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. 02, issue 01, 29

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: Financial; Economics (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:ags:reapec:50279

DOI: 10.22004/ag.econ.50279

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