Volume 17 | Issue 1 | Article 3
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Public Information, Price Volatility, and Trading Volume in U.S. Bond Markets
Prices in bond markets have been noted as moving extremely rapidly following macroeconomic news announcements - with a delayed increase in trading volume. New data allows us to demonstrate that the previously unexplained dichotomy between rapid price and sluggish volume movement in the U.S. Treasury’s cash market originates with rapid price and volume change in the Treasury futures market. Consistent with research in other markets, the Treasury futures lead price discovery in the cash market.
