Duration and Price Impacts of Trades in U.S. Treasury Market

Project: Research

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This study proposes to use the unique transaction database GovPX to examine the price discovery process of the US Treasury market. First, the dynamic relationship among returns, volatility and trades will be examined. The dynamic analysis helps to ascertain the information assimilation process in the Treasury market and the microstructural implications for bond pricing. Second, the information content of trades in different trading periods of a trading day will be assessed. Third, the price discovery process of the round-the-clock Treasury market will be explored. Along this line, the quality of the daytime and overnight markets will be evaluated, in addition to their relative contribution to price discovery of the Treasury market. Fourth, the speed of price and volatility response to trade information will be evaluated for both the US and foreign markets. Finally, the informed and uninformed components of price changes will be estimated along with the analysis of the determinants of bid-ask spreads.


Project number9041175
Grant typeGRF
Effective start/end date1/01/0728/08/08