IDEAS home Printed from https://ideas.repec.org/a/rba/rbabul/jun2012-06.html
   My bibliography  Save this article

Liquidity in the Australian Treasury Bond Futures Market

Author

Listed:
  • Bobby Lien

    (Reserve Bank of Australia)

  • Andrew Zurawski

    (Reserve Bank of Australia)

Abstract

Australian Treasury bond futures contracts are used by market participants to manage interest rate exposures. Relative to other financial instruments, the market generally has high turnover and low transaction costs. However, the global financial crisis saw a decline in liquidity, with market participants reacting to increased volatility by trading smaller parcels more frequently, and at a higher cost. More recently, liquidity in the market has improved. Intraday data suggest that liquidity is deepest following the opening of the market, and that liquidity is affected by the release of economic and financial news, particularly the announcement of the outcome of Reserve Bank Board meetings.

Suggested Citation

  • Bobby Lien & Andrew Zurawski, 2012. "Liquidity in the Australian Treasury Bond Futures Market," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 49-58, June.
    • Handle: RePEc:rba:rbabul:jun2012-06
    as

    Download full text from publisher

    File URL: https://www.rba.gov.au/publications/bulletin/2012/jun/pdf/bu-0612-6.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Richard Finlay & David Olivan, 2012. "Extracting Information from Financial Market Instruments," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 45-54, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chris Becker & Jonathan Lees & Andrew Zurawski, 2013. "Infrastructure Developments in the Market for Commonwealth Government Securities," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 47-54, September.
    2. Jon Cheshire, 2015. "Market Making in Bond Markets," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 63-74, March.
    3. Belinda Cheung, 2014. "Trading in Treasury Bond Futures Contracts and Bonds in Australia," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 47-52, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ryan Fox & Peter Tulip, 2014. "Is Housing Overvalued?," RBA Research Discussion Papers rdp2014-06, Reserve Bank of Australia.
    2. Tahlee Stone, 2016. "The Sensitivity of Personal Income to GDP Growth," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 1-9, December.
    3. Rui Chen & Meng Wang & Jiri Svec, 2017. "Australian Bond Excess Returns: An Asset Allocation Perspective," Australian Economic Papers, Wiley Blackwell, vol. 56(2), pages 163-173, June.
    4. Angus Moore, 2016. "Measures of Inflation Expectations in Australia," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 23-31, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rba:rbabul:jun2012-06. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Paula Drew (email available below). General contact details of provider: https://edirc.repec.org/data/rbagvau.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.