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

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.


Issue Date:
2006
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/50279
Published in:
Review of Applied Economics, Volume 02, Number 1
Page range:
13-41
Total Pages:
29
JEL Codes:
C32; G14




 Record created 2017-04-01, last modified 2017-08-25

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)