Price discovery in the treasury futures market

Journal of Futures Markets - Tập 27 Số 11 - Trang 1021-1051 - 2007
Michael W. Brandt1, Kenneth A. Kavajecz2, Shane Underwood3
1Fuqua School of Business of Duke University and is also affiliated with the NBER
2School of Business of the University of Wisconsin-Madison
3Jesse H. Jones Graduate School of Management of Rice University

Tóm tắt

AbstractThe paper conducts a regression analysis utilizing both futures and cash market prices and net orderflow to determine where price discovery takes place as well as the forces at play that influence the location. Specifically, given the strong theoretical linkage between the U.S. Treasury cash and futures markets, they compare how orderflow contributes to price discovery and analyze how and when information flows from one market to the other. How a number of environmental variables (trader type, financing rates, and liquidity) impact the information flows between these two markets is also considered. Their findings provide new evidence on the extent to which price discovery happens away from a primary market. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27: 1021–1051, 2007

Từ khóa


Tài liệu tham khảo

Anderson T.G., 2004, Real‐time price discovery in stock, bond and foreign exchange markets (working paper)

10.1111/j.1540-6261.2004.00711.x

Burghardt G., 1994, The Treasury Bond Basis

10.1111/0022-1082.00189

10.1111/0022-1082.194060

10.1086/324391

10.1016/S0261-5606(02)00024-4

Ferguson M. &Mann S.(1999).The impact of off‐exchange customer trades on prices: evidence from the futures markets (working paper). Fort Worth TX: Texas Christian University.

Fleming M., 1997, What moves the bond market?, Federal Reserve Bank of New York Economic Policy Review, 3, 31

10.1111/0022-1082.00172

10.1016/0304-405X(85)90044-3

10.1111/j.1540-6261.2004.00660.x

He C.(2005).The influence of institutional trading (working paper). Madison WI: University of Wisconsin‐Madison.

10.2307/2331241

10.1016/0304-405X(94)00799-7

10.1016/S0304-405X(97)00031-7

10.2307/1913210

10.1093/rfs/9.3.953

Menkveld A. Sarkar A. &van der Wel M.(2006).The informativeness of customer order flow following macroeconomic announcements: Evidence from the Treasury futures markets (working paper). New York NY: Federal Reserve Bank of New York.

Mizrach B. &Neely C.(2006).Price discovery in the U.S. Treasury market (working paper). St. Louis MO: Federal Reserve Bank of St. Louis.

Rosenberg J. &Traub L.(2006).Price discovery in the foreign currency futures and spot market (working paper). New York NY: Federal Reserve Bank of New York.

10.2307/2331036

Underwood S.(2006).The cross‐market information content of stock and bond orderflow (working paper). Houston TX: Rice University.

Thông tin
Thông tin xuất bản

Journal of Futures Markets

Tập 27 Số 11

1021-1051

Thông tin tác giả