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Liquidity in the Australian Treasury Bond Futures Market

Author

Listed:
  • Bobby Lien

    (Reserve Bank of Australia)

  • Andrew Zurawski

    (Reserve Bank of Australia)

Abstract

Australian Treasury bond futures contracts are used by market participants to manage interest rate exposures. Relative to other financial instruments, the market generally has high turnover and low transaction costs. However, the global financial crisis saw a decline in liquidity, with market participants reacting to increased volatility by trading smaller parcels more frequently, and at a higher cost. More recently, liquidity in the market has improved. Intraday data suggest that liquidity is deepest following the opening of the market, and that liquidity is affected by the release of economic and financial news, particularly the announcement of the outcome of Reserve Bank Board meetings.

Suggested Citation

  • Bobby Lien & Andrew Zurawski, 2012. "Liquidity in the Australian Treasury Bond Futures Market," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 49-58, June.
    • Handle: RePEc:rba:rbabul:jun2012-06
    as

    Download full text from publisher

    File URL: https://www.rba.gov.au/publications/bulletin/2012/jun/pdf/bu-0612-6.pdf
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    References listed on IDEAS

    as
    1. Richard Finlay & David Olivan, 2012. "Extracting Information from Financial Market Instruments," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 45-54, March.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Jon Cheshire, 2015. "Market Making in Bond Markets," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 63-74, March.
    2. Chris Becker & Jonathan Lees & Andrew Zurawski, 2013. "Infrastructure Developments in the Market for Commonwealth Government Securities," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 47-54, September.
    3. Belinda Cheung, 2014. "Trading in Treasury Bond Futures Contracts and Bonds in Australia," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 47-52, September.

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