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 journalpeer-review

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Original languageEnglish
Pages (from-to)155-200
Journal / PublicationAdvances in Pacific Basin Business, Economics and Finance
Online published21 Aug 2019
Publication statusPublished - 2019


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

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