Informed Trading in Parallel Bond Markets

European sovereign bond market segmentation has not been extensively investigated, we contribute to this scant literature studying the market microstructure of the Italian market, the largest in the Eurozone. Using a sequential trade model, we analyse the probability of informed trading (PIN) in the parallel trading of a same bond on two secondary electronic platforms: the inter-dealer MTS and the dealer-to-customer BondVision; an aspect that has never been investigated before. We find that the PIN is significantly lower in the dealer-to-customer segment than in the interdealer one.

Venue: D221, Social Sciences Building