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into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity … correlated, and (iv) can increase strongly and nearly instantaneously if new information arrives. …
Persistent link: https://www.econbiz.de/10010411945
Macro announcements change the equilibrium riskfree rate. We find that treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow in the 15 minutes after the announcement to discover the full impact. We show that this customer flow...
Persistent link: https://www.econbiz.de/10003863839