Bond futures and order imbalance Examining international linkages
Order imbalance methodology is utilized to examine the linkbetween trading activity and returns in the six most liquid interna-tional bond futures markets. Order imbalances are strongly relatedto contemporaneous returns, in the expected direction (i.e. excessbuy (sell) orders push down (up) yields),...
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| Format: | Journal Article |
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Elsevier BV * North-Holland
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/17478 |