Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information.

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Authored By
Fleming, Michael J., Remolona, Eli M.
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Urology & Nephrology
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Urology & Nephrology
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volume
54
ISSN
00221082
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9781907816956
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true
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["Fleming, Michael J., Remolona, Eli M.","UNITED States, LIQUIDITY (Economics), TREASURY bills, PRICING, CORPORATE finance, BID price, SPREAD (Finance), INVENTORY control, INFORMATION asymmetry, MICROECONOMICS, SECURITIES trading volume, PRICE flexibility","English","1999-10-01","Journal of Finance (Wiley-Blackwell)","54"]
Description
The arrival of public information in the U.S. Treasury market sets off a two-stage adjustment process for prices, trading volume, and bid-ask spreads. In a brief first stage, the release of a major macroeconomic announcement induces a sharp and nearly instantaneous price change with a reduction in trading volume, demonstrating that price reactions to public information do not require trading. The spread widens dramatically at announcement, evidently driven by inventory control concerns. In a prolonged second stage, trading volume surges, price volatility persists, and spreads remain moderately wide as investors trade to reconcile residual differences in their private views. [ABSTRACT FROM AUTHOR]
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