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Public information, price volatility, and trading volume in U.S. bond markets


Dungey, M and Frino, A and McKenzie, MD, Public information, price volatility, and trading volume in U.S. bond markets, Review of Futures Markets, 17, (1) pp. 17-44. ISSN 1933-7116 (2008) [Refereed Article]

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Copyright 2008 Kent State University, Department of Finance & Institute for Financial Markets

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Prices in bond markets have been noted as moving extremely rapidly following macroeconomic news announcements with a delayed increase in trading volume. New data allows us to demonstrate that the previously unexplained dichotomy between rapid price and sluggish volume movement in the US Treasuries cash market originates with rapid price and volume change in the Treasury futures market. Consistent with research in other markets, the Treasury futures lead price discovery in the cash market.

Item Details

Item Type:Refereed Article
Keywords:U.S. treasuries, public information, news effects
Research Division:Commerce, Management, Tourism and Services
Research Group:Banking, finance and investment
Research Field:Finance
Objective Division:Commercial Services and Tourism
Objective Group:Financial services
Objective Field:Finance services
UTAS Author:Dungey, M (Professor Mardi Dungey)
ID Code:57060
Year Published:2008
Deposited By:Economics and Finance
Deposited On:2009-06-16
Last Modified:2015-01-20

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