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dc.contributor.authorLuo, Haiming
dc.date.accessioned2011-05-17T17:22:15Z
dc.date.available2011-05-17T17:22:15Z
dc.date.issued2011-05-17
dc.identifier.urihttp://hdl.handle.net/10464/3364
dc.description.abstractThis thesis studies the impact of macroeconomic announcements on the U.S. Treasury market and investigates profitable opportunities around macroeconomic announcements using data from the eSpeed electronic trading platform. We investigate how macroeconomic announcements affect the return predictability of trade imbalance for the 2-year, 5-year, IO-year U.S. Treasury notes and 30-year U.S. Treasury bonds. The goal of this thesis is to develop a methodology to identify informed trades and estimate the trade imbalance based on informed trades. We use the daily order book slope as a proxy for dispersion of beliefs among investors. Regression results in this thesis indicate that, on announcement days with a high dispersion of beliefs, daily trade imbalance estimated by informed trades significantly predicts returns on the following day. In addition, we develop a trade-imbalance based trading strategy conditional on dispersion of beliefs, informed trades, and announcement days. The trading strategy yields significantly positive net returns for the 2-year T-notes.en_US
dc.language.isoengen_US
dc.publisherBrock Universityen_US
dc.subjectBalance of trade -- United States.en_US
dc.titleProfitable opportunities around macroeconomic announcements in the U.S. Treasury marketen_US
dc.typeElectronic Thesis or Dissertationen_US
dc.degree.nameM.Sc. Managementen_US
dc.degree.levelMastersen_US
dc.contributor.departmentFaculty of Business Programsen_US
dc.degree.disciplineFaculty of Businessen_US


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