Efficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts

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dc.creatorChen, Kim Heng
dc.creatorHan, Li-Ming
dc.date2017-04-01T20:04:10Z
dc.date.accessioned2026-07-09T04:46:39Z
dc.descriptionThis paper provides a comprehensive analysis of the responses of non-nearby Japanese yen and Deutsche mark futures contracts to macroeconomic announcements and the efficiency of information flow between the nearby and non-nearby contracts. The results show that macroeconomic announcements affect the non-nearby futures returns more through their effects on interest rate differentials than through the underlying spot exchange rates. Information flows efficiently between the Deutsche mark nearby and non-nearby contracts, while information flows primarily from the Japanese yen nearby contracts to the non-nearby counterparts.
dc.identifierdoi:10.22004/ag.econ.50279
dc.identifierhttps://ageconsearch.umn.edu/record/50279/files/2-Kim%20Heng%20Chen.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/50279
dc.identifier.urihttp://hdl.handle.net/123456789/554746
dc.languageeng
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/50279
dc.titleEfficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts
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