
Price discovery in the treasury futures market
Publication
, Journal Article
Brandt, MW; Kavajecz, KA; Underwood, SE
Published in: Journal of Futures Markets
November 1, 2007
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.
Duke Scholars
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Published In
Journal of Futures Markets
DOI
EISSN
1096-9934
ISSN
0270-7314
Publication Date
November 1, 2007
Volume
27
Issue
11
Start / End Page
1021 / 1051
Related Subject Headings
- Finance
- 1502 Banking, Finance and Investment
Citation
APA
Chicago
ICMJE
MLA
NLM
Brandt, M. W., Kavajecz, K. A., & Underwood, S. E. (2007). Price discovery in the treasury futures market. Journal of Futures Markets, 27(11), 1021–1051. https://doi.org/10.1002/fut.20275
Brandt, M. W., K. A. Kavajecz, and S. E. Underwood. “Price discovery in the treasury futures market.” Journal of Futures Markets 27, no. 11 (November 1, 2007): 1021–51. https://doi.org/10.1002/fut.20275.
Brandt MW, Kavajecz KA, Underwood SE. Price discovery in the treasury futures market. Journal of Futures Markets. 2007 Nov 1;27(11):1021–51.
Brandt, M. W., et al. “Price discovery in the treasury futures market.” Journal of Futures Markets, vol. 27, no. 11, Nov. 2007, pp. 1021–51. Scopus, doi:10.1002/fut.20275.
Brandt MW, Kavajecz KA, Underwood SE. Price discovery in the treasury futures market. Journal of Futures Markets. 2007 Nov 1;27(11):1021–1051.

Published In
Journal of Futures Markets
DOI
EISSN
1096-9934
ISSN
0270-7314
Publication Date
November 1, 2007
Volume
27
Issue
11
Start / End Page
1021 / 1051
Related Subject Headings
- Finance
- 1502 Banking, Finance and Investment