The impact of the US stock market opening on price discovery of government bond futures

被引：4

作者：

Indriawan, Ivan ^{[1
]}

Jiao, Feng ^{[2
]}

Tse, Yiuman ^{[3
]}

机构：

[1] Auckland Univ Technol, Finance Dept, Auckland, New Zealand

[2] Univ Lethbridge, Dhillon Sch Business, 4401 Univ Dr, Lethbridge, AB T1K 3M4, Canada

[3] Univ Missouri, Finance & Legal Studies Dept, St Louis, MO 63121 USA

来源：

JOURNAL OF FUTURES MARKETS | 2019年 / 39卷 / 07期

关键词：

government bond futures; information share; price discovery; sequential markets; TRADING VOLUME; ORDER FLOW; INFORMATION; VOLATILITY; LIQUIDITY; LINKAGES; SECURITY; UK;

D O I：

10.1002/fut.22015

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine price discovery in sequential markets for the 10-year US Treasury note, German bund, and UK gilt futures over the period 2010-2017. We find that price discovery increases after the opening of the US stock market. Order flows in the bond futures markets are more informative for permanent price changes in the 30-min period after the US stock market opens. A placebo test using US statutory holidays confirms our findings. A cross-market analysis suggests that the increased price discovery in the bond futures is related to returns and net order flows of the US stock market.

引用

页码：779 / 802

页数：24

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