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Price Discovery In The Treasury Futures Market
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Book Synopsis Price Discovery in the Treasury Futures Market by : Michael W. Brandt
Download or read book Price Discovery in the Treasury Futures Market written by Michael W. Brandt and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the mechanism by which price discovery takes place within the futures market for U.S Treasury securities. Specifically, given the strong theoretical linkage between the U.S. Treasury cash and futures markets, we compare how orderflow contributes to price discovery as well as analyze how and when information flows from one market to the other. We also consider how a number of environmental variables (trader type, financing rates and liquidity) impact the information flows between these two markets. Our findings provide new evidence on the extent to which price discovery happens away from a primary market.
Book Synopsis Price Discovery in the U.S. Treasury Market by : Bruce Mizrach
Download or read book Price Discovery in the U.S. Treasury Market written by Bruce Mizrach and published by . This book was released on 2006 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is the first to characterize the tatonnement of high-frequency returns from U.S. Treasury spot and futures markets. In particular, we highlight the previously neglected role of the futures markets in price discovery. The lower-bound estimate of bivariate information shares for 30-year Treasury futures typically exceeds 50% from 1998 on. Standard liquidity measures, including the proportion of trades and relative bid-ask spreads, explain daily information shares. These conclusions still hold when one controls for days of macroeconomic announcements. Finally, a 5-dimensional cointegrated system explains a high percentage of Treasury returns. In that system, the 30-year futures contract and the 5-year spot market dominate price discovery.
Book Synopsis Price Discovery in the Round-the-Clock U.S. Treasury Market by : Yan He
Download or read book Price Discovery in the Round-the-Clock U.S. Treasury Market written by Yan He and published by . This book was released on 2009 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate the efficacy of price discovery in the round-the-clock U.S. Treasury market. Using a comprehensive intraday database, we explore informational role of trades over the 24-hour day. We find that information asymmetry is generally highest in the preopen period and lowest in the postclose period. Information asymmetry in the overnight period is comparable to that in the regular trading period. However, on days with macroeconomic announcements, information asymmetry peaks shortly after the news release at 8:30. Moreover, information asymmetry is higher in Monday morning and higher immediately before than after the open of U.S. Treasury futures trading. Although volume is low after hours and trading cost is relatively high, overnight trading generates significant price discovery. Results suggest that overnight trading activity is an important part of the Treasury price discovery process.
Book Synopsis Price Discovery in the Stock Market by : John Merrick
Download or read book Price Discovery in the Stock Market written by John Merrick and published by . This book was released on 1987 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Behavioral Finance by : Lucy F. Ackert
Download or read book Behavioral Finance written by Lucy F. Ackert and published by South Western Educational Publishing. This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book begins by building upon the established, conventional principles of finance that you've have already learned in your principles course. The authors then move into psychological principles of behavioral finance, including heuristics and biases, overconfidence, emotion and social forces. You immediately see how human behavior influences the decisions of individual investors and professional finance practitioners, managers, and markets. You also gain a strong understanding of how social forces impact individuals' choices. The book clearly explains what behavioral finance indicates about observed market outcomes as well as how psychological biases potentially impact the behavior of managers. The book's solid academic approach provides opportunities for you to utilize theory and complete applications in every chapter as you learn the implications of behavioral finance on retirement, pensions, education, debiasing, and client management. The book spends a significant amount of time examining how today's practitioners can use behavioral finance to further their professional success.
Book Synopsis The CD Futures Market by : James A. Overdahl
Download or read book The CD Futures Market written by James A. Overdahl and published by . This book was released on 1984 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Treasury Futures Markets written by and published by . This book was released on 1979 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Special Issue on Futures Markets by : Jerome Leon Stein
Download or read book Special Issue on Futures Markets written by Jerome Leon Stein and published by . This book was released on 1992 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Fragilities in the U.S. Treasury Market by : Antoine Bouveret
Download or read book Fragilities in the U.S. Treasury Market written by Antoine Bouveret and published by International Monetary Fund. This book was released on 2015-10-13 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changes in the structure of the U.S. Treasury market over recent years may have increased risks to financial stability. Traditional market makers have changed their liquidity provision by increasingly switching from risk warehousing to risk distribution, and a new breed of market maker has emerged with the rise of electronic trading. The “flash rally” of October 15, 2014 provides a clear example of how those risks can materialize. Based on an in-depth analysis of the event—complementing the authorities’ work—we suggest i) providing incentives for liquidity provision, ii) improving market safeguards, and iii) enhancing the regulation of the Treasury market.
