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

Author: Michael J Fleming; Eli M Remolona; Federal Reserve Bank of New York.
Publisher: New York, N.Y. : Federal Reserve Bank of New York, [1997]
Series: Staff reports (Federal Reserve Bank of New York), no. 27.
Edition/Format:   eBook : EnglishView all editions and formats
Summary:
"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.  Read more...
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Additional Physical Format: Online version:
Fleming, Michael J.
Price formation and liquidity in the U.S. treasury market.
New York, N.Y. : Federal Reserve Bank of New York, [1997]
(OCoLC)776408401
Material Type: Internet resource
Document Type: Internet Resource
All Authors / Contributors: Michael J Fleming; Eli M Remolona; Federal Reserve Bank of New York.
OCLC Number: 37502407
Notes: "June 1997."
Description: 35, [19] pages : illustrations ; 22 cm.
Series Title: Staff reports (Federal Reserve Bank of New York), no. 27.
Responsibility: Michael J. Fleming and Eli M. Remolona.

Abstract:

"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"--Abstract.

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