Fleming 2003 measuring treasury market liquidity and funding
According to a review of the literature, there is no study that examines how the price impact of informed trades is related to liquidity levels in the U. Using variance decomposition and regime-switching methodologies, we find that the price impact of informed trades is higher in more liquid markets.
In the case of on-the-run and off-the-run spot markets, the price impact of informed trades is higher in 2-year and 5-year T-notes markets. In the case of T-notes futures markets, the price impact of informed trades is higher in year futures market.
We find that the price impact of uninformed informed individual trades decreases increases as the time scale increases. The results indicate that the price impact of informed trades is greater between 8: A Theory of intraday trading patterns: Volume and price variability.
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User Username Password Remember me. Article Tools Print this article. How to cite item. Email this article Login required. Email the author Login required. Abstract According to a review of the literature, there is no study that examines how the price impact of informed trades is related to liquidity levels in the U.