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	Provedor de dados AgEcon (1) Autor Chen, Kim Heng (1) Han, Li-Ming (1) Palavra-chave C32 (1) Financial Economics (1) G14 (1) Information and liquidity trading (1) Macroeconomic announcement (1) Nearby and non-nearby currency futures contracts (1) Mais... Tipo do documento Journal Article (1) Ano 2006 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última Efficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts AgEcon Chen, Kim Heng; Han, Li-Ming. 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 Palavras-chave: Nearby and non-nearby currency futures contracts; Macroeconomic announcement; Information and liquidity trading; Financial Economics; C32; G14. Ano: 2006 URL: http://purl.umn.edu/50279 Registros recuperados: 1 Primeira ... 1 ... Última

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