کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090801 | 1375646 | 2010 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
News announcements and price discovery in foreign exchange spot and futures markets
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: News announcements and price discovery in foreign exchange spot and futures markets News announcements and price discovery in foreign exchange spot and futures markets](/preview/png/5090801.png)
چکیده انگلیسی
This paper studies competition in price discovery between spot and futures rates for the EUR-USD and JPY-USD markets around scheduled macroeconomic announcements. Using both the information shares approach and the common factor component weight approach for futures prices from the Chicago Mercantile Exchange (CME), as well as deal prices from spot trading on the Electronic Broking Services (EBS), we gauge how foreign exchange spot and futures markets respond to news surprises. The results show that the spot rates provide more price discovery than do the CME futures rates overall; however, the contribution of the futures rates to price discovery increases in the time surrounding macroeconomic announcement releases.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 34, Issue 7, July 2010, Pages 1628-1636
Journal: Journal of Banking & Finance - Volume 34, Issue 7, July 2010, Pages 1628-1636
نویسندگان
Yu-Lun Chen, Yin-Feng Gau,