Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market
In this paper, we identify jumps in U.S. Treasury-bond (T-bond) prices and investigate what causes such unexpected large price changes. In particular, we examine the relative importance of macroeconomic news announcements versus variation in market liquidity in explaining the observed jumps in the U...
| मुख्य लेखकों: | , , |
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| अन्य लेखक: | |
| स्वरूप: | लेख |
| भाषा: | en_US |
| प्रकाशित: |
Cambridge University Press
2012
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| ऑनलाइन पहुंच: | http://hdl.handle.net/1721.1/72081 https://orcid.org/0000-0002-0319-5531 |