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首页> 外文会议>2008 China international conference in finance >Asymmetric Information and Price Discovery in the Round-the-Clock U.S. Treasury Market
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Asymmetric Information and Price Discovery in the Round-the-Clock U.S. Treasury Market

机译：全天候美国国债市场中的不对称信息和价格发现

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摘要

We explore the informational role of trades in the Treasury market over the 24- hour day. Unlike the equity market, information asymmetry in the Treasury market does not decline uniformly over the day. Information asymmetry is generally highest in the preopen period, declines over most of the daytime trading period, and rebounds before the closing of the futures market. However, on days with macroeconomic announcements, information asymmetry peaks shortly after the news release at 8:30. Informed trading is low in the postclose period whereas information asymmetry in the overnight period is comparable to that in the regular trading period. Although volume is relatively low after hours, overnight and preopen trading generates significant price discovery. Volatility is driven predominantly by public information shocks while private information plays a more significant role on days with macroeconomic announcements. Moreover, information asymmetry is higher immediately before than after the opening of U.S. Treasury futures trading.
机译：我们探讨了24小时交易在国债市场中的信息作用。与股票市场不同，国库市场中的信息不对称在一天中不会均匀下降。信息不对称通常在开市前时期是最高的，在白天交易的大部分时间内下降，并且在期货市场收盘之前反弹。然而，在发布宏观经济消息的日子里，信息不对称在新闻发布后的8:30达到顶峰。收盘后的知情交易较少，而隔夜期间的信息不对称与常规交易期间的信息不对称相当。尽管下班后交易量相对较低，但隔夜和开盘前交易会产生大量价格发现。波动主要是由公共信息冲击引起的，而私人信息在发布宏观经济消息的日子中起着更为重要的作用。此外，紧接美国国债期货交易开始之前的信息不对称性更高。

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