Research Discussion Papers, Bank of Finland
No 4/2015:
Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market
Helinä Laakkonen ()
Abstract: This paper studies the impact of uncertainty on the
investors' reactions to news on macroeconomic statistics. With daily data
on realized volatility and trading volume, we show that the investors in
the US Treasury bond futures market react significantly stronger to US
macroeconomic news in times of low macroeconomic, financial and political
uncertainty. We also find that investors are more sensitive to the
uncertainty in the financial market compared to the macroeconomic and
political uncertainties. Our results might partly explain the sudden freeze
and low liquidity in some financial markets during the latest financial
crisis.
Keywords: ambiguity; uncertainty; volatility; trading volume; bond market; macroeconomic announcements; (follow links to similar papers)
JEL-Codes: C22; G12; G14; (follow links to similar papers)
26 pages, March 2, 2015
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URN:NBN:fi:bof-201503021055 
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