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"We identify striking adjustment patterns for price volatility, trading volume, and bid-ask spreads in the U.S. Treasury market when public information arrives. Using newly available high-frequency data, we find a notable lack of trading volume upon a major announcement when prices are most volatile. The bid-ask spread widens dramatically with price volatility and narrows just as dramatically with trading volume. Trading volume surges only after an appreciable lag following the announcement. High levels of price volatility and trading volume then persist, with volume persisting somewhat longer"--Federal Reserve Bank of New York web site.
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Subjects
Econometric models, Prices, Treasury billsPlaces
United StatesShowing 1 featured edition. View all 1 editions?
Edition | Availability |
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1
Price formation and liquidity in the U.S. Treasury market: evidence from intraday patterns around announcements
1997, Federal Reserve Bank of New York
Electronic resource
in English
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Book Details
Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 1/31/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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Feedback?December 13, 2020 | Edited by MARC Bot | import existing book |
December 5, 2010 | Edited by Open Library Bot | Added subjects from MARC records. |
December 10, 2009 | Created by WorkBot | add works page |