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Faculty Selected Works of Yiuman Tse
Article
The Impact of the US Stock Market Opening on Price Discovery of Government Bond Futures
The Journal of Futures Markets (2019)
  • Yiuman Tse, University of Missouri-St. Louis
  • Ivan Indriawan, Auckland University of Technology
  • Feng Jiao, University of Lethbridge
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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
Disciplines
Publication Date
2019
DOI
10.1002/fut.22015
Citation Information
Yiuman Tse, Ivan Indriawan and Feng Jiao. "The Impact of the US Stock Market Opening on Price Discovery of Government Bond Futures" The Journal of Futures Markets Vol. 39 Iss. 7 (2019) p. 779 - 802
Available at: http://works.bepress.com/yiuman-tse/113/