Economic News and the Impact of Trading on Bond Prices

By T. Clifton Green, Hank Bessembinder, Stephen Figlewski, Michael Fleming, Kenneth D. Garbade, Martin Gruber, Joel Hasbrouck, Anthony Lynch, Matthew. 2004

418 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/36056e7cde7fb611b6bd1aa8a93a205f4035760b

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Citations in the corpus

The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns (2010, neutral): “4Fleming and Remolona (1997), (1999), Balduzzi et al. (2001), Green (2004), and Chordia et al. (2005).”
High-Frequency Jump Analysis of the Bitcoin Market* (2017, background): “• OFi is the absolute order flow imbalance, defined as the absolute value of the difference 8For a study on the importance of the order flow on price discovery, see, e.g., Evans (2002), Evans and Lyons (2002), Green (2004) and Brandt and Kavajecz (2004).”
Does Public Financial News Resolve Asymmetric Information (2010, background): “, by Lee, Mucklow, and Ready ( 1 993), Fleming and Remolona (1999), Green (2004), and Pasquariello and Vega (2007).”
Are Sticky Prices Costly? Evidence from the Stock Market (2016, neutral): “Green, T. C. (2004). Economic news and the impact of trading on bond prices.”
Monetary Policy Uncertainty and the Market Reaction to Macroeconomic News: Evidence from the Taper Tantrum (2016, neutral): “Green (2004) shows that trading after macroeconomic announcements plays an important role in how the news is impounded in government bond prices.”
How is Macro News Transmitted to Exchange Rates (2008, neutral): “Order ‡ow is similarly important for prices in bond markets, which share many informational and structural features with currency markets (see, e.g., Green 2004, Fleming 2003, and Brandt and Kavajecz 2004).”
International Capital Flows and U.S. Interest Rates (2005, neutral): “…of Urban Planning, University of Virginia The views expressed in this paper are those of the author(s) only, and the presence of them, or of links to them, on the IMF website does not imply that the IMF, its Executive Board, or its management endorses or shares the views expressed in the paper.”
Macroeconomic news, order flows and exchange rates (2003, positive): “Alternatively, perhaps it is the case that groups of agents, because they have differing views of exchange rate determination, disagree on the implications of a release for rates and this disagreement generates a motive for trade, as in the models of Harris and Raviv (1993), Kandel and Pearson (1995”
The on-the-run liquidity phenomenon (2009, positive): “Many recent studies investigate the functioning of government bond markets in proximity of the release of macroeconomic news (e.g., Brandt and Kavajecz, 2004; Green, 2004; Pasquariello and Vega, 2007).”
Stock Price Reaction to Public and Private Information (2006, neutral): “This second interpretation further motivates recent studies (Brandt and Kavajecz, 2004; Green, 2004; Pasquariello and Vega, 2005; Evans and Lyons, 2002) that analyze the role of order flow as a proxy for private information-based trading in bond and foreign exchange markets.”
Time-Series and Cross-Sectional Excess Comovement in Stock Indexes (2008, neutral): “, Greene, 1997, pp. 894–896)— via OLS or generalized linear models with a logit link and the binomial family via quasi-maximum likelihood— the approach proposed by Papke and Wooldridge (1996)— leads to virtually identical inference.”
The Effects of Inflation News on High Frequency Stock Returns (2004, neutral): “(1984), Greene and Watts (1996), and Gosnell, Keown, and Pinkerton (1996) find that stock prices respond within an hour to firm-specific news.”
News Trading and Speed (2012, positive): “(37) This method to measure trade informativeness is similar to that used by Koski and Michaely (2000) or Green (2004).”
Measuring Treasury Market Liquidity (2001, background): “Fleming and Remolona (1997, 1999), Balduzzi, Elton, and Green (2001), and Huang, Cai, and Wang (2002) analyze bid-ask spreads and trading activity around macroeconomic announcements.”