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

被引：122

作者：

Chen, Yu-Lun ^{[1
]}

Gau, Yin-Feng ^{[1
]}

机构：

[1] Natl Cent Univ, Dept Finance, Tao Yuan 320, Taiwan

来源：

JOURNAL OF BANKING & FINANCE | 2010年 / 34卷 / 07期

关键词：

Price discovery; Electronic Broking Services (EBS); Macroeconomic announcements; INFORMATION; VOLATILITY; COMPONENTS; SECURITY; STOCK;

D O I：

10.1016/j.jbankfin.2010.03.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：1628 / 1636

页数：9

共 30 条

[1] Micro effects of macro announcements: Real-time price discovery in foreign exchange [J].