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Profitable opportunities around macroeconomic announcements in the U.S. Treasury market

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dc.contributor.author Luo, Haiming
dc.date.accessioned 2011-05-17T17:22:15Z
dc.date.available 2011-05-17T17:22:15Z
dc.date.issued 2011-05-17
dc.identifier.uri http://hdl.handle.net/10464/3364
dc.description.abstract This 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.iso eng en_US
dc.publisher Brock University en_US
dc.subject Balance of trade -- United States. en_US
dc.title Profitable opportunities around macroeconomic announcements in the U.S. Treasury market en_US
dc.type Electronic Thesis or Dissertation en_US
dc.degree.name M.Sc. Management en_US
dc.degree.level Masters en_US
dc.contributor.department Faculty of Business Programs en_US
dc.degree.discipline Faculty of Business en_US


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