TY  - UNPD
A1  - Andersen, Torben G.
A1  - Bollerslev, Tim
A1  - Diebold, Francis X.
A1  - Vega, Clara
T1  - Real-time price discovery in stock, bond and foreign exchange markets
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2004,19
N2  - We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. The details of the linkages are particularly intriguing as regards equity markets. We show that equity markets react differently to the same news depending on the state of the economy, with bad news having a positive impact during expansions and the traditionally-expected negative impact during recessions. We rationalize this by temporal variation in the competing "cash flow" and "discount rate" effects for equity valuation. This finding helps explain the time-varying correlation between stock and bond returns, and the relatively small equity market news effect when averaged across expansions and recessions. Lastly, relying on the pronounced heteroskedasticity in the high-frequency data, we document important contemporaneous linkages across all markets and countries over-and-above the direct news announcement effects. JEL Klassifikation: F3, F4, G1, C5
T3  - CFS working paper series - 2004, 19 
KW  - Asset Pricing
KW  - Macroeconomic News Announcements
KW  - Financial Market Linkages
KW  - Market Microstructure
KW  - High-Frequency Data
KW  - Survey Data
KW  - USA
KW  - Deutschland
KW  - Großbritannien
KW  - Aktienbörse
KW  - Aktienmarkt
KW  - Wertpapierbörse
KW  - Wertpapiermarkt
KW  - Rentenmarkt
KW  - Devisenbörse
Y1  - 2004
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4424
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10702
N1  - First Version: July 2003. This Version: June 28, 2004.
IS  - This Version: June 28, 2004
ER  -