THE IMPACT OF MACROECONOMIC NEWS ON FINANCIAL MARKETS
โ Scribed by Louis H. Ederington; Jae Ha Lee
- Book ID
- 111353186
- Publisher
- John Wiley and Sons
- Year
- 1996
- Weight
- 276 KB
- Volume
- 9
- Category
- Article
- ISSN
- 1078-1196
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๐ SIMILAR VOLUMES
## 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
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