Information Shocks and Bond Price Jumps Evidence from the U.S. Treasury Market

摘要：

We examine large price changes, known as jumps, in the US Treasury market. Using high frequency data from the U.S. Treasury security market during the period of 2004-2005, we identify price jumps in the 2-, 3-, 5-, 10-year notes and 30-year bond. Our results show that while a majority of jumps are associated with pre-scheduled macroeconomic announcements or events, there are around 30％ of them due to unanticipated events. We find that macroeconomic news announcement is often precipitated by market volatility increase and liquidity withdrawal, and liquidity shocks play an important role for price jumps in US Treasury market. More importantly, jumps are a dramatic form of price discovery in the sense that they help to quickly incorporating market information into bond prices.

作者: George J. Jiang Ingrid Lo Adrien Verdelhan

作者单位: Department of Finance,Eller College of Management,University of Arizona,Tucson,Arizona 85721-0108 Financial Markets Department,Bank of Canada,Ottawa,Canada Department of Economics,Boston University,270 Bay State Road,Boston,MA 02215

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-51

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）