Ali Namaki - Assistant Prof., Department of Finance, Faculty of Management, University of Tehran, Tehran, Iran.
Aysa Kazemi bavil - MSc. Student. Department of Finance, Faculty of Management, University of Tehran, Iran.

Government bonds, as a key tool in the implementation of monetary policy and government financing, play an important role in financial markets. By means of Islamic financial innovations in the Islamic capital market, the instrument of Islamic treasury bill is published and tradable in the over-the-counter market. Islamic treasury bills have many risks in terms of execution, including the ease of trading and the presence of liquidity in the secondary market. Therefore, the purpose of this research is to examine some microstructural elements of the government bonds using vector autoregressive model. In this article, the effect of trading volume on bid-ask spread of orders has been investigated. To survey the effect of these variables, vector autoregressive (VAR) model has been used on intraday data of ۱۷ symbols of Islamic treasury bills in the over-the-counter market, which had the most trading days from ۲۰۲۱ to September ۲۰۲۳. According to the studies, only in Islamic treasury bills with long-term maturity, there is a significant relationship between the trading volume and bid-ask spread. Therefore, it can be said that the effect of bid-ask spread of orders in different periods is greater than the trading volume especially in longer-term Islamic treasury bills. Hence, in this research by analyzing the impulse response function, if there is a shock on the variables, the effect of the trading volume's shock remains for several periods and affects unremarkably the bid-ask spread of orders in most of the short-term and long-term Islamic treasury bills, while effects of the bid-ask spread shocks during initial periods for long-term and short-term Islamic treasury bills is great, but decrease sharply during the following periods. So these results help traders to pay attention and reduce the risk of trading in the over-the-counter market, specifically the long-term treasury bills.

Islamic treasury bills, Trading Volume, Bid-Ask spread, Information Asymmetry, Market microstructure