Author: Michael J. Fleming

U.S. Treasury securities are traded in London and Tokyo as well as in New York, creating a virtual round-the-clock market. The author describes that market by examining trading volume, price volatility, and bid-ask spreads over the global trading day. He finds that trading volume and price volatility are highly concentrated in New York trading hours. Bid-ask spreads are found to be wider overseas than in New York and wider in Tokyo than in London. Despite the lower liquidity of the overseas locations, the author finds that overseas price changes in U.S. Treasury securities are unbiased predictors of overnight New York price changes.