Empirical evidence on jumps in the term structure of the US Treasury Market

Mardi Dungey; Michael McKenzie; L. Vanessa Smith

doi:10.1016/j.jempfin.2008.12.002

Empirical evidence on jumps in the term structure of the US Treasury Market

Mardi Dungey^*, Michael McKenzie, L. Vanessa Smith

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

63 Citations (Scopus)

Abstract

The dynamics of US Treasury prices may be interrupted by jumps, and cojumps - where these occur simultaneously across the term structure. This paper finds significant evidence of jumps and cojumps in the US term structure using the Cantor-Fitzgerald tick dataset sampled over the period 2002-2006. While cojumping is frequently found in response to scheduled macroeconomic news announcement, around one-fifth of cojumps occur independently of news. The results are discussed in relation to term structure theories, day of the week effects, asymmetric news effects and trading volume.

Original language	English
Pages (from-to)	430-445
Number of pages	16
Journal	Journal of Empirical Finance
Volume	16
Issue number	3
DOIs	https://doi.org/10.1016/j.jempfin.2008.12.002
Publication status	Published - Jun 2009
Externally published	Yes

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10.1016/j.jempfin.2008.12.002

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abstract = "The dynamics of US Treasury prices may be interrupted by jumps, and cojumps - where these occur simultaneously across the term structure. This paper finds significant evidence of jumps and cojumps in the US term structure using the Cantor-Fitzgerald tick dataset sampled over the period 2002-2006. While cojumping is frequently found in response to scheduled macroeconomic news announcement, around one-fifth of cojumps occur independently of news. The results are discussed in relation to term structure theories, day of the week effects, asymmetric news effects and trading volume.",

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AB - The dynamics of US Treasury prices may be interrupted by jumps, and cojumps - where these occur simultaneously across the term structure. This paper finds significant evidence of jumps and cojumps in the US term structure using the Cantor-Fitzgerald tick dataset sampled over the period 2002-2006. While cojumping is frequently found in response to scheduled macroeconomic news announcement, around one-fifth of cojumps occur independently of news. The results are discussed in relation to term structure theories, day of the week effects, asymmetric news effects and trading volume.

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Empirical evidence on jumps in the term structure of the US Treasury Market

Abstract

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