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Private Information Flow and Price Discovery in the U.S. Treasury Market

Citations

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Cited by:

  1. M. Frömmel & X. Han & F. Van Gysegem, 2013. "News, Liquidity Dynamics and Intraday Jumps: Evidence from the HUF/EUR market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 13/848, Ghent University, Faculty of Economics and Business Administration.
  2. Warren Bailey & Lin Zheng & Yinggang Zhou, 2012. "What Makes the VIX Tick?," Working Papers 222012, Hong Kong Institute for Monetary Research.
  3. Kitamura, Yoshihiro, 2016. "The probability of informed trading measured with price impact, price reversal, and volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 77-90.
  4. Ivan Indriawan & Feng Jiao & Yiuman Tse, 2019. "The impact of the US stock market opening on price discovery of government bond futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 779-802, July.
  5. Fleming, Michael J. & Mizrach, Bruce & Nguyen, Giang, 2018. "The microstructure of a U.S. Treasury ECN: The BrokerTec platform," Journal of Financial Markets, Elsevier, vol. 40(C), pages 2-22.
  6. Paiardini, Paola, 2014. "The impact of economic news on bond prices: Evidence from the MTS platform," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 302-322.
  7. Dungey, Mardi & Hvozdyk, Lyudmyla, 2012. "Cojumping: Evidence from the US Treasury bond and futures markets," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1563-1575.
  8. Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2019. "Overnight momentum, informational shocks, and late informed trading in China," International Review of Financial Analysis, Elsevier, vol. 66(C).
  9. Imane El Ouadghiri & Valérie Mignon & Nicolas Boitout, 2016. "On the impact of macroeconomic news surprises on Treasury-bond returns," Annals of Finance, Springer, vol. 12(1), pages 29-53, February.
  10. Quan Chen & Sang-Bing Tsai & Yuming Zhai & Chien-Chi Chu & Jie Zhou & Guodong Li & Yuxiang Zheng & Jiangtao Wang & Li-Chung Chang & Chao-Feng Hsu, 2018. "An Empirical Research on Bank Client Credit Assessments," Sustainability, MDPI, vol. 10(5), pages 1-17, May.
  11. Su, Zhifang & Bao, Haohua & Li, Qifang & Xu, Boyu & Cui, Xin, 2022. "The prediction of price gap anomaly in Chinese stock market: Evidence from the dependent functional logit model," Finance Research Letters, Elsevier, vol. 47(PB).
  12. Kapetanios, George & Konstantinidi, Eirini & Neumann, Michael & Skiadopoulos, George, 2019. "Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market," Journal of Financial Markets, Elsevier, vol. 46(C).
  13. Sun, Bianxia & Gao, Yang, 2020. "Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  14. Jiang, George J. & Konstantinidi, Eirini & Skiadopoulos, George, 2012. "Volatility spillovers and the effect of news announcements," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2260-2273.
  15. Kuttu, Saint & Aboagye, Anthony Q.Q. & Bokpin, Godfred A., 2018. "Evidence of time-varying conditional discrete jump dynamics in sub-Saharan African foreign exchange markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 211-226.
  16. Zhang, Chuanhai & Liu, Zhi & Liu, Qiang, 2021. "Jumps at ultra-high frequency: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  17. Li, Guangzhong & Zhu, Jiaqing & Li, Jie, 2016. "Understanding bilateral exchange rate risks," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 103-129.
  18. Zhu, Jiaqing, 2019. "External financial liabilities and real exchange rate jumps," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 202-220.
  19. Cui, Xin & Sensoy, Ahmet & Nguyen, Duc Khuong & Yao, Shouyu & Wu, Yiyao, 2022. "Positive information shocks, investor behavior and stock price crash risk," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 493-518.
  20. Lee A. Smales, 2021. "The effect of treasury auctions on 10‐year Treasury note futures," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1517-1555, April.
  21. Serdengeçti, Süleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2021. "Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  22. Jian, Zhihong & Zhu, Zhican & Zhou, Jie & Wu, Shuai, 2020. "Intraday price jumps, market liquidity, and the magnet effect of circuit breakers," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 168-186.
  23. Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019. "Jumps in commodity markets," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 55-70.
  24. Füss, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael, 2018. "Something in the air: Information density, news surprises, and price jumps," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 50-75.
  25. Broto, Carmen & Lamas, Matías, 2020. "Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries," Economic Modelling, Elsevier, vol. 93(C), pages 217-229.
  26. Conlon, Thomas & Corbet, Shaen & Hou, Yang (Greg), 2024. "Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  27. Smales, L.A., 2021. "Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?," Global Finance Journal, Elsevier, vol. 48(C).
  28. Zhang, Hao & Zhu, Jiaqing, 2022. "Does trade cause fear of appreciation?," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 68-80.
  29. Dumitru, Ana-Maria & Urga, Giovanni, 2016. "Jumps and Information Asymmetry in the US Treasury Market," EconStor Preprints 130148, ZBW - Leibniz Information Centre for Economics.
  30. James, Robert & Jarnecic, Elvis & Leung, Henry, 2022. "Who Values Economist Forecasts? Evidence From Trading in Treasury Markets," Journal of Financial Intermediation, Elsevier, vol. 49(C).
  31. Zhihong Jian & Zhican Zhu & Jie Zhou & Shuai Wu, 2018. "The Magnet Effect of Circuit Breakers: A role of price jumps and market liquidity," Departmental Working Papers 2018-01, The University of Winnipeg, Department of Economics.
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