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dc.contributor.authorJiang, George J.en
dc.contributor.authorLo, Ingriden
dc.date.accessioned2011-02-22-
dc.date.accessioned2011-12-15T12:58:34Z-
dc.date.available2011-12-15T12:58:34Z-
dc.date.issued2011-
dc.identifier.pidoi:10.34989/swp-2011-5en
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
dc.language.isoengen
dc.publisher|aBank of Canada |cOttawaen
dc.relation.ispartofseries|aBank of Canada Working Paper |x2011-5en
dc.subject.jelG12en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordFinancial marketsen
dc.subject.keywordMarket structure and pricingen
dc.subject.stwFinanzmarkten
dc.subject.stwInformationsversorgungen
dc.subject.stwSchocken
dc.subject.stwSchatzpapieren
dc.subject.stwPreisen
dc.subject.stwUSAen
dc.titlePrivate information flow and price discovery in the U.S. treasury market-
dc.typeWorking Paperen
dc.identifier.ppn647159759en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:bca:bocawp:11-5en

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