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The Impact of the US Stock Market Opening on Price Discovery of Government Bond Futures

Indriawan, I; Jiao, F; Tse, Y
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Journal article (516.4Kb)
Permanent link
http://hdl.handle.net/10292/12699
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Abstract
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.
Date
May 6, 2019
Source
Journal of Futures Markets, 39(7), 779-802.
Item Type
Journal Article
Publisher
Wiley
DOI
10.1002/fut.22015
Publisher's Version
https://onlinelibrary.wiley.com/doi/full/10.1002/fut.22015
Rights Statement
Copyright © 2019 John Wiley & Sons. All rights reserved. Authors retain the right to place his/her pre-publication version of the work on a personal website or institutional repository. This article may not exactly replicate the final version published in (please see citation) as it is not a copy of this record. An electronic version of this article can be found online at: (Please see Publisher’s Version).

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