Macroeconomic Announcements and the Distribution of Price‐Endings in the U.S. Treasury Market

32 Pages Posted: 15 Jan 2017

See all articles by Andrei L. Nikiforov

Andrei L. Nikiforov

Rutgers University

Eugene A. Pilotte

Rutgers Business School - Camden

Date Written: February 2017

Abstract

We investigate how new information impacts quote clustering in the bond market. We find that clustering, along with quote activity, price volatility and bid‐ask spreads, increases sharply in the minutes following releases of macroeconomic news. Each returns to near‐normal levels within the hour. Effects are strongest for more liquid on‐the‐run notes and for the announcements typically associated with substantial information flow. The strong positive comovement of clustering, quote activity, price volatility, and bid‐ask spreads supports the conclusion that innovations of these variables are endogenous to the arrival and incorporation of information into prices.

Keywords: macroeconomic announcements, price resolution, U.S. Treasury securities, clustering

JEL Classification: G10, G14, G23, G24

Suggested Citation

Nikiforov, Andrei L. and Pilotte, Eugene A., Macroeconomic Announcements and the Distribution of Price‐Endings in the U.S. Treasury Market (February 2017). Financial Review, Vol. 52, Issue 1, pp. 69-100, 2017, Available at SSRN: https://ssrn.com/abstract=2899158 or http://dx.doi.org/10.1111/fire.12118

Andrei L. Nikiforov (Contact Author)

Rutgers University ( email )

Camden, NJ 08102
United States
856-225-6594 (Phone)

Eugene A. Pilotte

Rutgers Business School - Camden ( email )

227 Penn Street
Camden, NJ 08102
United States
856-225-6548 (Phone)

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