Discussion Paper
End‑of‑Month Liquidity in the Treasury Market
Abstract: Trading activity in benchmark U.S. Treasury securities now concentrates on the last trading day of the month. Moreover, this stepped-up activity is associated with lower transaction costs, as shown by a smaller price impact of trades. We conjecture that increased turn-of-month portfolio rebalancing by passive investment funds that manage relative to fixed-income indices helps explain these patterns.
Keywords: end of month; Portfolio rebalancing; index; Treasury securities;
JEL Classification: G12;
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Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Liberty Street Economics
Publication Date: 2024-09-24
Number: 20240924