Public information, price volatility and trading volume in US bond markets

Mardi Dungey, Alex Frino, Michael D. McKenzie

Research output: Contribution to journalArticle

Abstract

Prices in bond markets have been noted as moving extremely rapidly following macroeconomic news announcements – with a delayed increase in trading volume. New data allows us to demonstrate that the previously unexplained dichotomy between rapid price and sluggish volume movement in the US Treasuries cash market originates with rapid price and volume change in the Treasury futures market. Consistent with research in other markets, the Treasury futures lead price discovery in the cash market.
Original languageEnglish
Pages (from-to)17-41
Number of pages25
JournalReview of futures markets
Volume17
Issue number1
Publication statusPublished - 2008
Externally publishedYes

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    Dungey, M., Frino, A., & McKenzie, M. D. (2008). Public information, price volatility and trading volume in US bond markets. Review of futures markets, 17(1), 17-41.