Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market

Arbeitspapier

This paper studies the impact of uncertainty on the investors' reactions to news on macroeconomic statistics. With daily data on realized volatility and trading volume, we show that the investors in the US Treasury bond futures market react significantly stronger to US macroeconomic news in times of low macroeconomic, financial and political uncertainty. We also find that investors are more sensitive to the uncertainty in the financial market compared to the macroeconomic and political uncertainties. Our results might partly explain the sudden freeze and low liquidity in some financial markets during the latest financial crisis.

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• ISBN: 978-952-323-017-0
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bank of Finland Research Discussion Papers ; No. 4/2015

Classification and Topics

• Classification: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Laakkonen, Helinä
• Event: Veröffentlichung
• (who): Bank of Finland
• (where): Helsinki
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/212312