Do the Treasury Activities Function Well in Shari’ah-Compliant Financial Market?

Information Shares in the U.S. Treasury Market

This paper highlights the previously neglected role of the futures markets in US Treasury price discovery. The estimates of 5and 10-year GovPX spot market information shares typically fail to reach 50% from 1999 on. The GovPX information shares for the 2-year contract are higher than those of the 5and 10-year maturities but also decline after 1998. Relative bid-ask spreads, number of trades, an...

Measuring Treasury Market Liquidity

This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The measures are analyzed relative to one another, across securities, and over time. I find highly significant price impact coefficients, such that a simple model that explains price changes with net order flow produces an R statistic above 30% for the two-year note. The price impact coefficients are hig...

The Microstructure of the U.S. Treasury Market

This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. Microstructural analysis is a field of economics/finance that examines the roles played by heterogenous agents, institutional detail, and asymmetric information in the trading process. The article describes types of Treasury...

Financial Flows and Treasury Management Firms

News, No-News and Jumps in the US Treasury Market

Sufficiently fast and large disruptions to the continuous price process can be detected in high frequency data as jumps. Cojumping occurs when jumps occur contemporaneously across assets. This paper assesses cojumping in the US term structure using the Cantor-Fitzgerald tick dataset of 2002-2006, and finds that the middle of the curve is more likely to cojump and the ends have greater potential...