Chartrath, Arjun; Chaudhry, Mukesh; Christie-David, Rohan - In: Journal of Business Finance & Accounting 27 (2000-09) 7&8, pp. 1003-1025
We examine information flows between the constituents of the NOB (notes-over-bonds) and MOB (municipals-over-bonds) futures spreads. The results suggest a bicausal relationship between notes and bonds and a unicausal relationship from bonds to municipals. Shocks in the bond market have a large...