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Minute-by-minute dynamics of the Australian bond futures market in response to new macroeconomic information

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Kim, Suk-Joong
Sheen, Jeffrey

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Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 11 (2001)
Issue (Month): 2 (April)
Pages: 117-137
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Handle: RePEc:eee:mulfin:v:11:y:2001:i:2:p:117-137

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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.:
  1. Kim, Suk-Joong & Sheen, Jeffrey, 2000. "International linkages and macroeconomic news effects on interest rate volatility -- Australia and the US," Pacific-Basin Finance Journal, Elsevier, vol. 8(1), pages 85-113, March. [Downloadable!] (restricted)
    Other versions:
  2. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Research Paper 9706, Federal Reserve Bank of New York. [Downloadable!]
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  3. Kim, Suk-Joong, 1996. "Inflation News in Australia: Its Effects on Exchange Rates and Interest Rates," Applied Financial Economics, Taylor and Francis Journals, vol. 6(3), pages 225-31, June. [Downloadable!] (restricted)
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  4. Hakkio, Craig S & Pearce, Douglas K, 1985. "The Reaction of Exchange Rates to Economic News," Economic Inquiry, Oxford University Press, vol. 23(4), pages 621-36, October.
  5. Thornton, Daniel L., 1989. "The effect of unanticipated money on the money and foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(4), pages 573-587, December. [Downloadable!] (restricted)
  6. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January. [Downloadable!] (restricted)
  7. 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. [Downloadable!] (restricted)
  8. Madura, Jeff & Tucker, Alan L., 1992. "Trade deficit surprises and the ex ante volatility of foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 11(5), pages 492-501, October. [Downloadable!] (restricted)
  9. 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. [Downloadable!]
  10. Karfakis, Costas & Kim, Suk-Joong, 1995. "Exchange rates, interest rates and current account news: some evidence from Australia," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 575-595, August. [Downloadable!] (restricted)
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  11. Hung, Juann H, 1997. "Intervention strategies and exchange rate volatility: a noise trading perspective," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 779-793, September. [Downloadable!] (restricted)
  12. Hogan, Ked & Melvin, Michael & Roberts, Dan J., 1991. "Trade balance news and exchange rates: Is there a policy signal?," Journal of International Money and Finance, Elsevier, vol. 10(1, Supple), pages S90-S99, March. [Downloadable!] (restricted)
  13. Aggarwal, Raj & Schirm, David C., 1998. "Asymmetric impact of trade balance news on asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 83-100, January. [Downloadable!] (restricted)
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  1. Parker, John, 2007. "The Impact Of Economic News On Financial Markets," MPRA Paper 2675, University Library of Munich, Germany. [Downloadable!]
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