Real-time price discovery in stock, bond and foreign exchange markets:
"We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jum...
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11312 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. The details of the linkages are particularly intriguing as regards equity markets. We show that equity markets react differently to the same news depending on the state of the U.S. economy, with bad news having a positive impact during expansions and the traditionally-expected negative impact during recessions. We rationalize this by temporal variation in the competing "cash flow" and "discount rate" effects for equity valuation. This finding also helps explain the apparent time-varying correlation between stock and bond returns, and the relatively small equity market news announcement effect when averaged across expansions and recessions. Hence, while our results confirm previous unconditional rankings suggesting that bond markets almost uniformly react most strongly to macroeconomic news, followed by foreign exchange and then equity markets, importantly when conditioning on the state of the economy the foreign exchange and equity markets appear equally responsive. Lastly, relying on the pronounced heteroskedasticity in the new high-frequency data, we also document important contemporaneous linkages across all markets and countries over-and-above the direct news announcement effects"--National Bureau of Economic Research web site. |
| Beschreibung: | 32, [22] S. graph. Darst. |
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| 520 | 3 | |a "We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. The details of the linkages are particularly intriguing as regards equity markets. We show that equity markets react differently to the same news depending on the state of the U.S. economy, with bad news having a positive impact during expansions and the traditionally-expected negative impact during recessions. We rationalize this by temporal variation in the competing "cash flow" and "discount rate" effects for equity valuation. This finding also helps explain the apparent time-varying correlation between stock and bond returns, and the relatively small equity market news announcement effect when averaged across expansions and recessions. Hence, while our results confirm previous unconditional rankings suggesting that bond markets almost uniformly react most strongly to macroeconomic news, followed by foreign exchange and then equity markets, importantly when conditioning on the state of the economy the foreign exchange and equity markets appear equally responsive. Lastly, relying on the pronounced heteroskedasticity in the new high-frequency data, we also document important contemporaneous linkages across all markets and countries over-and-above the direct news announcement effects"--National Bureau of Economic Research web site. | |
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| geographic | Deutschland Großbritannien USA |
| geographic_facet | Deutschland Großbritannien USA |
| id | DE-604.BV023591453 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:28Z |
| indexdate | 2024-07-09T21:25:11Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016906783 |
| oclc_num | 60395377 |
| open_access_boolean | 1 |
| owner | DE-521 DE-19 DE-BY-UBM |
| owner_facet | DE-521 DE-19 DE-BY-UBM |
| physical | 32, [22] S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Real-time price discovery in stock, bond and foreign exchange markets Torben G. Andersen ... Cambridge, Mass. National Bureau of Economic Research 2005 32, [22] S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11312 "We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. The details of the linkages are particularly intriguing as regards equity markets. We show that equity markets react differently to the same news depending on the state of the U.S. economy, with bad news having a positive impact during expansions and the traditionally-expected negative impact during recessions. We rationalize this by temporal variation in the competing "cash flow" and "discount rate" effects for equity valuation. This finding also helps explain the apparent time-varying correlation between stock and bond returns, and the relatively small equity market news announcement effect when averaged across expansions and recessions. Hence, while our results confirm previous unconditional rankings suggesting that bond markets almost uniformly react most strongly to macroeconomic news, followed by foreign exchange and then equity markets, importantly when conditioning on the state of the economy the foreign exchange and equity markets appear equally responsive. Lastly, relying on the pronounced heteroskedasticity in the new high-frequency data, we also document important contemporaneous linkages across all markets and countries over-and-above the direct news announcement effects"--National Bureau of Economic Research web site. Ökonometrisches Modell Bonds United States Econometric models Foreign exchange rates United States Econometric models Rate of return Germany Econometric models Rate of return Great Britain Econometric models Rate of return United States Econometric models Stocks United States Econometric models Deutschland Großbritannien USA Andersen, Torben Sonstige (DE-588)128603259 oth Bollerslev, Tim 1958- Sonstige (DE-588)128603593 oth Diebold, Francis X. 1959- Sonstige (DE-588)123909104 oth Vega, Clara Sonstige (DE-588)130532118 oth Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11312 (DE-604)BV002801238 11312 http://papers.nber.org/papers/w11312.pdf kostenfrei Volltext |
| spellingShingle | Real-time price discovery in stock, bond and foreign exchange markets National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Bonds United States Econometric models Foreign exchange rates United States Econometric models Rate of return Germany Econometric models Rate of return Great Britain Econometric models Rate of return United States Econometric models Stocks United States Econometric models |
| title | Real-time price discovery in stock, bond and foreign exchange markets |
| title_auth | Real-time price discovery in stock, bond and foreign exchange markets |
| title_exact_search | Real-time price discovery in stock, bond and foreign exchange markets |
| title_exact_search_txtP | Real-time price discovery in stock, bond and foreign exchange markets |
| title_full | Real-time price discovery in stock, bond and foreign exchange markets Torben G. Andersen ... |
| title_fullStr | Real-time price discovery in stock, bond and foreign exchange markets Torben G. Andersen ... |
| title_full_unstemmed | Real-time price discovery in stock, bond and foreign exchange markets Torben G. Andersen ... |
| title_short | Real-time price discovery in stock, bond and foreign exchange markets |
| title_sort | real time price discovery in stock bond and foreign exchange markets |
| topic | Ökonometrisches Modell Bonds United States Econometric models Foreign exchange rates United States Econometric models Rate of return Germany Econometric models Rate of return Great Britain Econometric models Rate of return United States Econometric models Stocks United States Econometric models |
| topic_facet | Ökonometrisches Modell Bonds United States Econometric models Foreign exchange rates United States Econometric models Rate of return Germany Econometric models Rate of return Great Britain Econometric models Rate of return United States Econometric models Stocks United States Econometric models Deutschland Großbritannien USA |
| url | http://papers.nber.org/papers/w11312.pdf |
| volume_link | (DE-604)BV002801238 |
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