A Descriptive Analysis of the Finnish Treasury Bond Market 1991-1999

Abstract

This paper presents a descriptive analysis of the primary and secondary market for Finnish treasury bonds. The paper focuses on three issues. First, we report basic descriptive statistics such as auction volumes and secondary market yields and volumes. Second, we estimate the revenues earned by primary dealers from the treasury bond market. Third, we analyse the development of the price of the auctioned bonds, relative to other benchmark bonds, around the time of the auction. We find evidence of a price decrease in the auctioned bond series before the auction and a price increase after the auction. This pattern is strongest for 1992-1994 when Treasury funding needs were heavy and secondary market trading volume of treasury bonds was modest.

Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions

“…3 For a more detailed description of the Finnish Treasury bond market, see Keloharju et al (2002). iii) the Treasury's own opinion about the true market price, and iv) unwillingness to spoil the market by accepting too low bids.…”

“…of bids. 12 The quantity weighted average price of these bids is p ij = P k w ijk p ijk , where w ijk = q ijk / P k q ijk . The empirical intra-bidder discount which corresponds to (11) is then…”

“…It is not defined for one-bid demand schedules. Finally, letting p 0j denote the stop-out price in auction j, our empirical proxy for underpricing, (12), is:…”

Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions

“…3 3 For a more detailed description of the Finnish Treasury bond market, see Keloharju et al (2002). …”

Overcrowding Versus Liquidity in the Euro Sovereign Bond Markets

“…The importance of the timing of the issuance is also suggested by Newman and Rierson () which focus on corporate bonds and find that large debt issuances temporarily inflate yield spreads of bonds belonging to the same sector and by Keloharju et al . () who show how primary market issuance affects secondary market yields in the case of Finnish government securities. Furthermore, the idea that bunching in issues (i.e.…”