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 |
| _version_ | 1848749476899979264 |
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| author | Smales, Lee |
| author_facet | Smales, Lee |
| author_sort | Smales, Lee |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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), even after controlling foraggregate market volume. There is evidence of contrarian investorbehaviour following an increase in yields, but continuation of orderimbalances when yields are falling (the prices of bond futures arerising). International bond futures markets are strongly intertwinedwith the US market having a strong influence on the returns andorder-flow across all countries; this is likely an indication of thespill-over effect of US macroeconomic data. |
| first_indexed | 2025-11-14T07:21:33Z |
| format | Journal Article |
| id | curtin-20.500.11937-17478 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:21:33Z |
| publishDate | 2013 |
| publisher | Elsevier BV * North-Holland |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-174782017-09-13T15:44:35Z Bond futures and order imbalance Examining international linkages Smales, Lee Order imbalance Spill-over effect VAR Futures markets Bond futures 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), even after controlling foraggregate market volume. There is evidence of contrarian investorbehaviour following an increase in yields, but continuation of orderimbalances when yields are falling (the prices of bond futures arerising). International bond futures markets are strongly intertwinedwith the US market having a strong influence on the returns andorder-flow across all countries; this is likely an indication of thespill-over effect of US macroeconomic data. 2013 Journal Article http://hdl.handle.net/20.500.11937/17478 10.1016/j.intfin.2013.05.006 Elsevier BV * North-Holland restricted |
| spellingShingle | Order imbalance Spill-over effect VAR Futures markets Bond futures Smales, Lee Bond futures and order imbalance Examining international linkages |
| title | Bond futures and order imbalance Examining international linkages |
| title_full | Bond futures and order imbalance Examining international linkages |
| title_fullStr | Bond futures and order imbalance Examining international linkages |
| title_full_unstemmed | Bond futures and order imbalance Examining international linkages |
| title_short | Bond futures and order imbalance Examining international linkages |
| title_sort | bond futures and order imbalance examining international linkages |
| topic | Order imbalance Spill-over effect VAR Futures markets Bond futures |
| url | http://hdl.handle.net/20.500.11937/17478 |