© 2006

The Microstructure of European Bond Markets

Organization, Price Formation, and Cost of Liquidity

  • Authors

About this book


The volumes outstanding in bond markets are by far larger than in equity markets. Despite this fact, research on the microstructure of financial markets is mainly focused on equity markets. Because of the differences between bond and equity markets, theoretical as well as empirical results from equity markets cannot be transferred to bond markets.

Based on unique datasets for German federal securities, EMU government bonds and Euro corporate bonds Volker Flögel analyzes the distinctive features of multiple dealer markets in general and bond markets in particular. Applying state-of-the-art econometric methods to this data, he focuses on the organizational structure of the market for German federal securities, the interaction between the interdealer and the customer-dealer market for EMU government bonds, and the cost of liquidity for Euro corporate bonds. His results are of interest to practitioners and researchers and refute some commonly held beliefs about bond markets.


Anleihenmärkte Kointegration Marktmikrostrukturtheorie Multiple Dealer Märkte Transaktionskosten liquidity

About the authors

Dr. Volker Flögel promovierte bei Prof. Dr. Lutz Johanning am Stiftungslehrstuhl Asset Management der European Business School, Oestrich-Winkel. Er ist derzeit als Portfolio Manager für die Union PanAgora Asset Management GmbH, Frankfurt am Main, tätig.

Bibliographic information

  • Book Title The Microstructure of European Bond Markets
  • Book Subtitle Organization, Price Formation, and Cost of Liquidity
  • Authors Volker Flögel
  • DOI
  • Copyright Information Deutscher Universitäts-Verlag | GWV Fachverlage GmbH, Wiesbaden 2006
  • Publisher Name Gabler
  • eBook Packages Business and Economics Economics and Finance (R0)
  • Softcover ISBN 978-3-8350-0423-8
  • eBook ISBN 978-3-8350-9268-6
  • Edition Number 1
  • Number of Pages XIV, 142
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Finance, general
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