THE TRANSACTION-BY-TRANSACTION ADJUSTMENT OF INTEREST RATE AND EQUITY INDEX FUTURES MARKETS TO MACROECONOMIC ANNOUNCEMENTS - One of the fundamental precepts of modern financial theory, well supported by empirical evidence from analysis of market closing prices, is that financial markets incorporate new information very efficiently. However, as more high-frequency data on transaction prices become ...
Year of publication: |
1998
|
---|---|
Authors: | Gwilym, Owain Ap ; Buckle, Mike ; Clare, Andrew ; Thomas, Stephen |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Institutional Investor, ISSN 1074-1240, ZDB-ID 11690045. - Vol. 6.1998, 2, p. 7-17
|
Saved in:
Saved in favorites
Similar items by person
-
Gwilym, Owain Ap,
-
The Intraday Behavior of European Bond Futures
Gwilym, Owain ap, (1996)
-
THE INTRADAY BEHAVIOR OF BID-ASK SPREADS, RETURNS, AND VOLATILITY FOR FTSE-100 STOCK INDEX OPTIONS
Gwilym, Owain ap, (1997)
- More ...