The role of duration and trades in the information assimilation process of the US Treasury market
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
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 |
|---|---|
| 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)
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
