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    Bond futures and order imbalance Examining international linkages

    Access Status
    Fulltext not available
    Authors
    Smales, Lee
    Date
    2013
    Type
    Journal Article
    
    Metadata
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    Citation
    Smales, L. 2013. Bond futures and order imbalance Examining international linkages. Journal of International Financial Markets Institutions and Money. 26: pp. 113-132.
    Source Title
    Journal of International Financial Markets Institutions and Money
    DOI
    10.1016/j.intfin.2013.05.006
    ISSN
    1042-4431
    URI
    http://hdl.handle.net/20.500.11937/17478
    Collection
    • Curtin Research Publications
    Abstract

    Order imbalance methodology is utilized to examine the linkbetween trading activity and returns in the six most liquid interna-tional bond futures markets. Order imbalances are strongly relatedto contemporaneous returns, in the expected direction (i.e. excessbuy (sell) orders push down (up) yields), even after controlling foraggregate market volume. There is evidence of contrarian investorbehaviour following an increase in yields, but continuation of orderimbalances when yields are falling (the prices of bond futures arerising). International bond futures markets are strongly intertwinedwith the US market having a strong influence on the returns andorder-flow across all countries; this is likely an indication of thespill-over effect of US macroeconomic data.

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