55 Pages Posted: 11 Nov 2006
Date Written: July 1997
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.
JEL Classification: G14
Suggested Citation: 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: https://ssrn.com/abstract=943513 or http://dx.doi.org/10.2139/ssrn.943513