Abstract
We further the empirical research on U-shaped intraday volatility patterns by investigating the U.S. Treasury bill (T-bill) market. Using hourly T-bill yields for on-the-run 13-, 26-, and 52-week T-bills from 9 a.m. to 4 p.m., New York time, over the period from January 1983 through December 2000 and using a variety of methods, we find a U-shaped intraday volatility pattern for each T-bill under each method. Our finding of a U-shaped intraday volatility pattern in the T-bill market suggests that previously identified U-shaped intraday volatility patterns in fed funds and euro-dollar deposits are not the result of unique behavior by depository institutions.
Original language | English |
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Pages (from-to) | 487-499 |
Number of pages | 13 |
Journal | Journal of Economics and Business |
Volume | 59 |
Issue number | 6 |
DOIs | |
State | Published - Nov 2007 |
Keywords
- Intraday volatility
- Treasury auction