کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961111 | 929784 | 2009 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The cross-market information content of stock and bond order flow
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
In this paper I test the hypothesis that trading activity in the stock and bond markets contains important marketwide pricing information. Using a large sample of actively traded stocks and U.S. Treasury securities, I find that aggregate order imbalances play a strong role in explaining cross-market returns. I interpret this as evidence that aggregate order flow reveals information about the risk preferences, beliefs, and endowments of the investor population that is relevant for pricing securities in both markets. I also find evidence that cross-market hedging is an important source of linkages across the two markets, especially during periods of elevated equity volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 12, Issue 2, May 2009, Pages 268-289
Journal: Journal of Financial Markets - Volume 12, Issue 2, May 2009, Pages 268-289
نویسندگان
Shane Underwood,