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Intraday futures market behaviour around major scheduled macroeconomic announcements: Australian evidence

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  • Frino, Alex
  • Hill, Amelia
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-435KGD7-5/2/dff89a2bad339483b1574481a1f90395
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 25 (2001)
    Issue (Month): 7 (July)
    Pages: 1319-1337

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    Handle: RePEc:eee:jbfina:v:25:y:2001:i:7:p:1319-1337

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    Web page: http://www.elsevier.com/locate/jbf

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    References

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    1. Stoll, Hans R, 1978. "The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks," Journal of Finance, American Finance Association, vol. 33(4), pages 1153-72, September.
    2. Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-91, September.
    3. McInish, Thomas H & Wood, Robert A, 1992. " An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-64, June.
    4. Lease, Ronald C & Masulis, Ronald W & Page, John R, 1991. " An Investigation of Market Microstructure Impacts on Event Study Returns," Journal of Finance, American Finance Association, vol. 46(4), pages 1523-36, September.
    5. Aitken, Michael & Ferris, George, 1991. "A note on the effect of controlling for transaction costs on the small firm anomaly: Additional Australian evidence," Journal of Banking & Finance, Elsevier, vol. 15(6), pages 1195-1202, December.
    6. Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-51.
    7. 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.
    8. 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.
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    Cited by:
    1. 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.
    2. Grothe, Magdalena, 2010. "Price and trading response to public information," Working Paper Series 1177, European Central Bank.

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