Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market

Jiang, George J.; Lo, Ingrid; Verdelhan, Adrien

doi:10.1017/s0022109010000785

Cited by 156 publications

(124 citation statements)

References 45 publications

Supporting

Mentioning

112

Contrasting

Unclassified

Order By: Relevance

“…Moreover, authors show that liquidity shocks play a key role in explaining jumps and that usually, during the preannouncement period, it is possible to observe a drop in market depth. [3] explain this result as that, as also discussed in [4], dealers tend to withdraw orders and place them further out to avoid 35 being picked off in the upcoming information event. Thus, authors conclude that jumps observed in correspondence to macroannouncement releases are not only determined by news, but also by the drop in liquidity that is a market mover per se.…”

mentioning

confidence: 58%

“…[2] point out the advantage of using very high frequency data to study the impact of such events. On the other hand, [3] conclude 30 that although a majority of jumps occurs at prescheduled news announcement times, surprises related to macroannouncements have limited power in explaining bond price jumps. Moreover, authors show that liquidity shocks play a key role in explaining jumps and that usually, during the preannouncement period, it is possible to observe a drop in market depth.…”

mentioning

confidence: 99%

“…In the literature, the relationship between macroannouncements and returns is widely studied 25 while the sensitivity of jumps is analyzed in a handful of papers such as [1], [2] and [3]. In particular, [2] estimate jumps and cojumps at intradaily frequency mapping them to macro news to find that bond markets are the most sensitive to news releases and that macroannouncement surprises are associated with cojumps even more consistently than jumps.…”

mentioning

confidence: 99%

See 2 more Smart Citations

Macroannouncements, bond auctions and rating actions in the European government bond spreads

Boffelli

Urga

2015

Journal of International Money and Finance

View full text Add to dashboard Cite

This paper investigates the impact of macroannouncements, government bond auctions and rating actions on the 10-year government bond spreads for Belgium, France, Italy, the Netherlands, Spain with respect to Germany. Using a unique tick-by-tick dataset over 1/02/2009-05/31/2012, we identify the impact of the three drivers via jump and cojump detection procedures. Disentangling the pre-from the post-announcement effects, real economy and forward looking news releases from US and Euro area, country specific Spanish and German macroannouncements, and auctions hold in distressed countries such Italy and Spain have a statistically and economically significant effect.No role is played by rating actions.Keywords: Jumps, Cojumps,Government Bond Spreads, Macroannouncements, Government Bond Auctions, Rating Actions.J.E.L. Classification Numbers: C58, C12, H63, G24.Europe is under stress and integration among European countries seems more fragile than ever.Starting from the subprime crisis in 2007, markets are more aware of the differences between European countries, and this sentiment is reflected, amongst others, in increasing differentials of government bond yields. In 2008 and 2009, government bond spreads became sizable but it was in 5 2010 and 2011 that spreads substantially increase, reaching levels even higher than those experienced in the pre-Euro era. It was just after the famous Mario Draghi's "whatever it takes" in July 2012 that a more normal situation on government bond markets was restored. The European sovereign debt $ We wish to thank participants in the 12th Oxmetrics User Conference (Cass, 3-4 September 2012), in particular Siem Koopman, Sebastien Laurent, and Bill Lyons for useful suggestions. We thank Michael J. Flemming and Jan Novotny for having provided very useful comments on a previous version of the paper. The usual disclaimer applies. Special thanks to Morningstar, in particular to Richard Barden, for having made available the rich data set used in this paper. Simona Boffelli acknowledges financial support from the Centre for Econometric Analysis of Cass Business School.* Centre for Econometric Analysis, Faculty of Finance, Cass Business School, City University London, 106 Bunhill Row, London, EC1Y 8TZ, UK and Bergamo University, Italy. G.Urga@city.ac.uk, Tel: +44 (0)20 7040 8698, Fax: +44 (0)20 7040 8881. Preprint submitted to Journal of International Money and FinanceDecember 22, 2014 crisis involving, although at different extents, all the peripheral countries have questioned the much celebrated markets' self-regulatory power as well as the ability of policy makers and regulators to 10 adopt stability measures and stimulate economic growth. Thus, understanding which factors drive sovereign risk is particularly timely also for the macroeconomic consequences of the comovements associated to these factors. For instance, higher spreads deteriorate borrowing capabilities and market confidence which simultaneously impact on consumption and investment. The way to ameliorate the effects of th...

show abstract

mentioning

confidence: 58%

mentioning

confidence: 99%

mentioning

confidence: 99%

See 1 more Smart Citation

Macroannouncements, bond auctions and rating actions in the European government bond spreads

Boffelli

Urga

2015

Journal of International Money and Finance

View full text Add to dashboard Cite

show abstract

“…Jiang et al identify jumps in U.S. Treasury-bond prices and investigate what causes such unexpected large price changes. They find that preannouncement liquidity shocks have significant predictive power for jumps, which occur mostly at prescheduled macroeconomic announcement times, announcement surprises have limited power in explaining bond price jumps [29].…”

Section: Literature Reviewmentioning

confidence: 99%

Volume Shocks around Announcements in the Chinese Stock Market: An Ex-Post Earnings-Information-Based Study of Speculative Behavior

Chen

Wang

et al. 2017

Information

View full text Add to dashboard Cite

Abstract:The Second Board Market is typical stock market for high tech companies in China. This paper discusses the relationship between trading volume and price changes in the case of high-tech listed companies in the Chinese Second-Board Stock Market. By using the basic concepts proposed by Kim and Verrecchia, and Kandel and Pearson, and contrasting them with ex-post information from earnings releases, the paper provides findings on the speculative behavior of informed traders with a volume shock premium. The paper suggests that these methods may be further applied to investigating investors' behavior in speculation, especially for the high-tech-company-based Second-Board Stock Market during announcement periods.

show abstract

“…W centrum zainteresowania niniejszego opracowania są skoki, czyli gwałtowne zmiany cen mają-ce znaczenie z punktu widzenia pomiaru ryzyka, zarządzania nim, alokacji aktywów w portfelach, jak również wyceny instrumentów pochodnych (Jiang, Lo i Verdelhan, 2011). Celem niniejszego artykułu jest zbadanie zachowania się miar płynności w okresach występowania skoków cenowych.…”

Section: Wprowadzenieunclassified

Rynek kapitałowy- efektywność i ryzyko

Czerwińska¹,

Nowak²

2016

View full text Add to dashboard Cite

Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market

Cited by 156 publications

References 45 publications

Macroannouncements, bond auctions and rating actions in the European government bond spreads

Macroannouncements, bond auctions and rating actions in the European government bond spreads

Volume Shocks around Announcements in the Chinese Stock Market: An Ex-Post Earnings-Information-Based Study of Speculative Behavior

Rynek kapitałowy- efektywność i ryzyko

Contact Info

Product

Resources

About