Information shares in the US Treasury market

Bruce Mizrach, Christopher J. Neely

Research output: Contribution to journalArticlepeer-review

70 Scopus citations


This paper highlights the previously neglected role of the futures markets in US Treasury price discovery. The estimates of 5- and 10-year GovPX spot market information shares typically fail to reach 50% from 1999 on. The GovPX information shares for the 2-year contract are higher than those of the 5- and 10-year maturities but also decline after 1998. Relative bid-ask spreads, number of trades, and realized volatility are statistically significant and explain up to 21% of daily information shares. In roughly 1/4 of cases when public information is released, the futures market gains information share, but macroeconomic announcements rarely explain information shares independently of liquidity.

Original languageEnglish (US)
Pages (from-to)1221-1233
Number of pages13
JournalJournal of Banking and Finance
Issue number7
StatePublished - Jul 2008

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics


  • C32
  • D4
  • Futures
  • G12
  • G14
  • Information shares
  • Microstructure
  • Price discovery
  • Treasury market


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