Data/hora: 09/06/2024 05:52:04

Provedor de dados: 	31	
País: 	United States	
Título: 	Efficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts	
Autores: 	Chen,   Kim Heng; Han,   Li-Ming.	
Data: 	2009-05-21	
Ano: 	2006	
Palavras-chave: 	Nearby and non-nearby currency futures contracts; Macroeconomic announcement; Information and liquidity trading; Financial Economics; C32; G14.	
Resumo: 	This paper provides a comprehensive analysis of the responses of non-nearby Japanese yen and Deutsche mark futures contracts to macroeconomic announcements and the efficiency of information flow between the nearby and non-nearby contracts. The results show that macroeconomic announcements affect the non-nearby futures returns more through their effects on interest rate differentials than through the underlying spot exchange rates. Information flows efficiently between the Deutsche mark nearby and non-nearby contracts, while information flows primarily from the Japanese yen nearby contracts to the non-nearby counterparts.	
Tipo: 	Journal Article	
Idioma: 	Inglês	
Identificador: 	http://purl.umn.edu/50279	
Relação: 	Review of Applied Economics&gt;Volume 2, Number 1, 2006	
Formato: 	29