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News Releases, Market Integration, and Market Leadership
Author(s) -
ChristieDavid Rohan,
Chaudhry Mukesh,
Khan Walayet
Publication year - 2002
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/1475-6803.t01-1-00005
Subject(s) - futures contract , bond , treasury , german government , government bond , bond market , government (linguistics) , business , monetary economics , futures market , economics , financial system , financial economics , german , finance , political science , law , linguistics , philosophy , archaeology , history
Using intraday data we examine the response of futures on the British Long Gilt (Gilt), the German Government Bond (Bund), the U.S. Treasury Bond (Bond), the Japanese Government Bond (JGB), and the Italian Government Bond (IGB) to the release of U.S. macroeconomic news. Bond, Gilt, and Bund futures respond strongly to the news releases. The response of JGB futures is less pronounced, and IGB futures display weak responses at best. The instruments take time to adjust to news in the announcements. Following the announcements, Bond futures exert a high degree of market leadership. Evidence of increasing market integration is also noted.