The Effect of Transaction Size on Off-the-Run Treasury Prices

David Babbel (), Craig B. Merrill, Mark F. Meyer and Meiring de Villiers

Journal of Financial and Quantitative Analysis, 2004, vol. 39, issue 03, pages 595-611

Abstract: This paper examines intra-day trading data from the inter-dealer broker market for U.S. Treasury securities and measures the degree of price pressure in the off-the-run Treasury market. As is well known, securities that would appear to be very close substitutes, i.e., on-the-run and off-the-run Treasury bonds, behave as if there is some degree of market segmentation. This is the first systematic study of the off-the-run Treasury note and bond market focused entirely on a price pressure effect using intra-day data. The paper analyzes price pressure through matched pairs of securities that differ only in liquidity.

Date: 2004

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Working Paper: The Effect of Transaction Size on Off-the-Run Treasury Prices (2001)
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Persistent link: http://EconPapers.repec.org/RePEc:cup:jfinqa:v:39:y:2004:i:03:p:595-611_00

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