Price impact of informed trades in the U.S. treasury markets

Onem Ozocak ()
Additional contact information
Onem Ozocak: Goodman School of Business, Brock University, Canada

Journal of Economic and Financial Studies (JEFS), 2015, vol. 3, issue 3, 29-40

Abstract: According to a review of the literature, there is no study that examines how the price impact of informed trades is related to liquidity levels in the U.S. Treasury markets. Using variance decomposition and regime-switching methodologies, we find that the price impact of informed trades is higher in more liquid markets. In the case of on-the-run and off-the-run spot markets, the price impact of informed trades is higher in 2-year and 5-year T-notes markets. In the case of T-notes futures markets, the price impact of informed trades is higher in 10-year futures market. We find that the price impact of uninformed (informed) individual trades decreases (increases) as the time scale increases. The results indicate that the price impact of informed trades is greater between 8:00 am and 3:00 pm when the market is more liquid, and smaller between 3:00 pm and 5:00 pm when the market is less liquid.

Keywords: Order imbalance; Probability of informed trading; Private information; Price impact of a trade. (search for similar items in EconPapers)
JEL-codes: D82 E44 G10 G14 (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
http://journalofeconomics.org/index.php/site/article/view/159/151 (application/pdf)

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:lrc:lareco:v:3:y:2015:i:3:p:29-40

Access Statistics for this article

More articles in Journal of Economic and Financial Studies (JEFS) from LAR Center Press
Bibliographic data for series maintained by S Marjan ( this e-mail address is bad, please contact ).