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Market quality around macroeconomic news announcements: Evidence from the Australian stock market

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  • Indriawan, Ivan

Abstract

This study examines market quality in the ASX and Chi-X during macroeconomic news announcements. Market quality is measured in terms of liquidity, volatility, and price efficiency. Using a sample of 177 Australian companies, I document that market quality is generally higher in the ASX than in Chi-X on days with macroeconomic news announcements. Trading activity is higher while trading cost is lower. Information shocks have larger immediate impact but lower persistence in the ASX compared to Chi-X. The pattern of intraday serial dependence in returns also reveals that that order imbalances in the ASX have smaller impact than in Chi-X, indicating that the former offers greater price efficiency. These results imply that the ASX remains the preferred destination for traders who seek liquidity and cheaper trading options.

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  • Indriawan, Ivan, 2020. "Market quality around macroeconomic news announcements: Evidence from the Australian stock market," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x18300428
    DOI: 10.1016/j.pacfin.2018.09.007
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    Cited by:

    1. Zhuwei Li & Xuejiao Lu & Yuan Fu, 2022. "Interaction influence of trading rules on the quality of stock markets: the price limit rule and day trading rule from the Shanghai and Shenzhen Stock exchanges," Applied Economics, Taylor & Francis Journals, vol. 54(56), pages 6467-6479, December.
    2. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.

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    More about this item

    Keywords

    Market microstructure; Market quality; Macroeconomic news announcements;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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