{"title":"知情交易对美国国债市场价格的影响","authors":"Onem Ozocak","doi":"10.18533/JEFS.V3I03.159","DOIUrl":null,"url":null,"abstract":"According to a review of the literature, there is no study that examines how the price impact of informed trades is related to liquidity levels in the U.S. Treasury markets. Using variance decomposition and regime-switching methodologies, we find that the price impact of informed trades is higher in more liquid markets. In the case of on-the-run and off-the-run spot markets, the price impact of informed trades is higher in 2-year and 5-year T-notes markets. In the case of T-notes futures markets, the price impact of informed trades is higher in 10-year futures market. We find that the price impact of uninformed (informed) individual trades decreases (increases) as the time scale increases. The results indicate that the price impact of informed trades is greater between 8:00 am and 3:00 pm when the market is more liquid, and smaller between 3:00 pm and 5:00 pm when the market is less liquid.","PeriodicalId":130241,"journal":{"name":"Journal of Economic and Financial Studies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2015-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Price impact of informed trades in the U.S. treasury markets\",\"authors\":\"Onem Ozocak\",\"doi\":\"10.18533/JEFS.V3I03.159\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"According to a review of the literature, there is no study that examines how the price impact of informed trades is related to liquidity levels in the U.S. Treasury markets. Using variance decomposition and regime-switching methodologies, we find that the price impact of informed trades is higher in more liquid markets. In the case of on-the-run and off-the-run spot markets, the price impact of informed trades is higher in 2-year and 5-year T-notes markets. In the case of T-notes futures markets, the price impact of informed trades is higher in 10-year futures market. We find that the price impact of uninformed (informed) individual trades decreases (increases) as the time scale increases. The results indicate that the price impact of informed trades is greater between 8:00 am and 3:00 pm when the market is more liquid, and smaller between 3:00 pm and 5:00 pm when the market is less liquid.\",\"PeriodicalId\":130241,\"journal\":{\"name\":\"Journal of Economic and Financial Studies\",\"volume\":\"1 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2015-06-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Economic and Financial Studies\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.18533/JEFS.V3I03.159\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Economic and Financial Studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.18533/JEFS.V3I03.159","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Price impact of informed trades in the U.S. treasury markets
According to a review of the literature, there is no study that examines how the price impact of informed trades is related to liquidity levels in the U.S. Treasury markets. Using variance decomposition and regime-switching methodologies, we find that the price impact of informed trades is higher in more liquid markets. In the case of on-the-run and off-the-run spot markets, the price impact of informed trades is higher in 2-year and 5-year T-notes markets. In the case of T-notes futures markets, the price impact of informed trades is higher in 10-year futures market. We find that the price impact of uninformed (informed) individual trades decreases (increases) as the time scale increases. The results indicate that the price impact of informed trades is greater between 8:00 am and 3:00 pm when the market is more liquid, and smaller between 3:00 pm and 5:00 pm when the market is less liquid.
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