Department of Economics and Business Economics

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Research output: Working paper/Preprint Working paperResearch

Standard

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. / Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Vega, Clara.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

Research output: Working paper/Preprint Working paperResearch

Harvard

Andersen, TG, Bollerslev, T, Diebold, FX & Vega, C 2007 'Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets' Institut for Økonomi, Aarhus Universitet, Aarhus. <ftp://ftp.econ.au.dk/creates/rp/07/rp07_20.pdf>

APA

Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2007). Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. Institut for Økonomi, Aarhus Universitet. ftp://ftp.econ.au.dk/creates/rp/07/rp07_20.pdf

CBE

Andersen TG, Bollerslev T, Diebold FX, Vega C. 2007. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Andersen, Torben G. et al. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. Aarhus: Institut for Økonomi, Aarhus Universitet. 2007., 36 p.

Vancouver

Andersen TG, Bollerslev T, Diebold FX, Vega C. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. Aarhus: Institut for Økonomi, Aarhus Universitet. 2007.

Author

Andersen, Torben G. ; Bollerslev, Tim ; Diebold, Francis X. ; Vega, Clara. / Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

Bibtex

@techreport{9ea29fd0e44011dc9afb000ea68e967b,
title = "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets",
abstract = "Using a unique high-frequency futures dataset, we characterize the response of U.S., Germanand British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We findthat news produces conditional mean jumps; hence high-frequency stock, bond and exchange ratedynamics are linked to fundamentals. Equity markets, moreover, react differently to news depending onthe stage of the business cycle, which explains the low correlation between stock and bond returns whenaveraged over the cycle. Hence our results qualify earlier work suggesting that bond markets react moststrongly to macroeconomic news; in particular, when conditioning on the state of the economy, the equityand foreign exchange markets appear equally responsive. Finally, we also document importantcontemporaneous links across all markets and countries, even after controlling for the effects ofmacroeconomic news.",
keywords = "Asset Pricing; Macroeconomic News Announcements; Financial Market Linkages; Market Microstructure; High-Frequency Data; Survey Data; Asset Return Volatility; Forecasting",
author = "Andersen, {Torben G.} and Tim Bollerslev and Diebold, {Francis X.} and Clara Vega",
year = "2007",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

AU - Andersen, Torben G.

AU - Bollerslev, Tim

AU - Diebold, Francis X.

AU - Vega, Clara

PY - 2007

Y1 - 2007

N2 - Using a unique high-frequency futures dataset, we characterize the response of U.S., Germanand British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We findthat news produces conditional mean jumps; hence high-frequency stock, bond and exchange ratedynamics are linked to fundamentals. Equity markets, moreover, react differently to news depending onthe stage of the business cycle, which explains the low correlation between stock and bond returns whenaveraged over the cycle. Hence our results qualify earlier work suggesting that bond markets react moststrongly to macroeconomic news; in particular, when conditioning on the state of the economy, the equityand foreign exchange markets appear equally responsive. Finally, we also document importantcontemporaneous links across all markets and countries, even after controlling for the effects ofmacroeconomic news.

AB - Using a unique high-frequency futures dataset, we characterize the response of U.S., Germanand British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We findthat news produces conditional mean jumps; hence high-frequency stock, bond and exchange ratedynamics are linked to fundamentals. Equity markets, moreover, react differently to news depending onthe stage of the business cycle, which explains the low correlation between stock and bond returns whenaveraged over the cycle. Hence our results qualify earlier work suggesting that bond markets react moststrongly to macroeconomic news; in particular, when conditioning on the state of the economy, the equityand foreign exchange markets appear equally responsive. Finally, we also document importantcontemporaneous links across all markets and countries, even after controlling for the effects ofmacroeconomic news.

KW - Asset Pricing; Macroeconomic News Announcements; Financial Market Linkages; Market Microstructure; High-Frequency Data; Survey Data; Asset Return Volatility; Forecasting

M3 - Working paper

BT - Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -