Journal of Financial Services Research

, Volume 36, Issue 1, pp 45–63

Retail Investors and the Trading of Treasury Securities


DOI: 10.1007/s10693-009-0062-y

Cite this article as:
Díaz, A. J Financ Serv Res (2009) 36: 45. doi:10.1007/s10693-009-0062-y


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.


Transaction costSpanish government debtTreasury direct accountsRetail trading

JEL Classification


Copyright information

© Springer Science+Business Media, LLC 2009

Authors and Affiliations

  1. 1.Departamento de Análisis Económico y Finanzas, Facultad de C. Económicas y Empresariales de AlbaceteUniversidad de Castilla-La ManchaAlbaceteSpain