Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market

CFA Digest ◽

10.2469/dig.v41.n3.35 ◽

2011 ◽

Vol 41 (3) ◽

pp. 53-54

Author(s):

Luis Garcia-Feijoo

Keyword(s):

Price Discovery ◽

Liquidity Shocks ◽

Treasury Market ◽

The U.S

Download Full-text

Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market

Journal of Financial and Quantitative Analysis ◽

10.1017/s0022109010000785 ◽

2010 ◽

Vol 46 (02) ◽

pp. 527-551 ◽

Cited By ~ 110

Author(s):

George J. Jiang ◽

Ingrid Lo ◽

Adrien Verdelhan

Keyword(s):

Price Discovery ◽

Liquidity Shocks ◽

Treasury Market ◽

The U.S

Download Full-text

Price Discovery in the U.S. Treasury Market: Automation Versus Intermediation

SSRN Electronic Journal ◽

10.2139/ssrn.1361920 ◽

2009 ◽

Author(s):

Chunchi Wu

Keyword(s):

Price Discovery ◽

Treasury Market ◽

The U.S

Download Full-text

Price Discovery in the U.S. Treasury Market: Automation vs. Intermediation

Management Science ◽

10.1287/mnsc.1120.1559 ◽

2013 ◽

Vol 59 (3) ◽

pp. 695-714 ◽

Cited By ~ 5

Author(s):

Kasing Man ◽

Junbo Wang ◽

Chunchi Wu

Keyword(s):

Price Discovery ◽

Treasury Market ◽

The U.S

Download Full-text

Information Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market

SSRN Electronic Journal ◽

10.2139/ssrn.1106897 ◽

2008 ◽

Author(s):

Ingrid Lo ◽

Adrien Verdelhan ◽

George J. Jiang

Keyword(s):

Price Discovery ◽

Treasury Market ◽

The U.S

Download Full-text

Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

10.3386/w9529 ◽

2003 ◽

Cited By ~ 9

Author(s):

Michael Brandt ◽

Kenneth Kavajecz

Keyword(s):

Price Discovery ◽

Yield Curve ◽

Treasury Market ◽

The Impact ◽

The U.S

Download Full-text

Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

The Journal of Finance ◽

10.1111/j.1540-6261.2004.00711.x ◽

2004 ◽

Vol 59 (6) ◽

pp. 2623-2654 ◽

Cited By ~ 238

Author(s):

MICHAEL W. BRANDT ◽

KENNETH A. KAVAJECZ

Keyword(s):

Price Discovery ◽

Yield Curve ◽

Treasury Market ◽

The Impact ◽

The U.S

Download Full-text

Price Discovery in the U.S. Treasury Market: Automation Versus Intermediation

SSRN Electronic Journal ◽

10.2139/ssrn.1570818 ◽

2010 ◽

Author(s):

Junbo Wang ◽

Kasing Man ◽

Chunchi Wu

Keyword(s):

Price Discovery ◽

Treasury Market ◽

The U.S

Download Full-text

Intensity of Private Information Flow and Price Discovery in the U.S. Treasury Market

SSRN Electronic Journal ◽

10.2139/ssrn.2139702 ◽

2012 ◽

Cited By ~ 1

Author(s):

George J. Jiang ◽

Ingrid Lo

Keyword(s):

Information Flow ◽

Private Information ◽

Price Discovery ◽

Treasury Market ◽

The U.S

Download Full-text

Private information flow and price discovery in the U.S. treasury market

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2014.06.026 ◽

2014 ◽

Vol 47 ◽

pp. 118-133 ◽

Cited By ~ 13

Author(s):

George J. Jiang ◽

Ingrid Lo

Keyword(s):

Information Flow ◽

Private Information ◽

Price Discovery ◽

Treasury Market ◽

The U.S

Download Full-text

Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

SSRN Electronic Journal ◽

10.2139/ssrn.336620 ◽

2002 ◽

Cited By ~ 2

Author(s):

Michael W. Brandt ◽

Kenneth A. Kavajecz

Keyword(s):

Price Discovery ◽

Yield Curve ◽

Treasury Market ◽

The Impact ◽

The U.S

Download Full-text