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英文文献：Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets-全球股票、债券和外汇市场的实时价格发现
英文文献作者：Torben G. Andersen,Tim Bollerslev,Francis X. Diebold,Clara Vega
英文文献摘要：
Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps, hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. Equity markets, moreover, react differently to news depending on the stage of the business cycle, which explains the low correlation between stock and bond returns when averaged over the cycle. Hence our results qualify earlier work suggesting that bond markets react most strongly to macroeconomic news, in particular, when conditioning on the state of the economy, the equity and foreign exchange markets appear equally responsive. Finally, we also document important contemporaneous links across all markets and countries, even after controlling for the effects of macroeconomic news.
利用一个独特的高频期货数据集，我们描述了美国、德国和英国的股票、债券和外汇市场对实时美国宏观经济新闻的反应。我们发现，新闻产生条件平均跳变，因此股票、债券和汇率的高频动态与基本面相关联。此外，根据商业周期的不同阶段，股市对新闻的反应也不同，这就解释了平均来看，股票和债券回报率之间的相关性较低。因此，我们的结果符合早先的研究结果，即债券市场对宏观经济消息的反应最为强烈，特别是在受经济状况影响的情况下，股票和外汇市场表现出同样的反应。最后，我们还记录了所有市场和国家的重要同期联系，即使在控制了宏观经济新闻的影响之后也是如此。
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