Price discovery in the treasury futures market

Published

Journal Article

The paper conducts a regression analysis utilizing both futures and cash market prices and net orderflow to determine where price discovery takes place as well as the forces at play that influence the location. Specifically, given the strong theoretical linkage between the U.S. Treasury cash and futures markets, they compare how orderflow contributes to price discovery and analyze how and when information flows from one market to the other. How a number of environmental variables (trader type, financing rates, and liquidity) impact the information flows between these two markets is also considered. Their findings provide new evidence on the extent to which price discovery happens away from a primary market. © 2007 Wiley Periodicals, Inc.

Full Text

Duke Authors

Cited Authors

  • Brandt, MW; Kavajecz, KA; Underwood, SE

Published Date

  • November 1, 2007

Published In

Volume / Issue

  • 27 / 11

Start / End Page

  • 1021 - 1051

Electronic International Standard Serial Number (EISSN)

  • 1096-9934

International Standard Serial Number (ISSN)

  • 0270-7314

Digital Object Identifier (DOI)

  • 10.1002/fut.20275

Citation Source

  • Scopus