Premium
Macroeconomic Announcements and the Distribution of Price‐Endings in the U.S. Treasury Market
Author(s) -
Nikiforov Andrei,
Pilotte Eugene
Publication year - 2017
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/fire.12118
Subject(s) - treasury , volatility (finance) , economics , volatility clustering , cluster analysis , price discovery , monetary economics , bond , econometrics , financial economics , ask price , corporate bond , finance , autoregressive conditional heteroskedasticity , mathematics , futures contract , history , statistics , archaeology
We investigate how new information impacts quote clustering in the bond market. We find that clustering, along with quote activity, price volatility and bid‐ask spreads, increases sharply in the minutes following releases of macroeconomic news. Each returns to near‐normal levels within the hour. Effects are strongest for more liquid on‐the‐run notes and for the announcements typically associated with substantial information flow. The strong positive comovement of clustering, quote activity, price volatility, and bid‐ask spreads supports the conclusion that innovations of these variables are endogenous to the arrival and incorporation of information into prices.