Price discovery in the U.S. treasury market : price contribution and trade informativeness
美國國債市場中的價格發現 : 不同市場的價格貢獻與交易信息量
Student thesis: Doctoral Thesis
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Detail(s)
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Award date | 2 Oct 2015 |
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Permanent Link | https://scholars.cityu.edu.hk/en/theses/theses(ec689baf-8f99-4468-a1f0-dd7eeb22be9c).html |
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Other link(s) | Links |
Abstract
In this thesis, using a comprehensive tick-by-tick data set from BrokerTec,
I investigate the round-the-clock price discovery process in the U.S. Treasury
market, especially focusing on the intraday distribution of price discovery
and the information content of trades. In the first part of this
study, I find that all the three major markets, Tokyo, London and New
York, have significant contributions to price discovery in that the New
York market contributes the largest proportion, followed by Tokyo and
London markets. Furthermore, the regression results show that, in general,
aggregate trading activity and market order imbalance are positively
related with the magnitude of price discovery. However, market liquidity
appears not to affect price discovery very much, except for the Tokyo
market. Besides, on macroeconomic announcement days, while price discovery
in Tokyo is significantly lower, more price discovery occurs during
the regular trading hours in New York. The increased price discovery
following macroeconomic announcements is positively related to the announcement
surprises which loses its explanatory power after controlling
for other trading activity variables. In the second part of the study, I
find that the informativeness of trades is relatively high during the preopen
and postclose periods, followed by the regular trading hours (except
for the 2-year note), and lowest in the overnight market. Moreover, the
regression results show that the informativeness of trades is negatively
affected by trading volume and declines when the liquidity is low. Order
imbalance has a positive and significant effect on the informativeness of
trades during the preopen period and regular trading hours. Larger trades
convey more information in the overnight market and the preopen period.
During the 2007–2009 global financial crisis, the informativeness of trades
is significantly lower, indicating that public information contributes more
to price discovery in times of financial turmoil. In addition, compared to
nonannouncement days, the informativeness of trades on announcement
days decreases before and right after announcements. The decrease in
the informativeness of trades following announcements is negatively and
significantly related to the announcement surprise.
- Government securities, United States., Prices