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

Kim Heng Chen and Li-Ming Han

Review of Applied Economics, 2006, vol. 2, issue 1

Abstract: 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.

Keywords: nearby and non-nearby currency futures contracts; macroeconomic announcement; information and liquidity trading; Financial Economics; C32; G14 (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://purl.umn.edu/50279 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ags:reapec:50279

Access Statistics for this article

More articles in Review of Applied Economics from Review of Applied Economics
Series data maintained by AgEcon Search ().