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Liquidity of the Government of Canada Securities Market

其他書名	Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market
出版	Bank of Canada, 1999
ISBN	06622798679780662279860
URL	http://books.google.com.hk/books?id=3kd0QgAACAAJ&hl=&source=gbs_api

註釋The aim of this paper is to examine how liquidity in the Government of Canada securities market has evolved over the 1990s and to determine what factors influence the level of liquidity in this market, with some comparisons to the US Treasury securities market. Using trading volume and bid/ask data plus a series of stylized facts, the paper examines how liquidity in the market has changed over time. By comparing two government securities markets that are structurally very similar, but with differing levels of liquidity, the number of factors that differ across markets and that potentially have an impact on liquidity is controlled. The study focuses on how variations in four microstructural characteristics specific to government securities markets affect the level of liquidity in those markets. These factors are debt instrument characteristics, competition and concentration, inventory management or inventory control costs, and transparency or information considerations. These structural factors are examined to understand how changes in them over time influence the evolution of liquidity and how differences in the factors may cause market liquidity to differ across countries.