Information shares in the US Treasury market
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.
Year of publication: |
2008
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Authors: | Mizrach, Bruce ; Neely, Christopher J. |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 32.2008, 7, p. 1221-1233
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Publisher: |
Elsevier |
Saved in:
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