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Price Determination in the United States Treasury Bill Market

โœ Scribed by Andrew F. Brimmer


Book ID
125757851
Publisher
MIT Press
Year
1962
Tongue
English
Weight
203 KB
Volume
44
Category
Article
ISSN
0034-6535

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Price discovery in the treasury futures
โœ Michael W. Brandt; Kenneth A. Kavajecz; Shane E. Underwood ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 165 KB ๐Ÿ‘ 1 views

## Abstract The paper conducts a regression analysis utilizing both futures and cash market prices and net orderflow to determine where price discovery takes place as well as the forces at play that influence the location. Specifically, given the strong theoretical linkage between the U.S. Treasury