The impact of the US stock market opening on price discovery of government bond futures
We examine price discovery in sequential markets for the 10-year US Treasury note, German bund, and UK gilt futures over the period 2010–2017. We find that price discovery increases after the opening of the US stock market. Order flows in the bond futures markets are more informative for permanent p...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley-Liss Inc.
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |