News Releases, Market Integration, and Market Leadership
AbstractUsing intraday data we examine the response of futures on the British Long Gilt (Gilt), the German Government Bond (Bund), the U.S. Treasury Bond (Bond), the Japanese Government Bond (JGB), and the Italian Government Bond (IGB) to the release of U.S. macroeconomic news. Bond, Gilt, and Bund futures respond strongly to the news releases. The response of JGB futures is less pronounced, and IGB futures display weak responses at best. The instruments take time to adjust to news in the announcements. Following the announcements, Bond futures exert a high degree of market leadership. Evidence of increasing market integration is also noted. Southern Finance Association and the Southwestern Finance Association.
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Bibliographic InfoArticle provided by Southern Finance Association & Southwestern Finance Association in its journal The Journal of Financial Research.
Volume (Year): 25 (2002)
Issue (Month): 2 ()
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- Nikkinen, Jussi & Sahlstrom, Petri, 2004. "Scheduled domestic and US macroeconomic news and stock valuation in Europe," Journal of Multinational Financial Management, Elsevier, vol. 14(3), pages 201-215, July.
- Narayan, Seema & Narayan, Paresh Kumar, 2012. "Do US macroeconomic conditions affect Asian stock markets?," Journal of Asian Economics, Elsevier, vol. 23(6), pages 669-679.
- Fricke, Christoph & Menkhoff, Lukas, 2010.
"Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares,"
Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃ¤t der Leibniz UniversitÃ¤t Hannover
dp-449, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Fricke, Christoph & Menkhoff, Lukas, 2011. "Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1057-1072, May.
- Nikkinen, Jussi & Omran, Mohammed & Sahlstrom, Petri & Aijo, Janne, 2006. "Global stock market reactions to scheduled U.S. macroeconomic news announcements," Global Finance Journal, Elsevier, vol. 17(1), pages 92-104, September.
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