G14 - Information and Market Efficiency; Event Studies - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T19:33:09+00:00High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
https://www.bankofcanada.ca/2014/12/working-paper-2014-56/
This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i- Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency.2014-12-12T11:10:12+00:00enHigh-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market2014-12-12Financial marketsWorking Paper 2014-56https://www.bankofcanada.ca/wp-content/uploads/2014/12/wp2014-56.pdfHigh-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury MarketGeorge JiangIngrid LoGiorgio ValenteDecember 2014GG1G10G12G14Exchange-Traded Funds: Evolution of Benefits, Vulnerabilities and Risks
https://www.bankofcanada.ca/wp-content/uploads/2014/12/fsr-december14-foucher.pdf
Ian Foucher and Kyle Gray explain the different types of exchange-traded funds (ETFs), which present both benefits and risks for investors. They discuss ways in which the risk characteristics of certain ETF products could have broader implications for the financial system, and describe the evolution of ETF market structure and regulation in different jurisdictions as authorities try to mitigate risks related to ETFs.2014-12-10T07:50:07+00:00enExchange-Traded Funds: Evolution of Benefits, Vulnerabilities and Risks2014-12-10The Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets
https://www.bankofcanada.ca/2014/11/working-paper-2014-50/
The Federal Reserve’s quantitative easing (QE) program has been accompanied by a flow of funds into emerging-market economies (EMEs) in search of higher returns.2014-11-19T11:39:54+00:00enThe Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets2014-11-19International financial marketsInternational topicsMonetary policy transmissionWorking Paper 2014-50https://www.bankofcanada.ca/wp-content/uploads/2014/11/wp2014-50.pdfThe Effect of the Federal Reserve’s Tapering Announcements on Emerging MarketsVikram RaiLena SuchanekNovember 2014CC3C33EE5E58FF3F32GG1G14High-Frequency Trading Competition
https://www.bankofcanada.ca/2014/05/working-paper-2014-19/
We analyze trading dynamics as successive high-frequency trading (HFT) firms begin to trade stocks in an equity market. Entrants compete with incumbents for volume, and there is crowding out.2014-05-12T09:50:08+00:00enHigh-Frequency Trading Competition2014-05-12Financial marketsMarket structure and pricingWorking Paper 2014-19https://www.bankofcanada.ca/wp-content/uploads/2014/05/wp2014-19.pdfHigh-Frequency Trading CompetitionJonathan BrogaardCorey GarriottAnna PomeranetsMay 2014GG1G14G2G20LL1Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work
https://www.bankofcanada.ca/2014/03/working-paper-2014-11/
The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market information helps forecast the real price of oil in physical markets.2014-03-25T14:22:48+00:00enDo High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work2014-03-25Econometric and statistical methodsInternational topicsWorking Paper 2014-11https://www.bankofcanada.ca/wp-content/uploads/2014/03/wp2014-11.pdfDo High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at WorkChristiane BaumeisterPierre GuérinLutz KilianMarch 2014CC5C53GG1G14QQ4Q43Database of Sovereign Defaults, 2017
https://www.bankofcanada.ca/2014/02/technical-report-101/
Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada’s Credit Rating Assessment Group (CRAG) has developed a comprehensive database of sovereign defaults posted on the Bank of Canada’s website.2014-02-25T12:44:51+00:00enDatabase of Sovereign Defaults, 20172014-02-25Debt managementDevelopment economicsFinancial stabilityInternational financial marketsTechnical Report No.101 (Revised June 2016)https://www.bankofcanada.ca/wp-content/uploads/2016/06/r101-revised-june2017.pdfDatabase of Sovereign Defaults, 2016David BeersJamshid MavalwallaJune 2017FF3F34GG1G10G14G15It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match
https://www.bankofcanada.ca/2014/01/working-paper-2014-2/
The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as sporting events unfold.2014-01-23T13:56:53+00:00enIt Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match2014-01-23Asset pricingFinancial marketsWorking Paper 2014-2https://www.bankofcanada.ca/wp-content/uploads/2014/01/wp2014-2.pdfIt Hurts (Stock Prices) When Your Team Is About to Lose a Soccer MatchMichael EhrmannDavid-Jan JansenJanuary 2014GG0G02G1G12G14G15