Abstract
Foreign banks have been quoting as market makers for more than 10 years in China’s interbank bond market. This paper proposes a dynamic structural model for quotes in tick time, which can capture the full dynamic process of price discovery, to measure the price discovery contributions of these foreign banks and Chinese local dealers. Empirical analysis shows that foreign banks can quickly adjust their quotes to converge to the new equilibrium and contribute more to price discovery than Chinese local dealers.
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Institutional brokers here include city commercial banks, security companies and other dealers.
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© 2012 Springer-Verlag Italia
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Wu, L., van der Weide, H. (2012). Price discovery in a dynamic structural model. In: Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Milano. https://doi.org/10.1007/978-88-470-2342-0_46
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DOI: https://doi.org/10.1007/978-88-470-2342-0_46
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-2341-3
Online ISBN: 978-88-470-2342-0
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