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The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data.
- Source :
- International Journal of Finance & Economics; Jan2008, Vol. 13 Issue 1, p40-52, 13p, 2 Charts, 6 Graphs
- Publication Year :
- 2008
-
Abstract
- The second half of August 1998 was dominated by two events. From 14 to 28 August, the Hong Kong Monetary Authority (HKMA) intervened in Hong Kong equity markets to prevent a speculative double play against their currency board. On 17 August, Russia announced its default on sovereign bonds. This paper demonstrates that the HKMA interventions had a substantial impact on the outcomes for US Treasury markets during this period using a careful analysis of high-frequency bond market data. On this evidence the shocks emanating from Hong Kong provided liquidity to the US Treasury market when it was most needed. Copyright © 2007 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]
- Subjects :
- STOCK exchanges
BONDS (Finance)
LIQUIDITY (Economics)
Subjects
Details
- Language :
- English
- ISSN :
- 10769307
- Volume :
- 13
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- International Journal of Finance & Economics
- Publication Type :
- Academic Journal
- Accession number :
- 28556928
- Full Text :
- https://doi.org/10.1002/ijfe.356