Please use this identifier to cite or link to this item:
http://hdl.handle.net/11375/5321
Title: | Information analysis in fixed-income markets |
Authors: | Esfahanipour, Akbar Montazemi, Ali Reza Siam, John J. McMaster eBusiness Research Centre (MeRC) |
Publication Date: | May-2007 |
Series/Report no.: | MeRC working paper no. 19 |
Abstract: | <p>There is lots of related information around fixed-income trade that their understanding is important for interested practitioners and researchers. In this report, more than 1 70 variables have been reported from fixed-income market literature. These variables have been categorized in two major groups: fundamental variables and market microstructure dynamics. Fundamental variables have been categorized as macroeconomic, regional and corporate variables. Market microstructure variables have been categorized as price formation, market structure and trading information. Other reported variables are about bond features. Most of the reported variables do not directly relate to bond price, the mediated variables have been reported for more clarifications. The causal relationships between macroeconomic variables have been displayed in terms of announcement effects, surprise effects and domestic variables.</p> |
Description: | <p>46 p. : ; ; "May 2007"</p> |
URI: | http://hdl.handle.net/11375/5321 |
Identifier: | merc/18 1017 4943353 |
Appears in Collections: | MeRC (McMaster eBusiness Research Centre) Working Paper Series |
Files in This Item:
File | Size | Format | |
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fulltext.pdf | 1.61 MB | Adobe PDF | View/Open |
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