Macroeconomic news and the efficiency of international bond futures markets

Journal of Futures Markets

Volumn 16, Issue 2, 1996, Pages 131-145

  Becker, Kent G ^a   Finnerty, Joseph E ^b   Kopecky, Kenneth J ^a  

^a TEMPLE UNIVERSITY   (United States)

^b UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030526163     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199604)16:2<131::AID-FUT1>3.0.CO;2-L     Document Type: Article

References (9)

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4. Modigliani, F., and Shiller, R. J. (1973): "Inflation, Rational Expectations and the Term Structure of Interest Rates," Economica, 40:12-43.
5. Niemira, M. P., and Zukowski, G. F. (1994): Trading the Fundamentals. Chicago: Probus Publishing Co.
6. Pearce, D. K., and Roley, V. V. (1985): "Stock Prices and Economic News," Journal of Business, 58:49-67.
7. Roley, V. V., and Troll, R. (1983): "The Impact of New Economic Information on the Volatility of Short-Term Interest Rates," Federal Reserve Bank of Kansas City, Economic Review, 3-15.
8. Smirlock, M. (1986): "Inflation Announcements and Financial Market Reaction: Evidence from the Long-Term Bond Market," Review of Economics and Statistics, 68: 329-333.
9. Urich, T. J., and Wachtel, P. (1984): "The Effects of Inflation and Money Supply Announcements on Interest Rates, "Journal of Finance, 39: 1177-1188.