The role of duration and trades in the information assimilation process of the US Treasury market

Peter Huaiyu Chen; Kasing Man; Junbo WANG; Chunchi Wu

doi:10.1108/S2514-465020190000007007

Author(s)

Peter Huaiyu Chen
Kasing Man
Junbo WANG
Chunchi Wu

Related Research Unit(s)

Department of Economics and Finance

Detail(s)

Original language	English
Pages (from-to)	155-200
Journal / Publication	Advances in Pacific Basin Business, Economics and Finance
Volume	7
Online published	21 Aug 2019
Publication status	Published - 2019

Link(s)

DOI	DOI https://doi.org/10.1108/S2514-465020190000007007 Final Published version
	Check@CityULib
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(cd7af49f-8f3f-4c6d-ab56-edf432a92e40).html

Abstract

We examine the informational roles of trades and time between trades in the domestic and overseas US Treasury markets. A vector autoregressive model is employed to assess the information content of trades and time duration between trades. We find significant impacts of trades and time duration between trades on price changes. Larger trade size induces greater price revision and return volatility, and higher trading intensity is associated with a greater price impact of trades, a faster price adjustment to new information and higher volatility. Higher informed trading and lower liquidity contribute to larger bid-ask spreads off the regular daytime trading period.

Research Area(s)

Time duration, return dynamics, Weibull distribution, impulse response function, informed trading, Treasury bonds

Bibliographic Note

Research Unit(s) information for this publication is provided by the author(s) concerned.

Citation Format(s)

[ RIS ] [ BibTeX ]

The role of duration and trades in the information assimilation process of the US Treasury market. / Chen, Peter Huaiyu; Man, Kasing; WANG, Junbo et al.
In: Advances in Pacific Basin Business, Economics and Finance, Vol. 7, 2019, p. 155-200.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

Chen, PH, Man, K, WANG, J & Wu, C 2019, 'The role of duration and trades in the information assimilation process of the US Treasury market', Advances in Pacific Basin Business, Economics and Finance, vol. 7, pp. 155-200. https://doi.org/10.1108/S2514-465020190000007007

Chen, P. H., Man, K., WANG, J., & Wu, C. (2019). The role of duration and trades in the information assimilation process of the US Treasury market. Advances in Pacific Basin Business, Economics and Finance, 7, 155-200. Advance online publication. https://doi.org/10.1108/S2514-465020190000007007

Chen PH, Man K, WANG J, Wu C. The role of duration and trades in the information assimilation process of the US Treasury market. Advances in Pacific Basin Business, Economics and Finance. 2019;7:155-200. Epub 2019 Aug 21. doi: 10.1108/S2514-465020190000007007

Chen, Peter Huaiyu ; Man, Kasing ; WANG, Junbo et al. / The role of duration and trades in the information assimilation process of the US Treasury market. In: Advances in Pacific Basin Business, Economics and Finance. 2019 ; Vol. 7. pp. 155-200.