Empirical evidence on jumps in the term structure of the US Treasury Market

Mardi Dungey, Michael McKenzie, L.Vanessa Smith

    Research output: Contribution to journalArticle

    Abstract

    The dynamics of US Treasury prices may be interrupted by jumps, and cojumps - where these occur simultaneously across the term structure. This paper finds significant evidence of jumps and cojumps in the US term structure using the Cantor-Fitzgerald tick dataset sampled over the period 2002-2006. While cojumping is frequently found in response to scheduled macroeconomic news announcement, around one-fifth of cojumps occur independently of news. The results are discussed in relation to term structure theories, day of the week effects, asymmetric news effects and trading volume.
    Original languageEnglish
    Pages (from-to)430-445
    JournalJournal of Empirical Finance
    Volume16
    Issue number3
    DOIs
    Publication statusPublished - 2009

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