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dc.contributor.authorJiang, George J.en_US
dc.contributor.authorLo, Ingriden_US
dc.date.accessioned2011-02-22en_US
dc.date.accessioned2011-12-15T12:58:34Z-
dc.date.available2011-12-15T12:58:34Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/53945-
dc.description.abstractExisting studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information contributes significantly to price discovery for U.S. Treasury securities. In this paper, we use high frequency transaction data for 2-, 5-, and 10-year Treasury notes and employ a Markov switching model to identify intraday private information flow in the U.S. Treasury market. We show that the probability of private information flow (PPIF) identified in our model effectively captures permanent price effects in U.S. Treasury securities. In addition, our results show that public information shocks and heterogeneous private information are the main factors of bond price discovery on announcement days, whereas private information and liquidity shocks play more important roles in bond price variation on non-announcement days. Most interestingly, our results show that the role of heterogeneous private information is more prominent when public information shocks are either high or low. Furthermore, we show that heterogeneous private information flow is followed by low trading volume, low total market depth and hidden depth. The pattern is more pronounced on non-announcement days.en_US
dc.language.isoengen_US
dc.publisherBank of Canada Ottawaen_US
dc.relation.ispartofseriesBank of Canada Working Paper 2011,5en_US
dc.subject.jelG12en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordFinancial marketsen_US
dc.subject.keywordMarket structure and pricingen_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwInformationsversorgungen_US
dc.subject.stwSchocken_US
dc.subject.stwSchatzpapieren_US
dc.subject.stwPreisen_US
dc.subject.stwUSAen_US
dc.titlePrivate information flow and price discovery in the U.S. treasury marketen_US
dc.typeWorking Paperen_US
dc.identifier.ppn647159759en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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