Empirical market microstructure essays in over-the-counter markets

<p dir="ltr">The findings presented in this dissertation significantly enhance our understanding of OTC sovereign bond markets, addressing a crucial gap in academic research due to the scarcity of high-quality publicly available data. Through pioneering trade-level datasets on the UK sovereign bond market, this research offers comprehensive summary statistics that shed light on the overall market and individual participant behaviour. It further delves into the roles of prevalent OTC market frictions—inventory, search, and bargaining—which are instrumental in the liquidity deterioration experienced in the UK sovereign bond market during the COVID-19 pandemic. This analysis clarifies how these frictions impact market resilience and identifies potential vulnerabilities. Further, the dissertation evaluates the effects of post-trade transparency on market quality, systematically exploring how transparency influences transaction costs and contributes to pricing efficiency in sovereign bond markets. These insights have academic and policy implications, offering empirical evidence that can inform future regulatory frameworks and market operations to foster more efficient and resilient financial markets.</p>