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

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aut.relation.journalJournal of Futures Marketsen_NZ
dark.contributor.authorIndriawan, Ien_NZ
dark.contributor.authorJiao, Fen_NZ
dark.contributor.authorTse, Yen_NZ
dc.date.accessioned2019-07-30T04:28:15Z
dc.date.available2021-10-04T03:24:13Z
dc.date.copyright2019-05-06en_NZ
dc.date.issued2019-05-06en_NZ
dc.description.abstractWe 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.
dc.identifier.citationJournal of Futures Markets, 39(7), 779-802.
dc.identifier.doi10.1002/fut.22015en_NZ
dc.identifier.issn0270-7314en_NZ
dc.identifier.urihttps://hdl.handle.net/10292/12699
dc.publisherWileyen_NZ
dc.relation.urihttps://onlinelibrary.wiley.com/doi/full/10.1002/fut.22015en_NZ
dc.rightsCopyright © 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).
dc.rights.accessrightsOpenAccessen_NZ
dc.titleThe Impact of the US Stock Market Opening on Price Discovery of Government Bond Futuresen_NZ
dc.typeJournal Article
pubs.elements-id359060
pubs.organisational-data/AUT
pubs.organisational-data/AUT/Business, Economics & Law
pubs.organisational-data/AUT/Business, Economics & Law/Finance
pubs.organisational-data/AUT/Faculty of Business, Economics and Law
pubs.organisational-data/AUT/Faculty of Business, Economics and Law/Finance
pubs.organisational-data/AUT/PBRF
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law/Faculty Review Team PBRF 2018
pubs.organisational-data/AUT/PBRF/PBRF Business Economics and Law/Finance Department PBRF 2018
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