Abstract

http://ssrn.com/abstract=943513
 
 

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Price Formation and Liquidity in the U.S. Treasury Market: Evidence from Intraday Patterns Around Announcements


Michael J. Fleming


Federal Reserve Bank of New York

Eli M. Remolona


Bank for International Settlements (BIS) - Monetary and Economic Department

July 1997

FRB of New York Staff Report No. 27

Abstract:     
We identify striking adjustment patterns for price volatility, trading volume, and bid-ask spreads in the U.S. Treasury market when public information arrives. Using newly available high-frequency data, we find a notable lack of trading volume upon a major announcement when prices are most volatile. The bid-ask spread widens dramatically with price volatility and narrows just as dramatically with trading volume. Trading volume surges only after an appreciable lag following the announcement. High levels of price volatility and trading volume then persist, with volume persisting somewhat longer.

Number of Pages in PDF File: 55

JEL Classification: G14

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Date posted: November 11, 2006  

Suggested Citation

Fleming, Michael J. and Remolona, Eli M., Price Formation and Liquidity in the U.S. Treasury Market: Evidence from Intraday Patterns Around Announcements (July 1997). FRB of New York Staff Report No. 27. Available at SSRN: http://ssrn.com/abstract=943513 or http://dx.doi.org/10.2139/ssrn.943513

Contact Information

Michael J. Fleming (Contact Author)
Federal Reserve Bank of New York ( email )
33 Liberty Street
New York, NY 10045
United States
212-720-6372 (Phone)
212-720-1582 (Fax)
HOME PAGE: http://www.newyorkfed.org/research/economists/fleming/
Eli M. Remolona
Bank for International Settlements (BIS) - Monetary and Economic Department ( email )
Centralbahnplatz 2
CH-4002 Basle
Switzerland
+41 61 280 8414 (Phone)
+41 61 280 8100 (Fax)
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