Reputation and Dealers' Trading. A Microstructure Analysis of the Treasury Bond Market

1999 ◽  
Author(s):  
Massimo Massa ◽  
Andrei Simonov
Keyword(s):  
Bond Market ◽  
Microstructure Analysis ◽  
Treasury Bond

Security design, market risk and round quotes in the treasury bond market

2018 ◽  
Vol 26 (12) ◽  
pp. 971-977
Author(s):  
Andrei Nikiforov ◽  
Eugene Pilotte
Keyword(s):  
Market Risk ◽  
Bond Market ◽  
Security Design ◽  
Treasury Bond

scholarly journals Strong March Phenomenon and Weak January Effect in the U.S. Bond Market

2019 ◽  
Vol 8 (1) ◽  
pp. 193
Author(s):  
Anthony Yanxiang Gu
Keyword(s):  
Equity Market ◽  
Bond Market ◽  
The Other ◽  
January Effect ◽  
Treasury Bond ◽  
The U.S

The month of March has been the worst month for the U.S. bond market. Mean March return is the lowest among the twelve months’ and March experienced the lowest frequency of positive returns from 1987 through 2015. Returns of March are significantly negatively related to returns of all the other eleven months, to yields of 10-year U.S. Treasury bond, and to March returns of U.S. equity market. They are significantly positively related to annual returns of the U.S. bond market. There is a weak January effect in the U.S. bond market.    

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