Arbeitspapier

High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market

This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i-Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency. Our results show that HF activities have a negative effect on liquidity around economic announcements: they widen spreads during the pre-announcement period and lower depth on the order book during the post-announcement period. The negative impact on liquidity mainly derives from HF trades. Nonetheless, HF trades improve price efficiency during both the preannouncement and post-announcement periods.

Sprache
Englisch

Erschienen in
Series: Bank of Canada Working Paper ; No. 2014-56

Klassifikation
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
Thema
Financial markets

Ereignis
Geistige Schöpfung
(wer)
Jiang, George J.
Lo, Ingrid
Valente, Giorgio
Ereignis
Veröffentlichung
(wer)
Bank of Canada
(wo)
Ottawa
(wann)
2014

DOI
doi:10.34989/swp-2014-56
Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Jiang, George J.
  • Lo, Ingrid
  • Valente, Giorgio
  • Bank of Canada

Entstanden

  • 2014

Ähnliche Objekte (12)