The Round-the-Clock Market for U.S. Treasury Securities

[...]This article provides the first detailed intraday analysis of the round-the-clock market for U.S. Treasurysecurities. The analysis, covering the period from April 4to August 19, 1994, uses comprehensive data on tradingactivity among the primary government securities dealers.Trading volume, price volatility, and bid-ask spreads are examined for the three major trading locations—NewYork, London, and Tokyo—as well as for each half-hourinterval of the global trading day. Price efficiency acrosstrading locations is also tested by examining the relationshipbetween price changes observed overseas and overnightprice changes in New York.[...]