Public Information, price volatility, and trading volume in U.S. bond markets

McKenzie, M, Dungey, M and Frino, A 2008, 'Public Information, price volatility, and trading volume in U.S. bond markets', Review of Future Markets, vol. 17, no. 1, pp. 17-41.


Document type: Journal Article
Collection: Journal Articles

Title Public Information, price volatility, and trading volume in U.S. bond markets
Author(s) McKenzie, M
Dungey, M
Frino, A
Year 2008
Journal name Review of Future Markets
Volume number 17
Issue number 1
Start page 17
End page 41
Total pages 25
Publisher Chicago Board of Trade
Abstract Prices in bond markets have been noted as moving extremely rapidly following macroeconomic news announcements - with a delayed increase in trading volume. New data allows us to demonstrate that the previously unexplained dichotomy between rapid price and sluggish volume movement in the US Treasuries cash market originates with rapid price and volume change in the Treasury futures market. Consistent with research in other markets, the Treasury futures lead price discovery in the cash market.
Subject Finance
ISSN 0898-011X
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Created: Mon, 13 Dec 2010, 14:37:00 EST by Catalyst Administrator
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