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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

spreads across European and Canadian short-term government bond markets is examined via a reduced-form vector autoregression …

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

bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo …

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

, we identify price jumps in the 2-, 3-, 5-, 10-year notes and 30-year bond during the period of 2005-2006. Our results … on preannouncement surveys is an imperfect predictor of bond price jumps. We find that a macroeconomic news announcement … form of price discovery in the sense that they help to quickly incorporate market information into bond prices. …

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

Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as … shocks and heterogeneous private information are the main factors of bond price discovery on announcement days, whereas … 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

This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i-Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and...

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

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