Central Bank Policy Announcements and Changes in Trading Behavior: Evidence from Bond Futures High Frequency Price Data
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- Kamada, Koichiro & Kurosaki, Tetsuo & Miura, Ko & Yamada, Tetsuya, 2022. "Central bank policy announcements and changes in trading behavior: Evidence from bond futures high frequency price data," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
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Cited by:
- Keiichi Goshima & Yusuke Kumano, 2018. "Monetary Policy Announcement and Algorithmic News Trading in the Foreign Exchange Market," IMES Discussion Paper Series 18-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
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More about this item
Keywords
Central bank announcements; Government bond futures; Herding behavior; Information efficiency; Market microstructure;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2018-04-09 (Central Banking)
- NEP-MAC-2018-04-09 (Macroeconomics)
- NEP-MON-2018-04-09 (Monetary Economics)
- NEP-MST-2018-04-09 (Market Microstructure)
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