Simpson, Marc W.; Ramchander, Sanjay - In: Journal of Futures Markets 24 (2004) 5, pp. 453-478
In this study we analyze the reaction of daily cash and futures prices for several Treasury securities to the release of U.S. macroeconomic news. Some important results are reported. First, consistent with the notion of market integration, the futures market is found to be cointegrated with the...