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Real-time price discovery in global stock, bond and foreign exchange markets
By : Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Clara Vega, ELSEVIER (t-andersen@kellogg.nwu.edu (T.G. Andersen), boller@econ.duke.edu (T. Bollerslev))
Created : 2010-06-24, with 1 files
Keyword : price, discovery, global, stock, bond, foreign, exchange,markets
Url : http://www.elsevier.com/locate/econbase
Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British
stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news
produces conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are
linked to fundamentals. Equity markets, moreover, react differently to news depending on the stage of the
business cycle, which explains the low correlation between stock and bond returns when averaged over the
cycle. Hence our results qualify earlier work suggesting that bond markets react most strongly to
macroeconomic news; in particular, when conditioning on the state of the economy, the equity and foreignexchange markets appear equally responsive. Finally, we also document important contemporaneous links
across all markets and countries, even after controlling for the effects of macroeconomic news.
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