2007
DOI: 10.2139/ssrn.968194
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News, No-News and Jumps in the Us Treasury Market

Abstract: Sufficiently fast and large disruptions to the continuous price process can be detected in high frequency data as jumps. Cojumping occurs when jumps occur contemporaneously across assets. This paper assesses cojumping in the US term structure using the Cantor-Fitzgerald tick dataset of 2002-2006, and finds that the middle of the curve is more likely to cojump and the ends have greater potential for idiosyncratic jumping. What is more, cojumping is strongly associated with responses to scheduled news announceme… Show more

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Cited by 6 publications
(9 citation statements)
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“…2 However, to our knowledge, the question of cojumping across spot and futures markets for the same assets is previously unstudied. In addition to considering the evidence for spot and futures cojumping, we consider the jumping behavior across the term structure for each of the assets, extending the univariate test results in Dungey et al (2009). Contemporaneous jumps across the term structure are consistent with liquidity preference theory, while more idiosyncratic jumps support segmented markets.…”
Section: Introductionmentioning
confidence: 94%
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“…2 However, to our knowledge, the question of cojumping across spot and futures markets for the same assets is previously unstudied. In addition to considering the evidence for spot and futures cojumping, we consider the jumping behavior across the term structure for each of the assets, extending the univariate test results in Dungey et al (2009). Contemporaneous jumps across the term structure are consistent with liquidity preference theory, while more idiosyncratic jumps support segmented markets.…”
Section: Introductionmentioning
confidence: 94%
“…In this paper the data set for spot trade in US Treasury bonds is drawn from the Cantor-Fitzgerald eSpeed trade file and comprises tick by tick transaction prices for the 2, 5, 10 and 30 year US Treasury bonds. The eSpeed platform is one of two dominant ECNs in this market, the other being ICAP's BrokerTec, and the characteristics of the trading volume on the two platforms are not significantly different (compare the data in Dungey et al, 2009 andJiang et al, 2011). Futures contracts on the same maturity Treasury bonds are sourced from the Chicago Mercantile Exchange and are also tick by tick data for transactions on that platform.…”
Section: Data Descriptionmentioning
confidence: 99%
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“…Dungey, McKenzie, and Smith [19] estimate jumps and cojumps (simultaneous discontinuities in multiple markets) in the term structure of U.S. Treasury rates. They find that the middle of the yield curve often cojumps with one of the ends, while the ends of the curve exhibit a greater tendency for idiosyncratic jumps.…”
Section: Discontinuities In the Us Treasury Marketmentioning
confidence: 99%