Intraday futures market behaviour around major scheduled macroeconomic announcements: Australian evidence
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 25 (2001)
Issue (Month): 7 (July)
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Web page: http://www.elsevier.com/locate/jbf
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Venkatesh, P C, 1992. "Empirical Evidence on the Impact of the Bid-Ask Spread on the Characteristics of CRSP Daily Returns," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 15(2), pages 113-25, Summer.
- Ederington, Louis H. & Lee, Jae Ha, 1995. "The Short-Run Dynamics of the Price Adjustment to New Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 117-134, March.
- Grant, James L. & Wolf, Avner & Yu, Susana, 2005. "Intraday price reversals in the US stock index futures market: A 15-year study," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1311-1327, May.
- Grothe, Magdalena, 2010. "Price and trading response to public information," Working Paper Series 1177, European Central Bank.
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