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Profit Opportunities in the U.S. Treasury Market When the Market Is Under Stress

Onem Ozocak
The Journal of Trading Winter 2016, 11 (1) 53-67; DOI: https://doi.org/10.3905/jot.2016.11.1.053
Onem Ozocak
is an associate professor of finance at the Goodman School of Business at Brock University in St. Catharines, ON, Canada.
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  • For correspondence: oozocak@brocku.ca
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Abstract

The goal of this article is to examine whether profit opportunities exist after days with abnormal volume in the U.S. Treasury market when the market is under stress and market makers are reluctant to take risks. The evidence from the trading strategy used implies that morning and overnight returns are positively related and that profits are positive and highly significantly different from zero following days with abnormal volume. This article finds that when the two-year notes’ volume is used in the trading strategy of other securities, profits increase with maturity and improve for all maturities.

TOPICS: Fixed income and structured finance, statistical methods

  • © 2016 Institutional Investor, Inc.
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The Journal of Trading: 11 (1)
The Journal of Trading
Vol. 11, Issue 1
Winter 2016
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Profit Opportunities in the U.S. Treasury Market When the Market Is Under Stress
Onem Ozocak
The Journal of Trading Dec 2015, 11 (1) 53-67; DOI: 10.3905/jot.2016.11.1.053

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Profit Opportunities in the U.S. Treasury Market When the Market Is Under Stress
Onem Ozocak
The Journal of Trading Dec 2015, 11 (1) 53-67; DOI: 10.3905/jot.2016.11.1.053
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  • Article
    • Abstract
    • DATA AND PRELIMINARIES
    • PREDICTIVE DAILY TIME-SERIES REGRESSIONS
    • RESULTS
    • PROFITABILITY OF NUMBER OF TRADES-BASED TRADING STRATEGIES
    • Information Content of Security’s Own Number of Trades
    • Information Content of Cross-Securities’ Number of Trades
    • Profitability of Negative versus Positive News
    • Profitability of Announcement-Day versus Non–Announcement-Day News
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
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