Mizrach, Bruce; Neely, Christopher J. - In: Journal of Banking & Finance 32 (2008) 7, pp. 1221-1233
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...