G14 - Information and Market Efficiency; Event Studies
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The Effects of Economic News on Bond Market Liquidity
The authors contrast the impact of two sources of information flow on the volatility of prices, trading activity, and liquidity in the brokered interdealer market for Government of Canada bonds. -
An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds
The authors empirically measure Canadian bond market liquidity using a number of indicators proposed in the literature and detail, for the first time, price and trade dynamics in the Government of Canada secondary bond market. They find, consistent with Inoue (1999), that the Canadian brokered interdealer fixed-income market is relatively liquid for its size. -
How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?
This paper examines the daily hedging and risk-management practices of financial intermediaries in the Canadian foreign exchange (FX) market. -
Alternative Trading Systems: Does One Shoe Fit All?
This paper examines the factors that lead liquidity-motivated investors to choose the type of market structure they prefer. -
Financial Structure and Economic Growth: A Non-Technical Survey
There is a large body of literature that studies the relationship between financial structure (that is, the degree to which the financial system is either market- or intermediary-based) and long-run economic growth. -
A Market Microstructure Analysis of Foreign Exchange Intervention in Canada
This paper clarifies the role and the impact of foreign exchange dealers in the relationship between foreign exchange intervention and nominal exchange rates using a unique dataset that disaggregates trades by dealer and by type of trade. -
The Information Content of Interest Rate Futures Options
Options prices are being increasingly employed to extract market expectations and views about monetary policy. In this paper, eurodollar options are monitored to examine the evolution of market sentiment over the possible future values of eurodollar rates. Risk-neutral probability functions are employed to synopsize the information contained in the prices of euro/dollar futures options. Several […] -
Greater Transparency in Monetary Policy: Impact on Financial Markets
Measures have been taken by the Bank of Canada to increase the transparency of Canadian monetary policy. This paper examines whether the greater transparency has improved financial markets' understanding of the conduct of monetary policy. -
Tests of Market Efficiency in the One-Week When-Issued Market for Government of Canada Treasury Bills
This report presents different tests of market efficiency in the when- issued market for Government of Canada treasury bills and examines the effectiveness, in this market, of Bank operations over the 1986 to mid- 1992 period. The when-issued market, which is a combination of a forward and futures market, enables market participants to buy or […]