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Author : George J. Jiang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (726 download)
Download or read book Private Information Flow and Price Discovery in the U.S. Treasury Market written by George J. Jiang and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bruce Mizrach
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (129 download)
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.
Author : 陳杰
Publisher :
ISBN 13 :
Total Pages : 106 pages
Book Rating : 4.:/5 (954 download)
Download or read book Price Discovery in the U.S. Treasury Market written by 陳杰 and published by . This book was released on 2015 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael W. Brandt
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (837 download)
Download or read book Price Discovery in the U.S. Treasury Market written by Michael W. Brandt and published by . This book was released on 2000 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael W. Brandt
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (249 download)
Download or read book Price Discovery in the U.S. Treasury Market written by Michael W. Brandt and published by . This book was released on 2003 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) can account for as much as 26 percent of the day-to-day variation in yields on days without major macroeconomic announcements. The effect of orderflow on yields is permanent and strongest when liquidity is low. All of the evidence points toward an important role of price discovery on understanding the behavior of the yield curve
Author : Yan He
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (129 download)
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.
Author : Michael W. Brandt
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)
Download or read book Price Discovery in the U.S. Treasury Market written by Michael W. Brandt and published by . This book was released on 2010 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) can account for as much as 26 percent of the day-to-day variation in yields on days without major macroeconomic announcements. The effect of orderflow on yields is permanent and strongest when liquidity is low. All of the evidence points toward an important role of price discovery on understanding the behavior of the yield curve.
Author : Michael W. Brandt
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
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.
Author : George J. Jiang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (778 download)
Download or read book Information Shocks, Jumps, and Price Discovery - Evidence from the U.S. Treasury Market written by George J. Jiang and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James Collin Harkrader
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (122 download)
Download or read book Price Discovery in the U.S. Treasury Cash Market written by James Collin Harkrader and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Antoine Bouveret
Publisher : International Monetary Fund
ISBN 13 : 1513576224
Total Pages : 44 pages
Book Rating : 4.5/5 (135 download)
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.
Author : Frank de Jong
Publisher : Cambridge University Press
ISBN 13 : 1139478443
Total Pages : 209 pages
Book Rating : 4.1/5 (394 download)
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.
Author : Bank of Canada
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (874 download)
Download or read book Private Information Flow and Price Discovery in the U.S. Treasury Market. February 2011 written by Bank of Canada and published by . This book was released on 2011 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Craig Furfine
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (627 download)
Download or read book Price Discovery in a Market Under Stress written by Craig Furfine and published by . This book was released on 2005 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George J. Jiang
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (129 download)
Download or read book Information Shocks, Liquidity Shocks, Jumps, and Price Discovery written by George J. Jiang and published by . This book was released on 2013 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we identify jumps in U.S. Treasury-bond (T-bond) prices and investigate what causes such unexpected large price changes. In particular, we examine the relative importance of macroeconomic news announcements versus variation in market liquidity in explaining the observed jumps in the U.S. Treasury market. We show that while jumps occur mostly at prescheduled macroeconomic announcement times, announcement surprises have limited power in explaining bond price jumps. Our analysis further shows that preannouncement liquidity shocks, such as changes in the bid-ask spread and market depth, have significant predictive power for jumps. The predictive power is significant even after controlling for information shocks. Finally, we present evidence that post-jump order flow is less informative relative to the case where there is no jump at announcement.
Author : Bank of Canada
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (874 download)
Download or read book Information Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market. July 2008 written by Bank of Canada and published by . This book was released on 2008 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael J. Fleming
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (13 download)
Download or read book Price and Size Discovery in Financial Markets written by Michael J. Fleming and published by . This book was released on 2018 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the workup protocol, an important size discovery mechanism in the U.S. Treasury securities market. We find that shocks in workup order flow explain 6-8 percent of the variation of returns on benchmark notes and, across maturities, contribute 10 percent to the variation of the yield curve level factor. Information related to proprietary client order flow is more likely to show up in workup trades, whereas information derived from public announcements is more likely to come through pre-workup (or “lit”) trades. Our findings highlight how the nature of information affects the trade-off between speed and execution price as informed traders choose between the lit and workup channels.
