TY  - BOOK
AU  - Hortacsu,Ali
AU  - Sareen,Samita
ED  - National Bureau of Economic Research.
TI  - Order Flow and the Formation of Dealer Bids: Information Flows and Strategic Behavior in the Government of Canada Securities Auctions 
T2  - NBER working paper series
PY  - 2005///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - February 2005; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/w11116
UR  - http://dx.doi.org/10.3386/w11116
ER  -