End‑of‑Month Liquidity in the Treasury Market

Henry Dyer, Michael Fleming and Or Shachar

No 20240924, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: Trading activity in benchmark U.S. Treasury securities now concentrates on the last trading day of the month. Moreover, this stepped-up activity is associated with lower transaction costs, as shown by a smaller price impact of trades. We conjecture that increased turn-of-month portfolio rebalancing by passive investment funds that manage relative to fixed-income indices helps explain these patterns.

Keywords: end of month; Portfolio rebalancing; index; Treasury securities (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2024-09-24
New Economics Papers: this item is included in nep-fmk and nep-mst
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