Book Synopsis Price Discovery and Foreign Participation in the Republic of Korea's Government Bond Cash and Futures Markets by : Cyn-Young Park
Download or read book Price Discovery and Foreign Participation in the Republic of Korea's Government Bond Cash and Futures Markets written by Cyn-Young Park and published by . This book was released on 2018 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the impact of foreign participation in Korean Treasury Bond (KTB) futures and its role in price discovery for KTBs, using daily transactions data from the over-the-counter market for KTBs and from the Korea Exchange for the futures. Our analysis suggests that foreign trading in the KTB futures market leads the price discovery process for the underlying bonds. Empirical results show that foreigners' daily net long positions in the futures market exert significant influence in KTB and KTB futures prices. We also find that it is the unexpected component of foreign investors' net long futures positions that explains a significant share of the pricing effects, suggesting that how foreign trading responds to news carries additional information content.
Book Synopsis Futures, the Realistic Hedge for the Reality of Risk by :
Download or read book Futures, the Realistic Hedge for the Reality of Risk written by and published by . This book was released on 1988 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Information Shares in the U.S. Treasury Market by : Bruce Mizrach
Download or read book Information Shares in the U.S. Treasury Market written by Bruce Mizrach and published by . This book was released on 2007 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper characterizes the tatonnement of high-frequency returns from U.S. Treasury spot and futures markets. In particular, we highlight the previously neglected role of the futures markets in price discovery. The highest futures market shares are in the longest maturities. The estimates of 5-year and 10-year GovPX spot market information shares typically fail to reach 50% from 1999 on. The GovPX information shares for the 2-year contract are higher than those of the 5- and 10-year maturities but also decline after 1998. Standard liquidity measures, including the relative bid-ask spreads, number of trades, and realized volatility are statistically significant and explain up to 21% of daily information shares. The futures market gains information share in about 1/4 of the events where public information is released, but days of macroeconomic announcements rarely explain information shares independently of their effects on liquidity.
Book Synopsis The Microstructure of Financial Markets by : Frank de Jong
Download or read book The Microstructure of Financial Markets written by Frank de Jong and published by Cambridge University Press. This book was released on 2009-05-14 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitioners alike to have a much more sophisticated understanding of the dynamics of price formation in financial markets. Frank de Jong and Barbara Rindi provide an integrated graduate level textbook treatment of the theory and empirics of the subject, starting with a detailed description of the trading systems on stock exchanges and other markets and then turning to economic theory and asset pricing models. Special attention is paid to models explaining transaction costs, with a treatment of the measurement of these costs and the implications for the return on investment. The final chapters review recent developments in the academic literature. End-of-chapter exercises and downloadable data from the book's companion website provide opportunities to revise and apply models developed in the text.
Book Synopsis Real-time Price Discovery in Global Stock, Bond and Foreign Exchange Markets by :
Download or read book Real-time Price Discovery in Global Stock, Bond and Foreign Exchange Markets written by and published by . This book was released on 2006 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Price Discovery in Futures and Options Markets by : Naomi E. Boyd
Download or read book Price Discovery in Futures and Options Markets written by Naomi E. Boyd and published by . This book was released on 2016 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate price discovery in the natural gas futures and futures options markets using a transaction based approach. By sampling market maker prices, we allow for a distinction between buy and sell prices, both directly from the futures market, and implied from the options market. Information shares are compared between futures and options markets as well as within the options market. Given the common architecture of the two markets, we find little price information generated in the options market. Within the options market, the highly levered out-of-the-money options offer less price discovery than other options. We attribute this to the higher transactions costs of out-of-the-money options.
Book Synopsis Trading Activity in the Treasury Futures Market and Its Role in Futures Price Fluctuations by : Wenchao Liao
Download or read book Trading Activity in the Treasury Futures Market and Its Role in Futures Price Fluctuations written by Wenchao Liao and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time-Varying Price Discovery in the European Treasury Markets by : Minh Nguyen
Download or read book Time-Varying Price Discovery in the European Treasury Markets written by Minh Nguyen and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the price discovery process in Euro area government bond markets. We analyze the most active German, French, Italian and Spanish sovereign securities traded on the MTS electronic inter-dealer markets for various maturity buckets. We find that the level of contribution to the price discovery process by the bonds of a certain country changes within each maturity bucket. The French market takes price leadership at the short maturity while the German market is more informative at the medium and long maturities. Importantly, we find that the speed of the yield adjustment to the long-term equilibrium relationship among yields varies over time and can be affected by certain explanatory variables. Our results show that economic news announcements reinforce information contributions to the common efficient interest rate and, consequently, lead to larger and faster yield adjustments.
