Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 9, 2019 erstellt
Beschreibung:
We first document that each trading day the U.S. Treasury notes have a large proportion of zero returns. This is because almost all trades are executed at the best ask or bid quote and quoted spreads are mostly set close to the minimum tick. The proportion of zero returns is negatively correlated with commonly used illiquidity measures. Given the distinctive features of the Treasury notes, we provide evidence that conventional jump-detection methods are vulnerable to biases, leading to falsely identifying jumps. We propose a low-cost solution to improving the performance, and empirically support the argument by comparing the identification results using the data on the Treasury notes and macro-economic news announcements