The Impact of the US Stock Market Opening on Price Discovery of Government Bond Futures

Yiuman Tse; Ivan Indriawan; Feng Jiao

doi:10.1002/fut.22015

The Impact of the US Stock Market Opening on Price Discovery of Government Bond Futures

Yiuman Tse, Ivan Indriawan, Feng Jiao

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	The Journal of Futures Markets
Volume	39
DOIs	https://doi.org/10.1002/fut.22015
State	Published - 2019

Keywords

government bond futures
information share
price discovery
sequential markets

Disciplines

Economics

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10.1002/fut.22015License: Unspecified

Cite this

@article{9b26464c5e5a4caf85cc3a1b690697cf,

title = "The Impact of the US Stock Market Opening on Price Discovery of Government Bond Futures",

keywords = "government bond futures, information share, price discovery, sequential markets",

author = "Yiuman Tse and Ivan Indriawan and Feng Jiao",

note = "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 price changes in the 30‐min period after the US stock market opens.",

year = "2019",

doi = "10.1002/fut.22015",

language = "American English",

volume = "39",

journal = "The Journal of Futures Markets",

}

TY - JOUR

T1 - The Impact of the US Stock Market Opening on Price Discovery of Government Bond Futures

AU - Tse, Yiuman

AU - Indriawan, Ivan

AU - Jiao, Feng

N1 - 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 price changes in the 30‐min period after the US stock market opens.

PY - 2019

Y1 - 2019

KW - government bond futures

KW - information share

KW - price discovery

KW - sequential markets

UR - https://doi.org/10.1002/fut.22015

U2 - 10.1002/fut.22015

DO - 10.1002/fut.22015

M3 - Article

VL - 39

JO - The Journal of Futures Markets

JF - The Journal of Futures Markets

ER -

The Impact of the US Stock Market Opening on Price Discovery of Government Bond Futures

Keywords

Disciplines

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