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The role of duration and trades in the information assimilation process of the US treasury market

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The Role of Duration and Trades in the Information Assimilation Process of the US Treasury Market

Chen, Peter Huaiyu; Man, Kasing; Wang, Junbo; Wu, Chunchi - In: Advances in Pacific basin business, economics and finance, (pp. 155-200). 2019

We examine the informational roles of trades and time between trades in the domestic and overseas US Treasury markets. A vector autoregressive model is employed to assess the information content of trades and time duration between trades. We find significant impacts of trades and time duration...

Persistent link: https://www.econbiz.de/10015090203

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