Private information flow and price discovery in the U.S. treasury market

Journal of Banking and Finance

Volumn 47, Issue 1, 2014, Pages 118-133

  Jiang, George J ^a   Lo, Ingrid ^b,c  

^a WASHINGTON STATE UNIVERSITY   (United States)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^c BANK OF CANADA   (Canada)

Author keywords

Bond return volatility; Depth of limit order book; Order flow impact; Price discovery; Private information flow; Public information shocks

Indexed keywords

EID: 84905400115     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2014.06.026     Document Type: Article

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