This paper investigates the process of price discovery in government bond markets.By using a new data set including interdealer trades, customer trades, trade types anddealer identities, the paper explores the role of dealers in the price formation processand seeks to identify their sources of...

This paper introduces a framework that directly quanti…es information spillovers be-tween …nancial markets. Information spillovers occur when market speci…c information,de…ned as information that directly affects the return or volatility in one market only,indirectly affects returns or...

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Price discovery in government bond markets is explored using Norwegian data including trades from both tiers of the market and dealer identities. The results show that while aggregate interdealer order flow explains one-fourth of daily yield changes, aggregate customer order flow has little...