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

共 50 条

[31] The price discovery of day trading activities in futures market
Chen, Ming-Hsien
Tai, Vivian W.
[J]. REVIEW OF DERIVATIVES RESEARCH, 2014, 17 (02) : 217 - 239
[32] THE FUTURES MARKET AND PRICE DISCOVERY IN THE TEXTILE-INDUSTRY
STENNIS, EA
PINAR, M
ALLEN, AJ
[J]. AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 1983, 65 (02) : 308 - 310
[33] US Government Bond Market Analysis
Woodworth, G. Walter
[J]. JOURNAL OF FINANCE, 1954, 9 (01): : 76 - 77
[34] The impacts of institutional and individual investors on the price discovery in stock index futures market: Evidence from China
Xu, Feng
Wan, Difang
[J]. FINANCE RESEARCH LETTERS, 2015, 15 : 221 - 231
[35] Price Discovery and Trading Activity in Taiwan Stock and Futures Markets
Hung, Jui-Cheng
Liu, Yu-Hong
Jiang, I-Ming
Liang, Shuh
[J]. EMERGING MARKETS FINANCE AND TRADE, 2020, 56 (05) : 963 - 976
[36] Oil price volatility and the US stock market
Rahman, Sajjadur
[J]. EMPIRICAL ECONOMICS, 2021, 61 (03) : 1461 - 1489
[37] Oil price volatility and the US stock market
Sajjadur Rahman
[J]. Empirical Economics, 2021, 61 : 1461 - 1489
[38] Price and Open Interest in Greek Stock Index Futures Market
Floros, Christos
[J]. JOURNAL OF EMERGING MARKET FINANCE, 2007, 6 (02) : 191 - 202
[39] Informed Futures Trading and Price Discovery: Evidence from Taiwan Futures and Stock Markets
Lee Y.-T.
Wu W.-S.
Yang Y.H.
[J]. Asia-Pacific Financial Markets, 2013, 20 (3) : 219 - 242
[40] PRICE MOVEMENTS AND PRICE DISCOVERY IN THE MUNICIPAL BOND INDEX AND THE INDEX FUTURES MARKETS
HUNG, MW
ZHANG, H
[J]. JOURNAL OF FUTURES MARKETS, 1995, 15 (04) : 489 - 506

← 1 2 3 4 5 →