Price Dynamics and Information Flows in Strategically‐Linked Debt Instruments: The NOB and MOB Constituents

Arjun Chartrath, Mukesh Chaudhry and Rohan Christie‐David

Journal of Business Finance & Accounting, 2000, vol. 27, issue 7‐8, 1003-1025

Abstract: We examine information flows between the constituents of the NOB (notes‐over‐bonds) and MOB (municipals‐over‐bonds) futures spreads. The results suggest a bicausal relationship between notes and bonds and a unicausal relationship from bonds to municipals. Shocks in the bond market have a large impact on the municipal and note markets, whereas shocks in the municipal or note markets have a smaller impact on the bond market. Volatility spillover from bonds to notes and municipals is detected. We also find significant volatility persistence in all three markets. Spread trades are found to have an asymmetric influence on notes and municipal futures variance.

Date: 2000
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/1468-5957.00343

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jbfnac:v:27:y:2000:i:7-8:p:1003-1025

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0306-686X

Access Statistics for this article

Journal of Business Finance & Accounting is currently edited by P. F. Pope, A. W. Stark and M. Walker

More articles in Journal of Business Finance & Accounting from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().