The Impact of Financial Futures on the Cash Market for Treasury Bills

W. Gary Simpson and Timothy C. Ireland

Journal of Financial and Quantitative Analysis, 1985, vol. 20, issue 3, 371-379

Abstract: This paper is concerned with the effect of futures trading in Treasury bills on the volatility of yields in the cash market. It is found that futures trading led to a decrease in volatility initially, but the effect disappeared when futures volume became large and possibly resulted in increased volatility in the secondary cash market. The results also indicated that the deliverable bill appears to sell at a small premium relative to the adjacent maturities prior to the delivery date.

Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:20:y:1985:i:03:p:371-379_01

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