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Abstract
The goal of this article is to examine whether profit opportunities exist after days with abnormal volume in the U.S. Treasury market when the market is under stress and market makers are reluctant to take risks. The evidence from the trading strategy used implies that morning and overnight returns are positively related and that profits are positive and highly significantly different from zero following days with abnormal volume. This article finds that when the two-year notes’ volume is used in the trading strategy of other securities, profits increase with maturity and improve for all maturities.
- © 2016 Institutional Investor, Inc.
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In this issue
Jump to section
- Article
- Abstract
- DATA AND PRELIMINARIES
- PREDICTIVE DAILY TIME-SERIES REGRESSIONS
- RESULTS
- PROFITABILITY OF NUMBER OF TRADES-BASED TRADING STRATEGIES
- Information Content of Security’s Own Number of Trades
- Information Content of Cross-Securities’ Number of Trades
- Profitability of Negative versus Positive News
- Profitability of Announcement-Day versus Non–Announcement-Day News
- CONCLUSIONS
- ENDNOTES
- REFERENCES
- Info & Metrics
Cited By...
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