An empirical examination of intraday volatility in on-the-run U.S. Treasury bills

Michael P. Hughes, Stanley D. Smith, Drew B. Winters

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

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 languageEnglish
Pages (from-to)487-499
Number of pages13
JournalJournal of Economics and Business
Volume59
Issue number6
DOIs
StatePublished - Nov 2007

Keywords

  • Intraday volatility
  • Treasury auction

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