Order flow and the formation of dealer bids
Subtitle: information flows and strategic behavior in the government of Canada securities auctions
By: Ali Hortacsu, Samita Sareen.
Contributors: Sareen, Samita.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11116; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11116.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Government securities -- Canada.; Investments -- Canada.
Description: "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"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 3/2/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.