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The microstructure of China's government bond market
Bai, Jennie; Fleming, Michael J.; Horan, Casidhe - 2013
Although China now has one of the largest government bond markets in the world, the market has received relatively little attention and analysis. We describe the history and structure of the market and assess its functioning. We find that trading in individual bonds was historically sparse but...
Persistent link: https://www.econbiz.de/10009752795
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Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities
Fleming, Michael J.; Nguyen, Giang H. - 2013
a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the … dynamics of price and segmented order flow induced by the protocol. We find that the dark liquidity pool generally contains … liquidity providers to guard against adverse price movements than as a channel to hide private information. …
Persistent link: https://www.econbiz.de/10009781862
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ECB monetary operations and the interbank repo market
Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - 2013
We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...
Persistent link: https://www.econbiz.de/10010222894
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Dealers and the dealer of last resort : evidence from MBS markets in the COVID-19 crisis
Chen, Jiakai; Liu, Haoyang; Sarkar, Asani; Song, Zhaogang - 2021 - Revised May 2021
liquidity shock. Dealers provided liquidity by increasing both their long cash and short forward positions significantly, but … subject to Basel III liquidity regulations increased their positions more than others. The basis narrowed by about $0 … combined liquidity constraints of investors and dealers led to severe price dislocations, and the Fed, in its role as the …
Persistent link: https://www.econbiz.de/10012243623
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The joint dynamics of liquidity, returns, and volatility across small and large firms
Chordia, Tarun (contributor); Sarkar, Asani (contributor);  … - 2005
This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility …, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using … data that spans more than 3,000 trading days. We find that volatility and liquidity innovations in one sector are …
Persistent link: https://www.econbiz.de/10002746486
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Asset price effects of peer benchmarking : evidence from a natural experiment
Acharya, Sushant; Pedraza, Alvaro - 2015
We estimate the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, we exploit a natural experiment involving a change in a government-imposed...
Persistent link: https://www.econbiz.de/10010514042
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The Federal Reserve and market confidence
Boyarchenko, Nina; Haddad, Valentin; Plosser, Matthew C. - 2016
We discover a novel monetary policy shock that has a widespread impact on aggregate financial conditions. Our shock can be summarized by the response of long-horizon yields to Federal Open Market Committee (FOMC) announcements; not only is it orthogonal to changes in the near-term path of policy...
Persistent link: https://www.econbiz.de/10011446542
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Inference, arbitrage, and asset price volatility
Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008
Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy assets in response to temporary price declines (the...
Persistent link: https://www.econbiz.de/10002101431
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Trading risk and volatility in interest rate swap spreads
Kambhu, John (contributor) - 2004 - [Elektronische Ressource]
This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which...
Persistent link: https://www.econbiz.de/10001936329
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The microstructure of a US Treasury ECN : the BrokerTec platform
Fleming, Michael J.; Mizrach, Bruce Marshall - 2009
-, ten-, and thirty-year Treasury securities, we find that market liquidity is greater than that found in earlier studies …
Persistent link: https://www.econbiz.de/10003864593