Price discovery in the treasury futures market-Reference-Cited by-同舟云学术

Price discovery in the treasury futures market

Published:2007 Issue:11 Volume:27 Page:1021-1051
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Brandt Michael W.,Kavajecz Kenneth A.,Underwood Shane E.

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.20275/fullpdf

Reference23 articles.

1. , , & (2004). Real-time price discovery in stock, bond and foreign exchange markets (working paper). Evanston/Chicago: IL: Northwestern University.

2. Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

3. , , & (1994). The Treasury Bond Basis. New York: McGraw-Hill.

4. The Impact of Trader Type on the Futures Volatility-Volume Relation

5. Option Volume and Stock Prices: Evidence on Where Informed Traders Trade

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