کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090763 | 1375645 | 2008 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Information shares in the US Treasury market
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper highlights the previously neglected role of the futures markets in US Treasury price discovery. The estimates of 5- 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. Relative bid-ask spreads, number of trades, and realized volatility are statistically significant and explain up to 21% of daily information shares. In roughly 1/4 of cases when public information is released, the futures market gains information share, but macroeconomic announcements rarely explain information shares independently of liquidity.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 32, Issue 7, July 2008, Pages 1221-1233
Journal: Journal of Banking & Finance - Volume 32, Issue 7, July 2008, Pages 1221-1233
نویسندگان
Bruce Mizrach, Christopher J. Neely,