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

  • Michael J. Fleming
  • Eli M. Remolona

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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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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