| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
Efficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts
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| Autores: |
Chen, Kim Heng
Han, Li-Ming
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| Data: |
2009-05-21
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| Ano: |
2006
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| Palavras-chave: |
Nearby and non-nearby currency futures contracts
Macroeconomic announcement
Information and liquidity trading
Financial Economics
C32
G14
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| 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.
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| Tipo: |
Journal Article
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| Idioma: |
Inglês
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| Identificador: |
http://purl.umn.edu/50279
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| Relação: |
Review of Applied Economics>Volume 2, Number 1, 2006
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| Formato: |
29
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