The Microstructure of European Bond Markets

Organization, Price Formation, and Cost of Liquidity
2006
ISBN: 978-3-8350-0423-8
Verlag: Deutscher Universitätsverlag

Buch, Englisch, Band 60, 142 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 254 g

Reihe: ebs-Forschung, Schriftenreihe der EUROPEAN BUSINESS SCHOOL Schloß Reichartshausen

The volumes outstanding in bond markets are by far larger than in equity markets. Despite this fact, research on the microstructure of financial markets is mainly focused on equity markets. Because of the differences between bond and equity markets, theoretical as well as empirical results from equity markets cannot be transferred to bond markets.

Based on unique datasets for German federal securities, EMU government bonds and Euro corporate bonds Volker Flögel analyzes the distinctive features of multiple dealer markets in general and bond markets in particular. Applying state-of-the-art econometric methods to this data, he focuses on the organizational structure of the market for German federal securities, the interaction between the interdealer and the customer-dealer market for EMU government bonds, and the cost of liquidity for Euro corporate bonds. His results are of interest to practitioners and researchers and refute some commonly held beliefs about bond markets.

Zielgruppe

Research

Autoren/Hrsg.

Flögel, Volker

Weitere Mitwirkende

Johanning, Prof. Dr. Lutz

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft

Inhaltsverzeichnis

The Organizational Structure of the Secondary Market for Federal Securities: Historically grown! Economically justified?.- Interdealer versus Customer-Dealer Sphere: Information Processing in Decentralized Multiple-Dealership Markets.- Institutional Trading Costs in European Corporate Bond Markets.- Summary, Conclusion, and Further Research.

Über Autor(innen)

Dr. Volker Flögel promovierte bei Prof. Dr. Lutz Johanning am Stiftungslehrstuhl Asset Management der European Business School, Oestrich-Winkel. Er ist derzeit als Portfolio Manager für die Union PanAgora Asset Management GmbH, Frankfurt am Main, tätig.