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Dynamic and asymmetric impacts of macroeconomic fundamentals on an integrated stock market

✍ Scribed by Martin K. Hess

Book ID
116575161
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
192 KB
Volume
14
Category
Article
ISSN
1042-4431

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An examination of the impact of macroeco
An examination of the impact of macroeconomic news on the spot and futures treasuries markets
✍ Marc W. Simpson; Sanjay Ramchander πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 154 KB πŸ‘ 1 views

## Abstract In this study we analyze the reaction of daily cash and futures prices for several Treasury securities to the release of U.S. macroeconomic news. Some important results are reported. First, consistent with the notion of market integration, the futures market is found to be cointegrated