-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds …, hide the fact that information shares for the U.S. futures markets declined throughout 2004-05 apparently as a result of … improvements in the spot market BrokerTec platform. Day-to-day variation in price discovery information shares is related to bid …

market covariation. Those studies, however, do not account for the presence of asymmetric information, where sophisticated … investors generate private information about the fundamentals that drive returns in many countries. In this paper, the authors … use a new microstructure data set to better identify the effects of private and public information shocks about U …

form of price discovery in the sense that they help to quickly incorporate market information into bond prices. …

Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as … manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information … for 2-, 5-, and 10-year Treasury notes and employ a Markov switching model to identify intraday private information flow …

In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We … follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in …

Differences in market structures may affect the manner in which fundamental information is incorporated into prices … model. In European markets, dealers are able to quickly absorb private information elsewhere in the market. Consequently …, order flow, which reflects inventory management practices in addition to private information, explains a smaller proportion …