Macro News, Riskfree Rates, and the Intermediary

Research, Preprint English OPEN
Menkveld, Albert J.; Sarkar, Asani; van der Wel, Michel;
  • Publisher: Tinbergen Instituut
  • Subject: E44 | discount rate | Börsenmakler | customer order flow | treasury futures | Wertpapierhandel | G14 | intermediary | Derivat | discount rate; macroeconomic announcements; customer order flow; intermediary; treasury futures | Ankündigungseffekt | macroeconomic announcements
    • jel: jel:E44 | jel:G14
      ddc: ddc:330

Signed customer order flow correlates with permanent price changes in equity and nonequity markets. We exploit macro news events in the 30Y treasury futures market to identify causality from customer flow to riskfree rates. We remove the positive feedback trading part a... View more
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