Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information
研究美国国债市场在重大宏观经济公告发布后，价格、交易量和买卖价差的两阶段调整过程，揭示公共信息如何影响市场流动性。
The arrival of public information in the U.S. Treasury market sets off a two‐stage adjustment process for prices, trading volume, and bid‐ask spreads. In a brief first stage, the release of a major macroeconomic announcement induces a sharp and nearly instantaneous price change with a reduction in trading volume, demonstrating that price reactions to public information do not require trading. The spread widens dramatically at announcement, evidently driven by inventory control concerns. In a prolonged second stage, trading volume surges, price volatility persists, and spreads remain moderately wide as investors trade to reconcile residual differences in their private views.