Matches in Library of Congress for { <http://lccn.loc.gov/2007618501> ?p ?o. }
Showing items 1 to 27 of
27
with 100 items per page.
- 2007618501 abstract "The paper analyses the information content of trades in Bund futures and German government bonds before and during the 1998 financial market turbulences and tests whether the contributions to price discovery of the two market segments were constant over time. The results suggest that, under the normal market conditions prevailing in the first half of the year, between 19% and 33% of the variation in the efficient price was due to trading in the spot market. In the aftermath of the recapitalisation of LTCM, by contrast, the bond market's share in price discovery dropped to zero, with information becoming incorporated into prices only in the futures market. This decline can be traced to an unusually high proportion of large client trades that were executed against dealer inventory, which suggests that they were primarily motivated by liquidity rather than by information. On the methodological side, the paper computes information shares and factor weights based on the Gonzalo-Granger decomposition in markets with different trading frequencies. In addition, the paper captures variations over time by using a sequence of break point tests.".
- 2007618501 contributor B11048477.
- 2007618501 contributor B11048478.
- 2007618501 contributor B11048479.
- 2007618501 created "c2007.".
- 2007618501 date "2007".
- 2007618501 date "c2007.".
- 2007618501 dateCopyrighted "c2007.".
- 2007618501 description "Includes bibliographical references.".
- 2007618501 description "Mode of access: World Wide Web.".
- 2007618501 description "System requirements: Adobe Acrobat Reader.".
- 2007618501 description "The paper analyses the information content of trades in Bund futures and German government bonds before and during the 1998 financial market turbulences and tests whether the contributions to price discovery of the two market segments were constant over time. The results suggest that, under the normal market conditions prevailing in the first half of the year, between 19% and 33% of the variation in the efficient price was due to trading in the spot market. In the aftermath of the recapitalisation of LTCM, by contrast, the bond market's share in price discovery dropped to zero, with information becoming incorporated into prices only in the futures market. This decline can be traced to an unusually high proportion of large client trades that were executed against dealer inventory, which suggests that they were primarily motivated by liquidity rather than by information. On the methodological side, the paper computes information shares and factor weights based on the Gonzalo-Granger decomposition in markets with different trading frequencies. In addition, the paper captures variations over time by using a sequence of break point tests.".
- 2007618501 hasFormat "Also available in print.".
- 2007618501 identifier work224.htm.
- 2007618501 isFormatOf "Also available in print.".
- 2007618501 isPartOf "BIS working papers, 1682-7678 ; no. 224".
- 2007618501 issued "2007".
- 2007618501 issued "c2007.".
- 2007618501 language "eng".
- 2007618501 publisher "Basel, Switzerland : Bank for International Settlements,".
- 2007618501 relation "Also available in print.".
- 2007618501 requires "Mode of access: World Wide Web.".
- 2007618501 requires "System requirements: Adobe Acrobat Reader.".
- 2007618501 subject "HG3879".
- 2007618501 subject "Information shares ; Bond futures ; Upstairs markets".
- 2007618501 title "The tail wags the dog [electronic resource] : time-varying information shares in the Bund market / by Christian Upper and Thomas Werner.".
- 2007618501 type "text".