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Efficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts

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  • Chen, Kim Heng
  • Han, Li-Ming

Abstract

This paper provides a comprehensive analysis of the responses of non-nearby Japanese yen and Deutsche mark futures contracts to macroeconomic announcements and the efficiency of information flow between the nearby and non-nearby contracts. The results show that macroeconomic announcements affect the non-nearby futures returns more through their effects on interest rate differentials than through the underlying spot exchange rates. Information flows efficiently between the Deutsche mark nearby and non-nearby contracts, while information flows primarily from the Japanese yen nearby contracts to the non-nearby counterparts.

Suggested Citation

  • Chen, Kim Heng & Han, Li-Ming, 2006. "Efficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 2(01), pages 1-29.
    • Handle: RePEc:ags:reapec:50279
    DOI: 10.22004/ag.econ.50279
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    References listed on IDEAS

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