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Price Discovery in Canadian Government Bond Futures and Spot Markets

Chung, Christopher; Campbell, Bryan; Hendry, Scott - Bank of Canada - 2007

In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative...

Persistent link: https://www.econbiz.de/10005673292

Price Formation and Liquidity Provision in Short-Term Fixed Income Markets

D'Souza, Chris; Lo, Ingrid; Sapp, Stephen - Bank of Canada - 2007

Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient. The...

Persistent link: https://www.econbiz.de/10005673334

It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match

Ehrmann, Michael; Jansen, David-Jan - Bank of Canada - 2014

The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as...

Persistent link: https://www.econbiz.de/10010762049

Price Discovery in Canadian and U.S. 10-Year Government Bond Markets

Campbell, Bryan; Hendry, Scott - Bank of Canada - 2007

This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information...

Persistent link: https://www.econbiz.de/10005808284

The Monetary Origins of Asymmetric Information in International Equity Markets

Bauer, Gregory H.; Vega, Clara - Bank of Canada - 2004

Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation. Those studies, however, do not account for the presence of asymmetric information, where sophisticated investors generate private information about the...

Persistent link: https://www.econbiz.de/10005808373

International Equity Flows and Returns: A Quantitative Equilibrium Approach

Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - Bank of Canada - 2004

The authors model trading by foreign and domestic investors in developed-country equity markets. The key assumptions are that (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor sophistication matters for performance in both...

Persistent link: https://www.econbiz.de/10005162420

Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market

Jiang, George J.; Lo, Ingrid; Verdelhan, Adrien - Bank of Canada - 2008

is often preceeded by an increase in market volatility and a withdrawal of liquidity, and that liquidity shocks play an …

Persistent link: https://www.econbiz.de/10005536874

Idiosyncratic Coskewness and Equity Return Anomalies

Chabi-Yo, Fousseni; Yang, Jun - Bank of Canada - 2010

In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return. We find that there is a negative...

Persistent link: https://www.econbiz.de/10008577437

Private Information Flow and Price Discovery in the U.S. Treasury Market

Jiang, George J.; Lo, Ingrid - Bank of Canada - 2011

private information and liquidity shocks play more important roles in bond price variation on non-announcement days. Most …

Persistent link: https://www.econbiz.de/10008838745

High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market

Jiang, George J.; Lo, Ingrid; Valente, Giorgio - Bank of Canada - 2014

to analyze the impact of HF activities on liquidity and price efficiency. Our results show that HF activities have a … negative effect on liquidity around economic announcements: they widen spreads during the pre-announcement period and lower … depth on the order book during the post-announcement period. The negative impact on liquidity mainly derives from HF trades …

Persistent link: https://www.econbiz.de/10011097369

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