Central bank policy announcements and changes in trading behavior : evidence from bond futures high frequency price data
Koichiro Kamada, Tetsuo Kurosaki, Ko Miura, Tetsuya Yamada
| Year of publication: |
2022
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|---|---|
| Authors: | Kamada, Koichiro ; Kurosaki, Tetsuo ; Miura, Ko ; Yamada, Tetsuya |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 59.2022, p. 1-27
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| Subject: | Central bank announcements | Government bond futures | Herding behavior | Information efficiency | Market microstructure | Ankündigungseffekt | Announcement effect | Öffentliche Anleihe | Public bond | Geldpolitik | Monetary policy | Marktmikrostruktur | Herdenverhalten | Herding | Zentralbank | Central bank | Zinsderivat | Interest rate derivative | Effizienzmarkthypothese | Efficient market hypothesis | Theorie | Theory | Schätzung | Estimation |