Real Time Price Discovery In Global Stock Bond And Foreign Exchange Markets
Download Real Time Price Discovery In Global Stock Bond And Foreign Exchange Markets full books in PDF, epub, and Kindle. Read online free Real Time Price Discovery In Global Stock Bond And Foreign Exchange Markets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
Author | : Torben G. Andersen |
Publisher | : |
Total Pages | : 38 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets Book in PDF, Epub and Kindle
Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. Equity markets, moreover, react differently to news depending on the stage of the business cycle, which explains the low correlation between stock and bond returns when averaged over the cycle. Hence our results qualify earlier work suggesting that bond markets react most strongly to macroeconomic news; in particular, when conditioning on the state of the economy, the equity and foreign exchange markets appear equally responsive. Finally, we also document important contemporaneous links across all markets and countries, even after controlling for the effects of macroeconomic news.
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets Related Books
Pages: 38
Pages: 44
Pages: 0
Pages: 32
Pages: 56