Price discovery in the round-the-clock U.S. Treasury market

Journal of Financial Intermediation

Volumn 18, Issue 3, 2009, Pages 464-490

  He, Yan ^a   Lin, Hai ^b   Wang, Junbo ^c,d   Wu, Chunchi ^e  

^a INDIANA UNIVERSITY SOUTHEAST   (United States)

^b XIAMEN UNIVERSITY   (China)

^c UNIVERSITY OF ARKANSAS   (United States)

^d CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^e UNIVERSITY OF MISSOURI   (United States)

Author keywords

After hours trading; Asymmetric information; Liquidity provision; Price discovery; Variance decomposition

Indexed keywords

EID: 67349199520     PISSN: 10429573     EISSN: 10960473     Source Type: Journal    
DOI: 10.1016/j.jfi.2009.01.001     Document Type: Article

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