News announcements and price discovery in foreign exchange spot and futures markets

Yu Lun Chen, Yin Feng Gau

研究成果: 雜誌貢獻期刊論文同行評審

137 引文 斯高帕斯(Scopus)

摘要

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.

原文???core.languages.en_GB???
頁(從 - 到)1628-1636
頁數9
期刊Journal of Banking and Finance
34
發行號7
DOIs
出版狀態已出版 - 7月 2010

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