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Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements

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  • Michael J. Fleming
  • Eli M. Remolona

Abstract

We find striking intraday adjustment patterns for price volatility, trading volume, and bid-ask spreads in the U.S. Treasuries market around the time of macroeconomic announcements. The patterns suggest certain hypotheses about price formation and liquidity provision in multiple-dealer markets. These hypotheses assign new importance to public information, heterogeneous views, sluggish price discovery, traditional inventory-control behavior by market makers, and liquidity traders who react with a lag to price changes.

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Bibliographic Info

Paper provided by Federal Reserve Bank of New York in its series Research Paper with number 9633.

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Date of creation: 1996
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Handle: RePEc:fip:fednrp:9633

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Keywords: Open market operations ; Government securities;

References

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  4. Michael J. Fleming, 1997. "The round-the-clock market for U.S. Treasury securities," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 9-32.
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Citations

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Cited by:
  1. Dominique Dupont, 1997. "Extracting information from trading volume," Finance and Economics Discussion Series 1997-20, Board of Governors of the Federal Reserve System (U.S.).
  2. Kim, Suk-Joong & Sheen, Jeffrey, 2001. "Minute-by-minute dynamics of the Australian bond futures market in response to new macroeconomic information," Journal of Multinational Financial Management, Elsevier, vol. 11(2), pages 117-137, April.
  3. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO.
  4. Dominique Dupont, 1997. "Trading volume and information distribution in a market-clearing framework," Finance and Economics Discussion Series 1997-41, Board of Governors of the Federal Reserve System (U.S.).
  5. Francisco Alonso & Roberto Blanco & Ana del Río & Alicia Sanchis, 2000. "Estimating Liquidity Premia in the Spanish Government Securities Market," Banco de Espa�a Working Papers 0017, Banco de Espa�a.

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