Bond futures and order imbalance Examining international linkages

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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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Bibliographic Details
Main Author:	Smales, Lee
Format:	Journal Article
Published:	Elsevier BV * North-Holland 2013
Subjects:	Order imbalance Spill-over effect VAR Futures markets Bond futures
Online Access:	http://hdl.handle.net/20.500.11937/17478

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