G14 - Information and Market Efficiency; Event Studies - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T11:49:14+00:00Price Discovery in Canadian and U.S. 10-Year Government Bond Markets
https://www.bankofcanada.ca/2007/08/working-paper-2007-43/
This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds using futures market data from the Montreal Exchange and OTC cash market data reflecting the inter-dealer market covered by CanPx.2007-08-02T11:25:43+00:00enPrice Discovery in Canadian and U.S. 10-Year Government Bond Markets2007-08-02Financial marketsMarket structure and pricingWorking Paper 2007-43 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-43.pdfPrice Discovery in Canadian and U.S. 10-Year Government Bond MarketsBryan CampbellScott HendryAugust 2007GG1G12G13G14Price Formation and Liquidity Provision in Short-Term Fixed Income Markets
https://www.bankofcanada.ca/2007/04/working-paper-2007-27/
Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient.2007-04-03T12:34:23+00:00enPrice Formation and Liquidity Provision in Short-Term Fixed Income Markets2007-04-03Financial marketsInterest ratesMarket structure and pricingWorking Paper 2007-27 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-27.pdfPrice Formation and Liquidity Provision in Short-Term Fixed Income MarketsChris D'SouzaIngrid LoStephen SappApril 2007GG1G12G14G15Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?
https://www.bankofcanada.ca/2007/03/working-paper-2007-23/
Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model.2007-03-10T11:27:54+00:00enOrder Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?2007-03-10Exchange ratesFinancial marketsWorking Paper 2007-23 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-23.pdfOrder Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?Ingrid LoStephen SappMarch 2007GG1G14Multivariate Realized Stock Market Volatility
https://www.bankofcanada.ca/2007/03/working-paper-2007-20/
We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns.2007-03-07T15:39:50+00:00enMultivariate Realized Stock Market Volatility2007-03-07Econometric and statistical methodsFinancial marketsWorking Paper 2007-20 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-20.pdfMultivariate Realized Stock Market VolatilityGregory BauerKeith VorkinkMarch 2007CC3C32C5C53GG1G14Impact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds
https://www.bankofcanada.ca/2007/02/working-paper-2007-5/
This study examines the impact of increased transparency, brought about by the introduction of three electronic trading systems, on the brokered interdealer market for Government of Canada benchmark securities. Using the CanPX dataset for the 2-, 5-, 10-, and 30-year benchmarks, the paper finds some evidence of decreased bid-ask spreads for the 30-year benchmark in the months following the introduction of the electronic platforms.2007-02-05T12:10:18+00:00enImpact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds2007-02-05Financial marketsMarket structure and pricingWorking Paper 2007-5 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-5.pdfImpact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark BondsNatasha KhanFebruary 2007GG1G10G14Price Discovery in Canadian Government Bond Futures and Spot Markets
https://www.bankofcanada.ca/2007/02/working-paper-2007-4/
In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds.
We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative contributions of trading in the cash and futures markets to the price discovery process.2007-02-04T10:56:25+00:00enPrice Discovery in Canadian Government Bond Futures and Spot Markets2007-02-04Financial marketsMarket structure and pricingWorking Paper 2007-4 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-4.pdfPrice Discovery in Canadian Government Bond Futures and Spot MarketsChristopher ChungBryan CampbellScott HendryFebruary 2007GG1G12G13G14