Conference, by NASD Vice Chairman Doug Shulman, New York, NY, http://www.finra.org/PressRoom/SpeechesTestimony/DouglasShulman/P013225

62.

April 20, 2005, Remarks before the Bond Market Association, by SEC Chairman William H. Donaldson, New York, NY, http://www.sec.gov/news/speech/spch042005whd.htm

63.

April 20, 2005, Navigating the Changing Climate in Fixed‐Income Products, Remarks of NASD President Doug Shulman before the Bond Market Association, New York, NY, http://www.finra.org/PressRoom/SpeechesTestimony/DouglasShulman/P013842

64.

May 6, 2005, Broad Themes in Market Microstructure, by Chester Spatt, SEC Chief Economist and SEC Director, Office of Economic Analysis, Cambridge, MA, http://www.sec.gov/news/speech/spch050605css.htm

65.

June 21, 2005, Developing Bond Markets in APEC: Key Lessons from the US Experience, Remarks of SEC Commissioner Roel C. Campos before the ABAC/ADBI/PECC Conference, Tokyo, Japan, http://www.sec.gov/news/speech/spch062105rcc-2.htm

66.

September 13, 2005, Remarks for Promethee: Transatlantic Dialogue and Regulatory Convergence: Panel on Financial Markets, by Ethiopis Tafara, SEC Director, Office of International Affairs, Paris, France, http://www.sec.gov/news/speech/spch091305et.htm

67.

September 15, 2005, Keynote Address before the 30th Bond Attorney’s Workshop of the National Association of Bond Lawyers, by SEC Commissioner Roel C. Campos, Chicago, IL, http://www.sec.gov/news/speech/spch091505rcc.htm

68.

November 17, 2005, Address by NASD President Doug Shulman to the NASD Fall Securities Conference, San Francisco, CA, http://www.finra.org/PressRoom/SpeechesTestimony/DouglasShulman/P015554

69.

January 6, 2006, Discussion: An Overview of Bond Market Transparency, by Chester Spatt, SEC Chief Economist and SEC Director, Office of Economic Analysis, Boston, MA, http://www.sec.gov/news/speech/spch010606css.htm

70.

February 7, 2006, Remarks before the TBMA Legal and Compliance Conference, by SEC Commissioner Annette L. Nazareth, New York, NY, http://www.sec.gov/news/speech/spch020706aln.htm

71.

May 19, 2006, The Continuing Evolution of the Bond Market and Other Observations: Remarks Before the Bond Market Association’s 30th Annual Conference, by SEC Commissioner Cynthia A. Glassman, New York, NY, http://www.sec.gov/news/speech/2006/spch051906cag.htm

72.

May 19, 2006, Remarks Before the Bond Market Association’s 30th Annual Conference, by NASD President Doug Shulman, New York, NY, http://www.finra.org/PressRoom/SpeechesTestimony/DouglasShulman/P016651

73.

April, 2004, Markets in Financial Instruments Directive (MiFID), Directive 2004/39/EC of the European Parliament and of the Council, Article 65, http://europa.eu.int/eur-lex/pri/en/oj/dat/2004/l_145/l_14520040430en00010044.pdf

74.

May 2004, International Organization of Securities Commissions (IOSCO), “Transparency of Corporate Bond Markets”, Report of the Technical Committee of IOSCO, http://www.iosco.org/library/pubdocs/pdf/IOSCOPD168.pdf

75.

September 2005, UK Financial Services Authority (FSA), “Trading Transparency in the UK Secondary Bond Markets”, FSA Discussion Paper 05/5, http://www.fsa.gov.uk/pubs/discussion/dp05_05.pdf

76.

November, 2005, “Developing Bond Markets in Asia Conference”, jointly by the Asian Office of the Bank for International Settlements (BIS) and the People’s Bank of China (PBC), Kunming, China, http://www.bis.org/publ/bppdf/bispap26.htm

77.

May 2006, Centre for Economic Policy Research (CEPR), “European corporate bond markets: Transparency, liquidity, efficiency”, http://www.cepr.org/PRESS/TT_CorporateFULL.pdf

Title: Corporate and Municipal Bond Market Microstructure in the U.S.
Author: Michael S. Piwowar
Publisher: Springer New York
Book: Complex Systems in Finance and Econometrics
Print ISBN: 978-1-4419-7700-7

Electronic ISBN: 978-1-4419-7701-4

Copyright Year: 2011
DOI: https://doi.org/10.1007/978-1-4419-7701-4_6

Springer Professional

Article Outline

Please log in to get access to your license.

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Springer Professional "Technik"

Springer Professional "Wirtschaft"