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Price impact of informed trades in the U.S. treasury markets
Journal of Economic & Financial Studies
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| Title |
Price impact of informed trades in the U.S. treasury markets
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| Creator |
Ozocak, Onem
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| Subject |
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| Description |
According to a review of the literature, there is no study that examines how the price impact of informed trades is related to liquidity levels in the U.S. Treasury markets. Using variance decomposition and regime-switching methodologies, we find that the price impact of informed trades is higher in more liquid markets. In the case of on-the-run and off-the-run spot markets, the price impact of informed trades is higher in 2-year and 5-year T-notes markets. In the case of T-notes futures markets, the price impact of informed trades is higher in 10-year futures market. We find that the price impact of uninformed (informed) individual trades decreases (increases) as the time scale increases. The results indicate that the price impact of informed trades is greater between 8:00 am and 3:00 pm when the market is more liquid, and smaller between 3:00 pm and 5:00 pm when the market is less liquid.
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| Publisher |
LAR Center Press
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| Contributor |
—
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| Date |
2015-06-22
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://journalofeconomics.org/index.php/site/article/view/159
10.18533/jefs.v3i03.159 |
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| Source |
Journal of Economic & Financial Studies; Vol 3, No 03 (2015): June; 29-40
2379-9471 2379-9463 |
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| Language |
eng
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| Relation |
http://journalofeconomics.org/index.php/site/article/view/159/151
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| Rights |
Copyright (c) 2015 Onem Ozocak
http://creativecommons.org/licenses/by-nc/4.0 |
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