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Intraday volatility in interest rate and foreign exchange spot and futures markets

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  • Susan J. Craln
  • Jae Ha Lee

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  • Susan J. Craln & Jae Ha Lee, 1995. "Intraday volatility in interest rate and foreign exchange spot and futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(4), pages 395-421, June.
    • Handle: RePEc:wly:jfutmk:v:15:y:1995:i:4:p:395-421
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    Cited by:

    1. Yan, Meng & Chen, Jian & Song, Victor & Xu, Ke, 2022. "Trade friction and price discovery in the USD–CAD spot and forward markets," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    2. Hess, Dieter, 2001. "Surprises in U.S. macroeconomic releases: Determinants of their relative impact on T-Bond futures," CoFE Discussion Papers 01/01, University of Konstanz, Center of Finance and Econometrics (CoFE).
    3. Li, Wei-Xuan & Chen, Clara Chia-Sheng & Nguyen, James, 2022. "Which market dominates the price discovery in currency futures? The case of the Chicago Mercantile Exchange and the Intercontinental Exchange," Global Finance Journal, Elsevier, vol. 52(C).
    4. Yu-Lun Chen, 2020. "News announcements and price discovery in the RMB–USD market," Review of Quantitative Finance and Accounting, Springer, vol. 54(4), pages 1487-1508, May.
    5. Sanjay Sehgal & Wasim Ahmad & Florent Deisting, 2015. "An investigation of price discovery and volatility spillovers in India’s foreign exchange market," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(2), pages 261-284, May.
    6. P. Sakthivel & Krishna Reddy Chittedi & Daniel Sakyi, 2017. "Price Discovery and Volatility Transmission in Currency Spot and Futures Markets in India: An Empirical Analysis," Global Business Review, International Management Institute, vol. 20(4), pages 931-945, August.
    7. Yoonjae Noh & Jong-Min Kim & Soongoo Hong & Sangjin Kim, 2023. "Deep Learning Model for Multivariate High-Frequency Time-Series Data: Financial Market Index Prediction," Mathematics, MDPI, vol. 11(16), pages 1-18, August.
    8. Smales, Lee A., 2012. "30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 1006-1023.
    9. Nikolaus Hautsch & Dieter Hess, 2002. "The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report," Review of Finance, European Finance Association, vol. 6(2), pages 133-161.
    10. Yu‐Lun Chen & Yin‐Feng Gau, 2022. "The information effect of order flows in foreign currency futures and spot markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1549-1572, August.
    11. Jatin Malhotra & Angelo Corelli, 2021. "The Relative Informativeness of Regular and E-Mini Euro/Dollar Futures Contracts and the Role of Trader Types," Risks, MDPI, vol. 9(6), pages 1-14, June.

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