Data/hora: 10/06/2024 05:35:35

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