Retail Investors and the Trading of Treasury Securities |
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| Authors: | Antonio Díaz |
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| Institution: | (1) Departamento de Análisis Económico y Finanzas, Facultad de C. Económicas y Empresariales de Albacete, Universidad de Castilla-La Mancha, Plaza Universidad, 1, 02071 Albacete, Spain |
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| Abstract: | I analyze implicit transaction costs of trading government debt securities on the Spanish stock exchanges (SE) electronic
trading system. The SE’s multilateral system is used mainly as an outlet for retail investors to liquidate Treasury accounts
positions before maturity. I compare identical Treasury security trades on the same day in two different markets: the SE and
the interdealer market. By analyzing these yield spreads I learn more about the behavior of the markdowns included in the
retail prices from the institutional prices. I find evidence that these yield premia depend on traditional features to explain
wholesale market liquidity premia.
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| Keywords: | Transaction cost Spanish government debt Treasury direct accounts Retail trading |
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