Asymmetric Information and Price Discovery in the Round-the-Clock U.S. Treasury Market
We explore the informational role of trades in the Treasury market over the 24- hour day. Unlike the equity market, information asymmetry in the Treasury market does not decline uniformly over the day. Information asymmetry is generally highest in the preopen period, declines over most of the daytime trading period, and rebounds before the closing of the futures market. However, on days with macroeconomic announcements, information asymmetry peaks shortly after the news release at 8:30. Informed trading is low in the postclose period whereas information asymmetry in the overnight period is comparable to that in the regular trading period. Although volume is relatively low after hours, overnight and preopen trading generates significant price discovery. Volatility is driven predominantly by public information shocks while private information plays a more significant role on days with macroeconomic announcements. Moreover, information asymmetry is higher immediately before than after the opening of U.S. Treasury futures trading.
Price discovery asymmetric information liquidity provision variance decomposition after-hours trading
Yan He Hai Lin Junbo Wang Chunchi Wu
Indiana University Southeast Department of Finance and Wangyanan Institute for Studies in Economics (WISE) of Xiamen University City University of Hong Kong Singapore Management University
国际会议
大连
英文
1-55
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）