Macroeconomic news and treasury futures return volatility : do treasury auctions matter?
Year of publication: |
2021
|
---|---|
Authors: | Smales, L. A. |
Published in: |
Global finance journal. - Amsterdam [u.a.] : Elsevier Inc., ISSN 1044-0283, ZDB-ID 1117243-5. - Vol. 48.2021, p. 1-30
|
Subject: | Futures markets | Macroeconomic news | Market efficiency | Treasury auctions | Volatility | Volatilität | Staatspapier | Government securities | Ankündigungseffekt | Announcement effect | Auktion | Auction | Öffentliche Anleihe | Public bond | Schätzung | Estimation | Effizienzmarkthypothese | Efficient market hypothesis | Wirkungsanalyse | Impact assessment | Auktionstheorie | Auction theory | Kapitaleinkommen | Capital income |
-
Macroeconomic News and Treasury Futures Return Volatility : Do Treasury Auctions Matter?
Smales, Lee A., (2020)
-
Macroeconomic news announcements and market efficiency : evidence from the US Treasury market
Lin, Hai, (2021)
-
Treasury auctions and secondary market dynamics : an analysis based on the MTS market for Italy
Cafiso, Gianluca, (2015)
- More ...
-
Reaction to nonscheduled news during financial crisis : Australian evidence
Smales, L. A., (2014)
-
Investor attention and global market returns during the COVID-19 crisis
Smales, L. A., (2021)
-
Geopolitical risk and volatility spillovers in oil and stock markets
Smales, L. A., (2021)
- More ...