The impact of the US stock market opening on price discovery of government bond futures |
| |
| Authors: | Ivan Indriawan Feng Jiao Yiuman Tse |
| |
| Institution: | 1. Finance Department, Auckland University of Technology, Auckland, New Zealand;2. Dhillon School of Business, University of Lethbridge, Lethbridge, Alberta, Canada;3. Finance and Legal Studies Department, University of Missouri-St. Louis, St. Louis, Missouri |
| |
| Abstract: | 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. A placebo test using US statutory holidays confirms our findings. A cross-market analysis suggests that the increased price discovery in the bond futures is related to returns and net order flows of the US stock market. |
| |
| Keywords: | government bond futures information share price discovery sequential markets |
|
|
